CreditMetrics Monitor - Third Quarter 1998

  • Extended "Constant Correlations" in CreditManager 2.0
  • Treating collateral and guarantees in CreditManager 2.0
  • Credit derivatives in CreditMetrics
  • Commercial paper defaults and rating transitions, 1972 - 1998
  • A one-parameter representation of credit risk and transition matrices
August 18, 1998
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Third Quarter 1998666.52 KB