Forecasting retail portfolio credit risk

Daniel Roesch and Harald Scheule
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Daniel Roesch: University of Regensburg

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision [1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003] which has proposed a revision of the standards for banks' capital requirements.

Keywords: Business Cycle; Correlation; Credit Risk; Basel II; Retail Portfolio Models (search for similar items in EconPapers)
JEL-codes: C51 G20 G28 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2004-01-01
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Citations: View citations in EconPapers (21)

Published as: Roesch, D. and Scheule, H., 2004, "Forecasting retail portfolio credit risk", The Journal of Risk Finance, 5(2), 16-32.

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Journal Article: Forecasting Retail Portfolio Credit Risk (2004)
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