TY  - BOOK
AU  - Gasha,Jose Giancarlo
AU  - Capuano,Christian
AU  - Chan-Lau,Jorge A.
AU  - Gasha,Jose Giancarlo
AU  - Medeiros,Carlos I.
AU  - Santos,Andre
AU  - Souto,Marcos
TI  - Recent Advances in Credit Risk Modeling
T2  - IMF Working Papers; Working Paper
SN  - 1451873093 :
SN  - 1018-5941
PY  - 2009///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Arbitrage
KW  - imf
KW  - Correlation
KW  - Correlations
KW  - Credit Risk
KW  - Financial Economics: General
KW  - Probability
KW  - Hong Kong Special Administrative Region of China
N2  - As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values
UR  - http://elibrary.imf.org/view/IMF001/10309-9781451873092/10309-9781451873092/10309-9781451873092.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451873092
ER  -