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Portfolio Credit Risk Modeling

  • Lorenzo Bocchi
  • Tiziano Bellini
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Portfolio credit risk analysis is a relatively new field of study. In the early nineties, analysts developed a wide range of models to extend the market practice of using value at risk (VAR) as a measure of portfolios’ potential losses. In this chapter, we compare different portfolio credit risk models that emphasize a common framework and we highlight how these models can be used for both regulatory and managerial purposes.

Keywords

Credit Risk Capital Requirement Economic Capital Default Probability Loss Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Lorenzo Bocchi and Tiziano Bellini 2013

Authors and Affiliations

  • Lorenzo Bocchi
  • Tiziano Bellini

There are no affiliations available

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