Credit risk measurement

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Published: Mar 22, 2017
Updated: 2017-03-22
DOI: https://doi.org/10.18844/prosoc.v3i4.1562

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Lucia Michalkova
University of Zilina, Faculty of Operation and Economics of Transport and Communications, Department of Economics, Univerzitna 1, 010 26 Zilina, Slovak Republic
Katarina Frajtova Michalikova
University of Zilina, Faculty of Operation and Economics of Transport and Communications, Department of Economics, Univerzitna 1, 010 26 Zilina, Slovak Republic

Abstract

Focused on globalizaing of economics and still actual financial crisis credit risk becomes one of the most discussing topic in business world. Every investment decision should be accompanied by analysis of the possibility of default. Through the years there were developed many credit risk measures, so research and quantification of them are a subject of interest of many economic publications and studies. So nowadays there are many approaches which can be used by investors to monitor credit risk and it can be calculated through various models and methods. The aim of the article is to present the basic ones as well as the most often used models based on them such like CreditMetrics, CreditRisk or KMV model. There is given a comparison of these models in dimension as risk definition, risk source, recovery rate, types of model etc. Then we also describe pros and cons of them. Eventually we apply the CreditMetrics model for a single bond.    

Keywords: risk; credit risk; model; CreditMetrics

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How to Cite
Michalkova, L., & Frajtova Michalikova, K. (2017). Credit risk measurement. New Trends and Issues Proceedings on Humanities and Social Sciences, 3(4), 168–174. https://doi.org/10.18844/prosoc.v3i4.1562
Issue
Vol. 3 No. 4 (2017): Selected Papers of 5th World Conference on Business, Economics and Management (BEM-2016)
Section
Articles
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