Credit Risk Evaluation: The Econometric vs the Structural Approach [extrait BMI 114]

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This paper reviews the credit risk evaluation approaches that were largely discussed during the debate on banks? capacity to handle risk exposure and the effectiveness of the techniques they use. We propose a sector-bysector analysis of credit risk levels in the French market using the econometric approach of CreditPortfolioView model. Our results show the importance and the effectiveness of the econometric approach and underline its necessity and complementarity with structural approaches.

Auteurs :ELHADJ AHMED Ridha
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