Credit risk management

Abstract

The journal continues publishing the consultation of Professor Dean Fantazzini. In this issue econometric analysis of financial data in risk management is discussed. Basic concepts of credit risk management in the context of recent Basel-II agreement recommendations are introduced. One-dimensional models of credit risk for assessing the borrower's default probability are described. In the second part, which would appear in the first issue of 2009 and would also finish the whole presentation, the author plans to discuss multidimensional models of credit risk management for assessment of the default probability of 'the borrowers' portfolio'.