haku: @author Altman, E. / yhteensä: 2
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| Tekijä: | Altman, E. Saunders, A. |
| Otsikko: | Credit risk measurement: developments over the last 20 years |
| Lehti: | Journal of Banking and Finance
1997 : DEC, VOL. 21:11, 12, p. 1721-1742 |
| Asiasana: | FINANCE BANKING CREDIT |
| Kieli: | eng |
| Tiivistelmä: | This paper traces developments in the credit risk measurement literature over the last 20 years. This paper is essentially divided into two parts. In the first part the evolution of the literature on the credit-risk management of individual loans and portfolios of loans is traced by way of reference to articles appearing in relevant issues of the Journal of Banking and Finance and other publications. In the second part, a new approach built around a mortality risk framework to measuring the risk and returns on loans and bonds is presented. |
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