Skip to main content
Book Chapter

Measuring Credit Risk: The Credit Migration Approach Extended for Credit Derivatives

  • Crouhy M
  • Im J
  • Nudelman G
DOI: 10.1007/978-1-4615-0791-8_8
N/ACitations
Citations of this article
1Readers
Mendeley users who have this article in their library.
Get full text

Abstract

Over the last few years, three approaches to measure credit risk in a portfolio context have emerged in the banking industry. The “credit migration approach”, as initially proposed by JP Morgan with CreditMetrics, is based on the analysis of credit...

Cite

CITATION STYLE

APA

Crouhy, M., Im, J., & Nudelman, G. (2001). Measuring Credit Risk: The Credit Migration Approach Extended for Credit Derivatives (pp. 87–110). https://doi.org/10.1007/978-1-4615-0791-8_8

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free