The New Basel Capital Accord will allow the determination of banks' regulatory capital requirements due to probabilities of default which are estimated and forecasted from internal ratings. Broadly, two rating philosophies are distinguished: Through the Cycle versus Point in Time Ratings. We...

The main purpose of the article is to present the role of information in bank management, in the aspect of credit risk accompanying the bank performance. To prepare relevant risk analyses, comprehensive, reliable and up-to-date information is needed. This should be obtained from numerous sources...

This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of...

Credit scoring models play a fundamental role in the risk management practice at most banks. They are used to quantify credit risk at counterparty or transaction level in the different phases of the credit cycle (e.g. application, behavioural, collection models). The credit score empowers users...

Credit risk refers to the likelihood that a firm or individual borrower will fail to meet a debt obligation. Credit risk evaluation is a very challenging and important problem in the domain of financial risk management. There are different methods and approaches for constructing credit risk...