A comparative analysis of current credit risk models

Keyphrases

• Comparative Analysis 100%
• Market Risk 100%
• Credit Risk 100%
• Merton 100%
• Credit Risk Models 100%
• Interest Rates 50%
• At-risk 50%
• Growth Rate 50%
• Unemployment 50%
• Poisson Process 50%
• Asset Value 50%
• Option Pricing 50%
• Interest Level 50%
• Discrete-time 50%
• Company Value 50%
• Value Model 50%
• Financial Products 50%
• Internal Model 50%
• Firm Capital Structure 50%
• Probability of Default 50%
• Capital Requirements 50%
• Multi-period Model 50%
• Actuarial Method 50%
• Regulatory Capital 50%
• JP Morgan 50%
• CreditMetrics 50%
• Credit Suisse 50%
• Credit Cycle 50%
• Credit Migration 50%
• Credit Value 50%
• Macro Variables 50%
• Finance Journals 50%
• Trading Book 50%
• Credit Quality 50%
• McKinsey 50%
• Default Process 50%
• Migration Approach 50%

Economics, Econometrics and Finance

• Credit 100%
• Pricing 14%
• Industry 14%
• Finance 14%
• Levy Process 14%
• Capital Structure 14%
• Capital Requirements 14%
• Interest Rate 14%