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| Modern Portfolio Credit Risk Modeling Presentation by Richard Skora to the GARP meeting in 1998, in which he outlines the construction of a credit risk management function in a financial firm. | |
| Stress Testing Credit Risk Measurement of correlation as a critical factor in credit risk management. | ||
| Divide and Conquer Article that argues for a portfolio approach to credit risk management. | ||
| Long Term Capital Management (LTCM) and Credit Risk Mangement A case study on credit risk management, using the LTCM recapitalization as an example. | ||
| A Comment on Market vs. Accounting-Based Measures of Default Risk, Advocation of the use of market prices to measure default risk probabilities. Provided by KMV. | ||
| A New Framework for Measuring the Credit Risk of a Portfolio An alternative value-at-risk model with practical applications for managing credit risk. | ||
| The New Science of Credit Risk Management Article that examines new developments in credit risk measurement and management. | ||
| Credit Risk Model Implementation Challenges facing the implementation of a credit risk policy. | ||
| Uses and Abuses of Bond Default Rates Measuring and applying bond default rates in credit risk management. | ||
| Corporate Uses for Credit Derivatives Article in the International Treasurer that provides an overview of credit derivatives usefulness in managing credit risk. | ||
| CreditMetrics Barclay Capital Group's credit risk measurement and management tool. | ||
| The Derivatives 'Zine: Credit Risk Management Provider of news, discussions and links to relevant sources of credit-risk analysis. | ||
| Credit Models Article that reviews the most widely used credit risk management systems. | ||
| Credit Derivatives: Hedging Closer to Happiness An article on the usefulness of credit derivatives for risk managers. | ||
| DefaultRisk.com Credit risk modeling and measurement resource for corporate debt. | ||
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