nowadays, credit risk is recognized as one of the most important bankruptcy factors of banks and financial institutions. in order to manage and control this risk, design of credit rating models is undeniable necessity. credit rating is used to identify the probability of credit default and on the other side classify the customers into two groups: good and bad accounts. until now, various statis...

Credit scoring model is an important tool for assessing risks in financial industry, consequently the majority of financial institutions actively develops credit scoring model on the credit approval assessment of new customers and the credit risk management of existing customers. Nonetheless, most past researches used the one-dimensional credit scoring model to measure customer risk. In this st...

INTRODUCTION Copulas are a way of formalising dependence structures of random vectors. Although they have been known about for a long time (Sklar (1959)), they have been rediscovered relatively recently in applied sciences (biostatistics, reliability, biology, etc). In finance, they have become a standard tool with broad applications: multiasset pricing (especially complex credit derivatives), ...

One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...

for banks and financial institutions, credit risk had been an essential factor that needed to be managed well. credit risk was the possibility that a borrower of counter party would fail to meet its obligations in accordance with agreed terms. credit risk; therefore arise from the bank’s dealings with or lending to corporate, individuals, and other banks or financial institutions.  credit risk...