Credit risk models : an application to deposit insurance pricing

  • Aurelio Maccario, Andrea Sironi, Cristiano Zazzara Working Paper
  • Published 2003
The Federal Deposit Insurance Corporation (FDIC) has recently tested credit risk measurement models used by large international banks to measure the risk of their portfolios in order to measure the risk of default of its insured banks’ deposits. Using both balance sheet and equity market data for a sample of 15 large Italian banks, this study applies some… (More)