Managing credit risk with info-gap uncertainty

Journal of Risk Finance

Volumn 8, Issue 1, 2007, Pages 24-34

  Beresford Smith, Bryan ^a   Thompson, Colin J ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Credit control; Credit management; Financial modelling; Financial risk; Information modelling

Indexed keywords

EID: 85015608381     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/15265940710721055     Document Type: Article

References (4)

1. Ben-Haim, Y. (2001), Information Gap Decision Theory: Decisions under Severe Uncertainty, Academic Press, London.
2. Ben-Haim, Y. (2005), “Value-at-risk with info-gap uncertainty”, Journal of Risk Finance, Vol. 6 No. 5, pp. 388-403.
3. Knight, F.H. (1921), Risk, Uncertainty and Profit, (re-issued by University of Chicago Press, Chicago, IL, 1971), Houghton Mifflin Co., Chicago, IL.
4. Stapper, G. (2004), “Credit risk: design and validation of rating models”, MSc thesis in Mathematical Finance, University of Oxford, Oxford.