Titlebook: Credit Risk; Measurement, Evaluat Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollm Conference proceedings 2003 Physica-Verlag Heidelberg

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Stable Non-Gaussian Credit Risk Model; The Cognity Approach,ognity software for evaluation of credit risk. Cognity CreditRisk System comprises two models for credit risk evaluation for complex portfolios of instruments with inherent credit risk — Asset Value Approach (AV Model) and Stochastic Default Rate Model (SDR Model), both based on Stable Distributions

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Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Oequires the computation of a set of Pareto-efficient portfolio structures in a non-linear, non-convex setting. For real-world problems, additional constraints, e.g. supervisory capital limits, have to be respected. Particularly for formerly non-traded instruments, e.g. corporate loans, a discrete se

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Internal Ratings for Corporate Clients,In Germany credit transactions with corporate clients suffer from significant credit defaults. The number of insolvencies in Germany are steadily increasing and have more than doubled between 1993 and 2001 (see Figure 1). In 2002 financial institutions are supposed to be confronted with approximately 40.000 insolvencies in the corporate sector..