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CREDIT RISK MODELLING: CURRENT PRACTICES AND …

CREDIT RISK MODELLING: CURRENT PRACTICESANDAPPLICATIONSB asle Committee on Banking SupervisionBasleApril 1999 TABLE OF CONTENTSList of ParticipantsExecutive SummaryPart I:Introduction1. Overview .. 82. Internal Applications of CREDIT Risk Models .. 93. Key Challenges to Regulatory 104. Organisation of Report .. 11 Part II:Overview of Conceptual Approaches to CREDIT Risk Modelling1. Economic Capital Allocation .. 13A. Probability Density Function of CREDIT Losses .. 13B. Key Issues .. 162. Measuring CREDIT Loss .. 16A. Time Horizon .. 16B. Default-Mode 17An Illustration: The Mean/Standard Deviation 18 Internal Risk Rating Systems, EDFs, Transition 19C. Mark-to-Market Paradigm .. 22 Discounted Contracual Cash Flow 22 Risk-Neutral Valuation 23D. Key Issues .. 243. Probability Density Functions .. 26A. 26B. Key Issues .. 274. Conditional versus Unconditional Models.

• Different approaches to the aggregation of credit risk. Credit risk may be measured at the individual asset level, as is typically the case with large corporate and capital market instruments; conversely, aggregate (pooled) data may be used to quantify the risk of smaller loans with similar risk profiles.

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