Essays in credit risk management

摘要: Credit risk management is becoming more and important in recent years. refers to the that an obligor fails make payments on any type of debt at time maturity. models are statistical tools infer future default probabilities loss distribution values a portfolio debts. This doctoral thesis focus application credit different areas. To better understand management, first chapter, we introduce basic ideas review developed last decades. To empirical test performance reviewed second compare reduce-form model with structural based China’s stock market. It turns out both contribute explaining listed firms, however, outperformances model. The results from chapter suggests can predict firm’s risk, but correlated between firms has not been answered yet. So therefore third investigate using copula theory which introduced chapter. Based insurances other financial US market, short-term long-term dynamic correlations found. Another interesting finding insurance were considered be stable actually have higher risk. motive us further explore determinants fourth new factors (macroeconomic insurance-specific variables)