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MANSCI
2007
107views more  MANSCI 2007»
13 years 11 months ago
Credit Risk in a Network Economy
We develop a structural model of credit risk in a network economy, where any firm can lend to any other firm, so that each firm is subject to counterparty risk either from dire...
Didier Cossin, Henry Schellhorn
EOR
2007
90views more  EOR 2007»
13 years 11 months ago
Structural models in consumer credit
We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and ...
Fabio Wendling Muniz de Andrade, Lyn C. Thomas
IOR
2008
126views more  IOR 2008»
13 years 11 months ago
Fast Simulation of Multifactor Portfolio Credit Risk
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin
WSC
2004
14 years 25 days ago
Tutorial on Portfolio Credit Risk Management
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
William J. Morokoff