STOCHASTIC MODELS FOR CREDIT RISK
-
Authors:
• Ph.D. Student Nadia STOIAN, Afiliation: “Transilvania” University Braşov
• Ph.D. Mariana BĂLAN, Afiliation: “Athenauem” University BucharestPages:
• 39|48 -
Keywords: credit risk, stochastic processes, exposure to the risk
-
Abstract:
Risk is a fundamental factor of business because of any activity you can not get profit without risk. Therefore, any economic entity trying to maximize profits by managing risk specific field of activity and by avoiding or transferring risk that it does not want to take. It is evident that an efficient banking strategy should include both programs and bank risk management procedures designed to actually minimize the likelihood of such risks and potential exposure of the bank. The paper presents some of the stochastic models used in the literature to determine and quantify the credit risk.
