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Modeling Risque de crédit Credit Risk (1): ÉvaluationCredit Risk Risque de créditAssessment and Empirical Analysis

In: Capital Market Finance

Author

Listed:
  • Patrice Poncet

    (ESSEC Business School)

  • Roland Portait

    (ESSEC Business School)

Abstract

In recent years, credit risk has become the most important risk borne by banks and other credit institutions. Consequently, credit risk analysis and management methods have generated considerable interest among academics, practitioners, and regulators. In addition, in the aftermath of the last financial crises, the control and monitoring of counterparty risk (distinct from credit risk) has also become a key factor in the performance, and sometimes survival, of these institutions. This chapter addresses the analysis and valuation of securities subject to credit and/or counterparty risk. Section 28.1 focuses on empirical analysis and evaluation tools, while Sect. 28.2 presents the main valuation models and some applications.

Suggested Citation

  • Patrice Poncet & Roland Portait, 2022. "Modeling Risque de crédit Credit Risk (1): ÉvaluationCredit Risk Risque de créditAssessment and Empirical Analysis," Springer Texts in Business and Economics, in: Capital Market Finance, chapter 28, pages 1171-1220, Springer.
    • Handle: RePEc:spr:sptchp:978-3-030-84600-8_28
    DOI: 10.1007/978-3-030-84600-8_28
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