{"id":"https://openalex.org/W2143881663","doi":null,"title":"A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS","display_name":"A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS","publication_year":1999,"publication_date":"1999-01-01","ids":{"openalex":"https://openalex.org/W2143881663","mag":"2143881663"},"language":"en","primary_location":{"id":"mag:2143881663","doi":null,"is_oa":false,"landing_page_url":"http://www.financerisks.com/filedati/WP/credit_risk_2/CREDIT_RISK_PORTFOLIO_MODELS.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},"volume":null,"type":"article","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5050095070","display_name":"H. Ugur Koyluoglu","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"H. Ugur Koyluoglu","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5109597568","display_name":"Andrew Hickman","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Andrew Hickman","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.1009,"has_fulltext":false,"cited_by_count":57,"citation_normalized_percentile":{"value":0.9470547,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.8945000171661377,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.8945000171661377,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.03689999878406525,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.015399999916553497,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/default-risk","display_name":"default risk","score":0.7160000205039978},{"id":"https://openalex.org/keywords/credit-risk-management","display_name":"credit risk management","score":0.9629999995231628},{"id":"https://openalex.org/keywords/regulatory-capital","display_name":"regulatory capital","score":0.9269999861717224},{"id":"https://openalex.org/keywords/model-harmonization","display_name":"model harmonization","score":0.7540000081062317},{"id":"https://openalex.org/keywords/input-parameters","display_name":"input parameters","score":0.5090000033378601},{"id":"https://openalex.org/keywords/model-comparison","display_name":"model comparison","score":0.43700000643730164}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6956920623779297},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6495401859283447},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.5539337396621704},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4994628429412842},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4880715608596802},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.45298677682876587},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.4406382739543915},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3887025713920593},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3697845935821533},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3385023772716522},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.2779631018638611},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.25980037450790405}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:2143881663","doi":null,"is_oa":false,"landing_page_url":"http://www.financerisks.com/filedati/WP/credit_risk_2/CREDIT_RISK_PORTFOLIO_MODELS.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":3,"referenced_works":["https://openalex.org/W1735820735","https://openalex.org/W2105973145","https://openalex.org/W2313039720"],"related_works":["https://openalex.org/W7098093949","https://openalex.org/W2116652337","https://openalex.org/W2785787360","https://openalex.org/W430961282","https://openalex.org/W2789197949","https://openalex.org/W95401850","https://openalex.org/W2786329554","https://openalex.org/W2282076380","https://openalex.org/W1022708664","https://openalex.org/W153862350"],"abstract_inverted_index":{"Sophisticated":[0],"new":[1,83],"credit":[2,18,31],"risk":[3,19,32],"portfolio":[4,33],"modeling":[5,72],"techniques":[6,21,84],"have":[7],"been":[8],"developed":[9],"recently,":[10],"holding":[11],"the":[12,69,79],"potential":[13],"for":[14,78],"substantial":[15],"reform":[16],"of":[17,81],"management":[20],"and":[22,42,88],"regulatory":[23],"capital":[24],"guidelines.":[25],"This":[26,60],"paper":[27],"examines":[28],"three":[29],"such":[30],"models,":[34],"placing":[35],"them":[36],"within":[37],"a":[38,63],"single":[39],"general":[40],"framework":[41],"demonstrating":[43],"that":[44,55,62],"they":[45],"are":[46,58],"little":[47],"different":[48],"in":[49,68],"either":[50],"theory":[51],"or":[52],"results,":[53],"provided":[54],"input":[56],"parameters":[57],"harmonized.":[59],"result,":[61],"strong":[64],"consensus":[65],"has":[66,75],"emerged":[67],"approach":[70],"to":[71],"default":[73],"risk,":[74],"significant":[76],"implications":[77],"acceptance":[80],"these":[82],"amongst":[85],"both":[86],"end-users":[87],"regulators.":[89]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-31T12:09:11.096373","created_date":"2016-06-24T00:00:00"}