Credit Risk Modelling and Implementation of Credit Risk Models in China
Yu, Mengxiao (2007) Credit Risk Modelling and Implementation of Credit Risk Models in China. [Dissertation (University of Nottingham only)] (Unpublished)
Credit risk, or the risk of counterparty default, is an important factor in the valuation and risk management of financial assets. It has become increasingly important to financial institutions. A variety of credit risk models have been developed to measure credit risk. They are J.P. Morgan's CreditMetrics; KMV's PortfolioManager based on Merton (1974) option pricing model; macroeconomic model CreditPortfolio View developed by McKinsey; CSFB's Credit Risk+ Model based on actuarial science framework; and Jarrow and Turnbull's reduced-form model.
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