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Kay Gieseke

Research and Insights

Articles by Kay Gieseke

    The Barra Credit Series: Credit Risk Modeling and Valuation: An Introduction

     Research Report | Jan 1, 2003 | Kay Gieseke

    Credit risk refers to the risk of incurring losses due to changes in the credit quality of a counterparty. In this paper we give an introduction to the modeling of credit risks and the valuation of credit­risky securities. We consider individual as well as correlated credit risks.