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Measurement of the Credit Risk

Author

Listed:
  • Danut CULETU

    („Andrei Saguna” University of Constanta)

  • Andreea Gabriela BALTAC

    („Artifex” University of Bucharest/Academy of Economic Studies Bucharest)

  • Alexandru URSACHE

    (Academy of Economic Studies Bucharest)

Abstract

Credit risk should, in general, be considered as a component of market risk, as explained in previous pages. However, the methods of analysis of this type of risk are more extensive than those used in the case of market risk just as a result of difficulties information may be obtained and the period of time as long as an investor (an individual, a company, the bank) must make reference. Loss of credit risk is usually calculated as the difference between the current value of the portfolio and its value at a given moment in the future.

Suggested Citation

  • Danut CULETU & Andreea Gabriela BALTAC & Alexandru URSACHE, 2013. "Measurement of the Credit Risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(3), pages 73-80, September.
    • Handle: RePEc:rsr:supplm:v:61:y:2013:i:3:p:73-80
    as

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    References listed on IDEAS

    as
    1. Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-474, October.
    2. Treacy, William F. & Carey, Mark, 2000. "Credit risk rating systems at large US banks," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 167-201, January.
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