Title: Stress-Testing Credit Risk Parameters - An Application to Retail Loan Portfolios
Abstract: Financial institutions are faced with the challenge to forecast future credit portfolio losses. It is common practice to focus on portfolio models consisting of a limited set of parameters, such as the probability of default, asset correlation, loss given default or exposure at default. A simple portfolio model is also used in the Basel II framework for calculating regulatory capital. With regard to the stability of the financial system, these models have to be approved by regulators who have an interest in a conservative assessment of the credit portfolio risk and require the stress-testing of risk estimates.
Publication Year: 2007
Publication Date: 2007-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 2
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