The use of portfolio credit risk models in central banks

Ulrich Bindseil, Kai Sotamaa, Ricardo Amado, Noëlle Honings, Gigliola Chiappa, Bérénice Boux, Wolfgang Föttinger, Pierre Ledoyen, Henrik Schwartzlose, Han van der Hoorn, Fernando Monar, Ken Nyholm and Dan Rosen

No 64, Occasional Paper Series from European Central Bank

Abstract: 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. JEL Classification: E

Keywords: central banks; credit risk (search for similar items in EconPapers)
Date: 2007-07
Note: 327704
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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