IDEAS home Printed from https://ideas.repec.org/h/spr/sptchp/978-3-031-42836-4_3.html
   My bibliography  Save this book chapter

Credit Risks

In: Risk Management in Banks and Insurance Companies

Author

Listed:
  • Anja Blatter

    (Nürtingen-Geislingen University of Applied Sciences)

  • Sean Bradbury

    (Nürtingen-Geislingen University of Applied Sciences)

  • Pascal Bruhn

    (Nürtingen-Geislingen University of Applied Sciences)

  • Dietmar Ernst

    (Nürtingen-Geislingen University of Applied Sciences)

Abstract

Credit risks describe possible losses resulting from a deterioration in the creditworthiness of a debtor, which includes in the worst case its default. One risk parameter for measuring credit risk is the Probability of Default (PD) within a certain period of time (often within 1 year). The convention is that a debt obligation is considered to be in default if the debtor is more than 90 days in arrears with the loan obligation and it is unlikely that the debtor will repay the debt. There are various approaches for determining default probabilities. One approach is based on external and internal ratings, while other approaches are based on Merton’s model, one of the best-known models in credit risk modelling.

Suggested Citation

  • Anja Blatter & Sean Bradbury & Pascal Bruhn & Dietmar Ernst, 2024. "Credit Risks," Springer Texts in Business and Economics, in: Risk Management in Banks and Insurance Companies, chapter 0, pages 93-118, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-42836-4_3
    DOI: 10.1007/978-3-031-42836-4_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sptchp:978-3-031-42836-4_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.