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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.

accurate risk- and performance-based pricing, which may contribute to a more transparent decision-making process; and (d) a more consistent basis for economic capital allocation. • From a supervisory perspective, the development of modelling methodology and the consequent improvements in the rigour and consistency of the risk management

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