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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.

credit loss arises only if a borrower defaults within the planning horizon, and the mark-to-market (or more accurately, mark to model) paradigm, in which credit deterioration short of default is also incorporated. Banks may also choose to adopt different time horizons for monitoring credit risk.

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