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Credit Risk pp 175-193 | Cite as

Stable Non-Gaussian Credit Risk Model; The Cognity Approach

  • Borjana Racheva-Jotova
  • Stoyan Stoyanov
  • Svetlozar T. Rachev
Conference paper
Part of the Contributions to Economics book series (CE)

Summary

We present a new approach for integrated market and credit risk management for highly volatile financial markets. We will illustrate our approach on Cognity software for evaluation of credit risk. Cognity CreditRisk System comprises two models for credit risk evaluation for complex portfolios of instruments with inherent credit risk — Asset Value Approach (AV Model) and Stochastic Default Rate Model (SDR Model), both based on Stable Distributions. We shall summarize the main features of the current version of Cognity: (i) Risk Drivers Scenarios generation (ii) Estimation of dependece structure between risk drivers and modeling marginal distributions; (iii) Credit risk estimation under AV and SDR models.

Keywords

Credit Risk Credit Rating Market Risk Stable Distribution Default Probability 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Borjana Racheva-Jotova
    • 1
  • Stoyan Stoyanov
    • 2
  • Svetlozar T. Rachev
    • 3
    • 4
  1. 1.Faculty of Economics and Business AdministrationUniversity of SofiaBulgaria
  2. 2.Faculty of Mathematics and InformaticsUniversity of SofiaBulgaria
  3. 3.School of EconomicsUniversity of KarlsruheGermany
  4. 4.University of CaliforniaSanta BarbaraUSA

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