Credit Risk Management
Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio. The primary goal of these models is to help credit analysts define whether a loan should be issued, which risk premia is appropriate, and how much capital should be directed to the loss reserve account. We closely follow a publication by Bluhm, Overbeck and Wagner (2002).
KeywordsDefault Probability Loss Distribution Gaussian Copula Bernoulli Model Credit Portfolio
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