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Review of the literature on credit risk modeling: development of the past 10 years
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.ORCID-id: 0000-0002-3183-3756
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.ORCID-id: 0000-0003-2317-9157
2010 (engelsk)Inngår i: Banks and Bank Systems, ISSN 1816-7403, Vol. 5, nr 3, s. 43-60Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This paper traces the developments of credit risk modeling in the past 10 years. Our work can be divided into two parts: selecting articles and summarizing results. On the one hand, by constructing an ordered logit model on historical Journal of Economic Literature (JEL) codes of articles about credit risk modeling, we sort out articles which are the most related to our topic. The result indicates that the JEL codes have become the standard to classify researches in credit risk modeling. On the other hand, comparing with the classical review Altman and Saunders(1998), we observe some important changes of research methods of credit risk. The main finding is that current focuses on credit risk modeling have moved from static individual-level models to dynamic portfolio models.

sted, utgiver, år, opplag, sider
Business Perspectives , 2010. Vol. 5, nr 3, s. 43-60
Emneord [en]
Bank Lending; Structural model; Reduced-form model; Credit default
HSV kategori
Forskningsprogram
Komplexa system - mikrodataanalys, Kreditriskmodellering
Identifikatorer
URN: urn:nbn:se:du-4687OAI: oai:dalea.du.se:4687DiVA, id: diva2:520190
Tilgjengelig fra: 2010-05-17 Laget: 2010-05-17 Sist oppdatert: 2015-06-08bibliografisk kontrollert

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