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Debts and the Use of Models in Evaluating Credit Risk

In: Modelling the Survival of Financial and Industrial Enterprises

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  • Dimitris N. Chorafas

Abstract

The majority of bankers with whom I met during my research expressed the opinion that, in general, credit risk models should incorporate an element of compliance to policies established by the board, the rules set by regulators, and the law of the land. Many pressed the point that institutions and their credit risk systems should account for what happens at the tail of the credit distribution, the outliers shown in Figure 5.1 as an example.

Suggested Citation

  • Dimitris N. Chorafas, 2002. "Debts and the Use of Models in Evaluating Credit Risk," Palgrave Macmillan Books, in: Modelling the Survival of Financial and Industrial Enterprises, chapter 5, pages 91-112, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-50173-7_5
    DOI: 10.1057/9780230501737_5
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