From fault tree to credit risk assessment: an empirical attempt

Gatfaoui, H

From fault tree to credit risk assessment: an empirical attempt

Gatfaoui, H

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Publisher:: ICFAI University Press
Publication Type:: Journal Article
Citation:: The ICFAI Journal of Risk and Insurance, 2006, 3 (1), pp. 7 - 31
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Gatfaoui, H
dc.date.accessioned	2010-05-14T07:46:30Z
dc.date.created	2010-05-14T07:46:30Z	en_US
dc.date.issued	2006-01
dc.identifier.citation	The ICFAI Journal of Risk and Insurance, 2006, 3 (1), pp. 7 - 31
dc.identifier.issn	0972-933X
dc.identifier.other	C1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/6379
dc.description.abstract	Since the 1980s, the fault tree theory has been known as a great development in the industrial systems' sector. Its first goal is to estimate and model the probability and events' combination which could potentially lead to the failure of a given system. Later static and dynamic studies such as Dugan, Venkataraman and Gulati (1997), Gulati and Dugan (1997) and Ngom et al. (1999), were conducted. Improvements were also suggested by Anand and Somani (1998), Zhu et al. (2001) and Reory and Andrews (2003) among others. Since credit risk valuation attempts to quantify firms' default risk, the article proposes to apply one alternative approach of fault tree, or equivalently, a reliability study to assess firms' default risk.
dc.publisher	ICFAI University Press
dc.relation.ispartof	Verified OK	en_US
dc.relation.ispartof	The ICFAI Journal of Risk and Insurance
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject.classification	Econometric and Statistical Methods	en_US
dc.title	From fault tree to credit risk assessment: an empirical attempt
dc.type	Journal article
utslib.citation.volume	3
utslib.citation.number	1	en_US
utslib.location	ICFAI University Press	en_US
utslib.citation.startpage	7	en_US
utslib.citation.endpage	31	en_US
utslib.identifier.org	BUS.School of Finance and Economics	en_US
utslib.for	140302 Econometric and Statistical Methods
utslib.percentage	100	en_US
pubs.embargo.period	Not known
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/School of Finance and Economics
utslib.copyright.status	closed_access
pubs.declined	1970-01-01T00:00:00.0+1000

Abstract:

Since the 1980s, the fault tree theory has been known as a great development in the industrial systems' sector. Its first goal is to estimate and model the probability and events' combination which could potentially lead to the failure of a given system. Later static and dynamic studies such as Dugan, Venkataraman and Gulati (1997), Gulati and Dugan (1997) and Ngom et al. (1999), were conducted. Improvements were also suggested by Anand and Somani (1998), Zhu et al. (2001) and Reory and Andrews (2003) among others. Since credit risk valuation attempts to quantify firms' default risk, the article proposes to apply one alternative approach of fault tree, or equivalently, a reliability study to assess firms' default risk.

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http://hdl.handle.net/10453/6379