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Abstract: We commence with an overview of the three most widely used credit risk models developed by KMV, J.P. Morgan (CreditMetrics) and Credit Suisse First Boston (CreditRisk + ). The mathematical essentials of each model lie in the way the joint distribution of the so-called 'default indicators' is modeled, a vector of Bernoulli random variables. With the focus on these vectors we will investigate two general frameworks for modelling such binary random events. We will also show how the KMV and... (Update)
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BibTeX entry: (Update)
@misc{ nyfeler-modelling,
author = "Mark A. Nyfeler",
title = "Modelling Dependencies in Credit Risk Management",
url = "citeseer.ist.psu.edu/nyfeler00modelling.html" }
Citations (may not include all citations):175 Stochastic simulation (context) - Ripley - 1952
50 Adventures in Stochastic Processes (context) - Resnick - 1992
16 Introduction to Stochastic Calculus applied to Finance (context) - Lamberton, Lapeyre - 1996
3 Modelling Dependence with Copulas (context) - Lindskog - 2000
3 available from http://www (context) - Corporation, Risk et al. - 1997
1 the Identifiability of Parameters in Thursone's Multiple Fac.. (context) - Reiersol - 1950
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