Economics, Econometrics and Finance
5 years ago

New Method Estimates Credit Risk for Debt Assets Portfolio, Revolutionizing Risk Management

Determination of Credit Risk for Debt Assets Portfolio
Yihan Gu

Paper Summary

The article discusses how credit risk is a major concern for investors, companies, and banks. Researchers used the CreditMetricsTM model and Basel Accords to estimate the economic capital and capital requirement for unexpected losses of a bond portfolio. The study aimed to compare results from different Basel Accords and the CreditMetricsTM model.

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