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SM ISO690:2012 REICU, Olga. Aplicarea modelului CreditMetrics în condițiile instabilităţii sistemului bancar. In: Interuniversitaria, Ed. 8, 12 mai 2012, Bălți. Bălți, Republica Moldova: Universitatea de Stat „Alecu Russo" din Bălţi, 2013, Ediția 08, pp. 189-193. ISBN 978-9975-50-106-4. |
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Interuniversitaria Ediția 08, 2013 |
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Colocviul "Interuniversitaria" 8, Bălți, Moldova, 12 mai 2012 | ||||||
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CZU: 336.7 | ||||||
Pag. 189-193 | ||||||
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Financial world today is marked by high instability. Instability has led primarily to an increase in credit risk. Secondly, resulted the concerns about management of this risk through the development and, even, the use of advanced techniques for assessing credit risk. Current techniques of assessment and identification of credit risk suppose its approach in terms of portfolio risk and not just individual credit risk. The usable technique is CreditMetrics model. CreditMetrics model is an analysis tool that allows quantification of credit risk portfolio. It was based and improved by JPMorgan since 1997. Axiom of this model is to determine the maximum potential loss that faces a creditor when the loan portfolio quality decreases. |
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