بررسي و تحليل مدل‌هاي پرتفوليوي اعتباري - مدل ريسك اعتباري مضاعف‌

The Analysis of Credit Portfolio Models- Credit Risk Modelling

Since the mid - 1990 s, models geared to apply knowledge about market risk from portfolio selection theory to credit portfolios have been proposed in the relevant technical literature, several methods and (software) products for measuring credit portfolio risk have been developed and become available. It is striking that most of the publications in current literature are still critiques and application tests referring to the four standard models from 1997 and 1998 or related approaches. This paper reviews the credit Risk+ model.