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A comparative analysis of current credit risk models · Study

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ArticleA comparative analysis of current credit risk models

Michel Crouhy2000

Article2000

A comparative analysis of current credit risk models

Michel Crouhy · Dan Galai · Robert M. Mark

967 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1986Economic Forces and the Stock Market 1982Modern Portfolio Theory and Investment Analysis.1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

Cited by

2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2006Risk Assessment for Banking Systems 2007Good and bad credit contagion: Evidence from credit default swaps☆2001Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature 2002Coordination risk and the price of debt 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective 2006Predicting corporate bankruptcy: where we stand?2001Procyclicality of the financial system and financial stability: Issues and policy options

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Details

Year2000

Typearticle

Published2000-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations967

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/s0378-4266(99)00053-9

openalex_workW2118320330

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