02210cas a2200325 a 4500 AALejournalIMF004134 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451863949 1018-5941 BD-DhAAL BD-DhAAL Liu, Kexue. Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) / Kexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean. Washington, D.C. : International Monetary Fund, 2006. 1 online resource (35 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specifications used in this paper. Then, we proceed from the simplest model based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk+ implementation. The latter is based on the Poisson approximation and uncertain default probabilities determined by mutually independent risk factors. As an extension we present a Credit Risk+ specification with correlated risk factors as in Giese (2003). Finally, we illustrate the characteristics and the results obtained from the different models using a specific portfolio of obligors. Mode of access: Internet Investment Decisions imf Least Squares imf Portfolio Choice imf WP imf Avesani, Renzo. Mirestean, Alin. Salvati, Jean. IMF Working Papers; Working Paper ; No. 2006/134 Full text available on IMF http://elibrary.imf.org/view/journals/001/2006/134/001.2006.issue-134-en.xml IMF e-Library