Measuring and Managing Credit Risk

133 citations recorded by the source corpus.

How researchers see this paper

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Credit Contagion from Counterparty Risk (2009, methodology): “5 See also De Servigny and Renault (2004) for empirical evidence on default correlations.”
Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD (2012, unknown): “Descriptions of themodels are given in several books and reviews (Altman, Resti, & Sironi, 2005; De Servigny & Oliver, 2004; Engelmann & Rauhmeier, 2006; Schuermann, 2005).”
Liquidity and Capital Structure (2011, unknown): “(See de Servigny and Renault (2004) Chapter 4.)”
Recent developments in consumer credit risk assessment (2007, background): “But the accord had many weaknesses (see De Servigny and Renault, 2004) and over the last seven years the BIS has issued several updated standards which have come to be known as the Basel 2 accord.”
Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal (2010, unknown): “Currently, there is no established methodology for performing these tasks and the ones being used have their pros and cons (de Servigny and Renault, 2004).”