The use of portfolio credit risk models in Central Banks
AbstractThis 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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Bibliographic InfoPaper provided by European Central Bank in its series Occasional Paper Series with number 64.
Length: 45 pages
Date of creation: Jul 2007
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-08 (All new papers)
- NEP-CBA-2007-08-08 (Central Banking)
- NEP-FMK-2007-08-08 (Financial Markets)
- NEP-MAC-2007-08-08 (Macroeconomics)
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