01949cas a2200277 a 4500 AALejournalIMF005936 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451873092 1018-5941 BD-DhAAL BD-DhAAL Gasha, Jose. Recent Advances in Credit Risk Modeling / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros. Washington, D.C. : International Monetary Fund, 2009. 1 online resource (31 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 As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also discusses the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of the prices of distressed debt and estimation of recovery values. Mode of access: Internet Chan-Lau, Jorge. Medeiros, Carlos. Santos, Andre. IMF Working Papers; Working Paper ; No. 2009/162 Full text available on IMF http://elibrary.imf.org/view/journals/001/2009/162/001.2009.issue-162-en.xml IMF e-Library