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Review of the literature on credit risk modeling: development of the past 10 years
Dalarna University, School of Technology and Business Studies, Statistics.ORCID iD: 0000-0002-3183-3756
Dalarna University, School of Technology and Business Studies, Statistics.ORCID iD: 0000-0003-2317-9157
2010 (English)In: Banks and Bank Systems, ISSN 1816-7403, Vol. 5, no 3, 43-60 p.Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
Business Perspectives , 2010. Vol. 5, no 3, 43-60 p.
Keyword [en]
Bank Lending; Structural model; Reduced-form model; Credit default
National Category
Probability Theory and Statistics
Research subject
Komplexa system - mikrodataanalys, Kreditriskmodellering
Identifiers
URN: urn:nbn:se:du-4687OAI: oai:dalea.du.se:4687DiVA: diva2:520190
Available from: 2010-05-17 Created: 2010-05-17 Last updated: 2015-06-08Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf