Perrotta, Adamaria; Monaco, Andrea; Bliatsios, Georgios - In: Risk management magazine 18 (2023) 3, pp. 36-53
sophisticated techniques for modelling credit risk have been developed and implemented. After the financial crisis of 2007 …-2008, credit risk management has been further expanded and has acquired significant regulatory importance. Specifically, Basel II … estimating the regulatory capital and expected losses. After motivating the importance of credit risk modelling in the banking …