Portfolio Credit Risk Modeling

Lorenzo Bocchi and Tiziano Bellini

Chapter 8 in Retail Credit Risk Management, 2013, pp 151-167 from Palgrave Macmillan

Abstract: Abstract Portfolio credit risk analysis is a relatively new field of study. In the early nineties, analysts developed a wide range of models to extend the market practice of using value at risk (VAR) as a measure of portfolios’ potential losses. In this chapter, we compare different portfolio credit risk models that emphasize a common framework and we highlight how these models can be used for both regulatory and managerial purposes.

Keywords: Credit Risk; Capital Requirement; Economic Capital; Default Probability; Loss Distribution (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-00676-9_8

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DOI: 10.1057/9781137006769_8

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