A Simple and Consistent Credit Risk Model for Basel II/III, IFRS 9 and Stress Testing when Loan Data History is Short

2021 ◽  
Author(s):  
Bernd Engelmann
Keyword(s):  
Credit Risk ◽  
Stress Testing ◽  
Risk Model ◽  
Basel Ii ◽  
Data History ◽  
Ifrs 9 ◽  
Credit Risk Model

scholarly journals Macro Stress Testing with a Macroeconomic Credit Risk Model: Application to the French Manufacturing Sector

2009 ◽  
Author(s):  
Sanvi Avouyi-Dovi ◽  
Bardos Mireille ◽  
Caroline Jardet ◽  
Ludovic Kendaoui ◽  
Jeremy Moquet
Keyword(s):  
Credit Risk ◽  
Stress Testing ◽  
Risk Model ◽  
Manufacturing Sector ◽  
Model Application ◽  
Credit Risk Model

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

2006 ◽  
Vol 22 (4) ◽  
pp. 661-687 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Monique Jeanblanc ◽  
Marek Rutkowski
Keyword(s):  
Credit Risk ◽  
Asset Prices ◽  
Risk Model ◽  
Contingent Claims ◽  
Reduced Form ◽  
Credit Risk Model

A HMM Intensity-Based Credit Risk Model and Filtering

2013 ◽  
pp. 169-184 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu
Keyword(s):  
Credit Risk ◽  
Risk Model ◽  
Credit Risk Model
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