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Modelling credit risk

Somnath Chatterjee

in Handbooks from Centre for Central Banking Studies, Bank of England

Abstract: Financial institutions have developed sophisticated techniques to quantify and manage credit risk. From a regulator's perspective a clear understanding of the techniques used would enhance supervisory oversight of financial institutions. The role of a credit risk model is to take as input the conditions of the general economy and those of the firm in question, and generate as output a credit spread. This handbook describes the different methods used to arrive at this notion of a credit spread. the field, discussing how text mining is useful for addressing research topics of interest to central banks, and providing a step-by-step primer on how to mine text, including an overview of unsupervised and supervised techniques.

Keywords: Modelling; credit; risk (search for similar items in EconPapers)
JEL-codes: G12 G21 G28 (search for similar items in EconPapers)
Date: 2015
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