Another advantage of incorporating macroeconomic variables in the credit risk forecasting is that it gives lender the ...

Consider a credit portfolio that consists of default-sensitive instru¬ments such as lines of credit, corporate bonds, and government bonds. The corresponding credit value-at-risk (VaR), is ... the ...

This group focuses on measuring the credit risk ... to measure the risk of different types of firms depending on the information available. Recent research includes deriving a physical default ...