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The use of portfolio credit risk models in Central Banks

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  • Ulrich Bindseil
  • Han van der Hoorn
  • Ken Nyholm
  • Henrik Schwartzlose
  • Pierre Ledoyen
  • Wolfgang Föttinger
  • Fernando Monar
  • Bérénice Boux
  • Gigliola Chiappa
  • Noëlle Honings
  • Ricardo Amado
  • Kai Sotamaa
  • Dan Rosen
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    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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    File URL: http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp64.pdf
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    Bibliographic Info

    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
    Date of revision:
    Handle: RePEc:ecb:ecbops:20070064

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