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The use of portfolio credit risk models in Central Banks

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Author Info
Ulrich Bindseil () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Han van der Hoorn () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Ken Nyholm () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Henrik Schwartzlose () (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
Pierre Ledoyen (National Bank of Belgium, boulevard de Berlaimont 14, BE-1000 Brussels, Belgium.)
Wolfgang Föttinger () (Deutsche Bundesbank, Hauptverwaltung Frankfurt am Main, Postfach 11 12 32, 60047 Frankfurt / Main.)
Fernando Monar (Banco de Espana, Alcala 50, E-28014 Madrid, Spain.)
Bérénice Boux (Banque de France,39, rue Croix-des-Petits-Champs, F-75049 Paris Cedex 01, France.)
Gigliola Chiappa (Banca d'Italia, Via Nazionale 91, I-00184 Rome, Italy.)
Noëlle Honings (De Nederlandsche Bank, Westeinde 1, NL - 1017 ZN Amsterdam, The Nederlands.)
Ricardo Amado (Banco de Portugal, 148, Rua do Comercio, P-1101 Lisbon Condex, Portugal.)
Kai Sotamaa (Suomen Pankki, P.O. Box 160, FIN-00101 Helsinki, Finland.)
Dan Rosen (University of Toronto, McMurrich Building, Administration, 12 Queen's Park Crescent West, Toronto, Ontario M5S 1A8, Canada.)
Abstract

This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by members of the task force. Section 4 presents the results of the simulation exercise undertaken by the task force. The lessons from these simulations as well as other conclusions are discussed in Section 5.

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Paper provided by European Central Bank in its series Occasional Paper Series with number 64.

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Length: 45 pages
Date of creation: Jul 2007
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Handle: RePEc:ecb:ecbops:20070064

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