Financial institutions are faced with the challenge to forecast future credit portfolio losses.It is common practice to focus on portfolio models consisting of a limited set of parameters,such as the probability of default, asset correlation, loss given default or exposure at default.A simple...

A major topic in retail lending is the measurement of the inherent portfolio credit risk. Two importantparameters are default probabilities (PDs) and correlations. Both are considered in theNew Basel Accord. Due to limited empirical evidence on their magnitude, in particular for retailcredit...

Small and medium-sized enterprises are a centrepiece of Europe's economy. Due to their limited size and their generally lower creditworthiness, their access to financial market instruments is more limited than for large enterprises, which benefit from more elaborate Treasury operations,...