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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.

Credit Risk Modelling: Current Practices and Applications Executive Summary 1. Summary and objectives Over the last decade, a number of the world’s largest banks have developed sophisticated systems in an attempt to model the credit risk arising from important aspects of their business lines.

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