Hidden Bibliographic Details
| Other authors / contributors: | Capuano, Christian, 1975-
International Monetary Fund. Monetary and Capital Markets Department.
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| ISBN: | 1462378978
9781462378975
1452782350
9781452782355
1451873093
9781451873092
9786612843754
6612843756
1282843753
9781282843752
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| Digital file characteristics: | text file
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| Notes: | Includes bibliographical references.
Restrictions unspecified
Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2011.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2011 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values.
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| Other form: | Print version: Capuano, Christian, 1975- Recent advances in credit risk modeling. Washington, D.C. : International Monetary Fund, ©2009
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