The use of portfolio credit risk models in Central Banks.
This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by members of the task force. Section 4 presents the results of the simulation exercise undertaken by the task force. The lessons from these simulations as well as other conclusions are discussed in Section 5.
Year of publication: |
2007-07
|
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Authors: | Bindseil, Ulrich ; Hoorn, Han van der ; Nyholm, Ken ; Schwartzlose, Henrik ; Ledoyen, Pierre ; Föttinger, Wolfgang ; Monar, Fernando ; Boux, Bérénice ; Chiappa, Gigliola ; Honings, Noëlle ; Amado, Ricardo ; Sotamaa, Kai ; Rosen, Dan |
Institutions: | European Central Bank |
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