Modelling Dependent Credit Risks with Extensions of CreditRisk and Application to Operational Risk
نویسنده
چکیده
منابع مشابه
Estimation of capital requirements in the Iranian banking system To deal with market and credit risks
Each financial institution faces different types of risks, with three of the most important risks in the banking system being credit, market and operational risks. In order to manage risk, sufficient capital must be allocated. One of the common ways to calculate the capital needed to deal with these risks is to calculate the capital proportional to each risk and then the algebraic sum to obtain...
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In the short time since their public releases in 1997, J.P. Morgan's CreditMetrics and Credit Suisse's CreditRisk have become in uential benchmarks for internal credit risk models. Practitioners and policy makers have invested in implementing and exploring each of the models individually, but have made less progress with comparative analyses. Direct comparison of the models is not straightforwa...
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The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and ...
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