Ratings versus equity-based credit risk modelling: an empirical analysis

Quarterly Bulletin 2001 Q2
Published on 01 June 2001

By Pamela Nickell, William Perraudin and Simone Varotto

In the last five years, many banks have implemented elaborate credit risk models in order to assess the risk of their corporate credit exposures. Such models provide a framework for calculating the joint distribution of future portfolio returns based on consistent assumptions about the risks inherent in individual exposures and hypotheses about the degree of correlation between changes in the value of these exposures.

PDFRatings versus equity-based credit risk modelling: an empirical analysis


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