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    EOR
    2007
    90views more  EOR 2007»
    Structural models in consumer credit
    14 years 10 months ago
    Structural models in consumer credit
    Download  www.webpondo.org
    We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and ...
    Fabio Wendling Muniz de Andrade, Lyn C. Thomas
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    70
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    WSC
    2007
    183views Modeling And Simulation» more  WSC 2007»
    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
    15 years 19 days ago
    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
    Download  www.informs-sim.org
    We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
    Jörn Dunkel, Stefan Weber
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