The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk
Analytics provides a targeted training guide for risk managers looking to efficiently build or …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional
Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We …

In credit portfolio modeling the asset correlation parameter is used to describe the degree of
default rates fluctuations. In this article we estimate the asset correlation parameter for banks …

The general problem is the capriciousness of initial public offering cycles that contribute to
businesses curtailing profits and entrepreneurs raising the minimum capital to finance their …

In this chapter, we will briefly overview the various types of SAS software that can be useful
for credit risk modeling. It is not our aim to provide an exhaustive discussion on all …