Correct...it is a good alternative. My webpage offers a forum for discussion and this is what I would to furher develop in the future.I hope that you also contribute to the forum.Thank you.

<r>The Credit Risk Webpage by Enrico De Giorgi offers a large number of references and useful sources on credit risk modelling, credit risk measurement for corporate debt, credit derivatives and retail credit portfolios. There are currently 83 downloadable papers, 18 references to books and 125 auth...

<t>I'm currently involved in one project of RiskLab (see web page) about modeling the risk of default for retail loan portfolios. I've received a data set from Credit Suisse Group. It contains about 75000 residential mortgages from 1994 to 2000. Since the firm's value approach seems to be inadequate...

<t>Thank you for your comment. You are right. I used the mathematical definition to explain the general idea of the moments and to answer the question about the existence of higher order moments. Usually a general normal distribution is scaled and centered to obtain a standard normal distribution. n...

<t>From the mathematical point of view, one can define moments of each order n bigger then 1, by just taking the expectation of X^n. The n-th moment is defined by:E(X^n)The second order moment is thus not the variance, but the expectation of X^2!The variance is just a kind of centered second order m...

<t>You are right about receiving data set. But even if you receive a data set, specially about retail loans, there is a lot of difficulties that has to be solved, before you can test one model. Without a good collaboration with the industry it is quite impossible to find out, wheter the data set can...

Hi Susan. The data set is unfortunately confidential. I get it from Credit Suisse Group.Best Regards,Enrico

<r>Hi Susan.About my project you can find on my personal homepage <URL url="http://www.math.ethz.ch/~degiorgi">http://www.math.ethz.ch/~degiorgi</URL> the slides I've used for the RiskLab Workshopo of June 7. If you are interested in something more recent, I can send you the slides I've used for a p...

<r>Cuurently a free-version of S-Plus is available on the web: it is called "R". You can download the software free from the "R" homepage, <URL url="http://www.r-project.org/">http://www.r-project.org/</URL>. I copied a brief description from the authors."R is a language and environment for statisti...

About RATS, you can find more information on the Estima Web page (www.estima.com.Enrico

<t>I'm currently using SPlus for testing my models on Credit Risk. I've worked quite a lot with RATS, a software implemented by Estima and specially written for the time series analysis (RATS=Regression Analyis of Time Series). I judge this programme very well, specially for people dealing with GARC...

<t>Dear all,I'm a member of this forum since less then one week and I'm suprised from the quality of the discussion. I'm working since one year for RiskLab, an Institute of the Swiss Federal Institute of Technology in Zurich, which is sponsored by two of the most important banks in the world (Credit...

Dear all,References on Credit Risk are available on the Credit Risk Web Page. Other suggestions and comments are welcome.Thank you,Enrico

Dear all,I'm currently trying to model the deafult risk for mortgage portfolios (see My Web page) . I would ask you if some huge database for mortgage portfolios of private clients is available online.Thank you,Enrico

I've registred me as a new member of the forum yesterday afternoon. I would like to say hallo to everyone. I hope I'll contribute to the forum as soon as possible. Best Regards,Enrico