logo
calendar12 Dekabr 2019
view59
Main language:Uzbek

INNOVATIVE METHODOLOGY OF RISK ASSESSMENT

Field of Science:
pdf

file.pdf

PDF

Иқтисодиётда инновациялар журнали

Иқтисодиётда инновациялар журнали

Publish Articlesee more

ARTICLE ANNOTATION

quote
In the article the CreditMetrics methodology used for credit risk assessment according to the official technical document developed by JP Morgan is discussed. In accordance with this methodology, a roadmap for calculating credit risk is presented, as well as a step-by-step mechanism for assessing credit risk for a single asset.

AUTHORS

F.Mirzaeva

«TOPCONGRESS» МЧЖ

M.Zkirjonov

Ўзбекистон Республикаси Банк-молия академияси

Tags

# дисперсия# CreditMetrics# кредит рейтинги миграцияси# йўқотишлар даражаси# дефолт# дисконт ставкаси# ўртаквадратик четланиш# миграция кредитного рейтинга# уровень потерь# дискотная ставка# среднеквадратичное отклонение# credit rating migration# loss rate# default# discount rate# variance# standard deviation

OTHER ARTICLES IN THIS JOURNAL

Rate Article

0
0 ratings
5
4
3
2
1

Article Identifiers

ROI:

https://eroi.uz/11.0037/A1219-0231

DOI:

Not Available

References

3. Krichevsky M.L. Financial risks: a training manual / M.L. Krichevsky. - 2nd ed., M.: KNORUS, 2013 - 248 p.

4. Lobanov A.A., Chugunov A.V. Encyclopedia of Financial Risk Management / M.: Alpina Publishers. 2009.1095 p.

5. Onmus-Baykal E. A Literature Review of Credit Risk Modeling. Georgetown University. 2010.

7. Lucas, Douglas J. “Default Correlation and Credit Analysis,” The Journal of Fixed Income, 1995. pp. 76-87.

8. Jorion Ph. Financial Risk Management Handbook/ N.Y.: John Wiley&Sons. 2003. 641 р.

6. Altman, Edward I. “Rating Migration of Corporate Bonds: Comparative Results and Investor/Lender Implications,” Working Paper, New York University Salomon Center. 1991.

1. Gupton G.M., Finger C.C., M.Bhatia. CreditMetrics – Technical Document/ JPMorgan. 1997. 15-17 pages.

2. JPMorgan & Co. CreditMetrics™ – Technical Document Copyright© RiskMetrics Group, Inc. 2007.

9. Carty, Lea V., and Dana Lieberman. “Corporate Bond Defaults and Default Rates 1938-1995,” Moody’s Investors Service, Global Credit Research. 1996. рр. 143-159