Economic Bulletin of the National Mining University




Issue:2011 №2 (34)
Article language:English
Title:Attempt of estimating credit risk of selected banks in Poland with use of risk-neutral model
Author:Siarka P.
Annotation:This paper presents alternative approach to the issue of credit risk assessment, including the analysis of credit price conditions supposed to implicate the level of credit risk. The paper is concentrated on implementation of the risk-neutral model in order to assess credit risk of retail products, includes results of calculations carried out for selected financial institutions offering retail loans. 
Keywords:Credit risk, Retail loans, Credit risk assessment, Risk-neutral model
File of the article:EV20112_056-065.pdf