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An Integrated Market and Credit Risk Portfolio Model

by Ian Iscoe of Algorithmics Inc.,
Alex Kreinin of Algorithmics Inc., and
Dan Rosen of Algorithmics Inc.

September 1999

Abstract: We present a computationally efficient multi-step model that integrates exposure simulation and portfolio credit risk techniques. The model describes joint evolution of market risk factors and credit drivers governing the portfolio default process.

JEL Classification: G13.

Keywords: Portfolio credit risk, integrated market and credit risk model.

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