Recent Advances in Credit Risk Modeling

IMF Working Paper
Monetary and Capital Markets Department
Recent Advances in Credit Risk Modeling
Prepared by:Christian Capuano,Jorge Chan-Lau,Giancarlo Gasha,Carlos Medeiros,
Andre Santos,and Marcos Souto1
August 2009
Abstract
This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s)and do not necessarily represent
those of the IMF or IMF policy.Working Papers describe research in progress by the author(s)and are
published to elicit comments and to further debate.