A comparative analysis of current credit risk models

Journal of Banking and Finance

Volumn 24, Issue 1-2, 2000, Pages 59-117

  Crouhy, Michel ^a   Galai, Dan ^b   Mark, Robert ^a  

^a Canadian Imperial Bank of Commerce   (Canada)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

Banking; Credit risk; Default risk; G13; G21; G28; Migration risk; Regulatory capital; Risk management; Spread risk

Indexed keywords

EID: 0002027984     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00053-9     Document Type: Article

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