Measurement and Modeling of Credit Risk
- English, William B. and Nelson, William R.,
Bank Risk Rating of Business Loans,
FEDS 1998-51, December 1998.
- Treacy, William F. and Carey, Mark S.,
Credit Risk Rating at Large U.S. Banks,
Federal Reserve Bulletin, 84(11), November 1998.
- Ken Singleton's paper on
simulating correlated defaults.
On the Use of Information and Risk Management by International
Banks, October 1998.
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Michael B Gordy
Last update: 3-Jan-2001