Transcription of CREDIT RISK MODELLING: CURRENT PRACTICES AND …
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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.
bank solvency if modelled credit risk estimates are inaccurate – underscore the need for a better understanding of a model’s sensitivity to structural assumptions and parameter estimates. • Model validation: The validation of credit risk models is fundamentally more difficult than the backtesting of market risk models. Where market risk ...
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