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Portfolio Credit Risk Modeling

In: Retail Credit Risk Management

Author

Listed:
  • Lorenzo Bocchi
  • Tiziano Bellini

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.

Suggested Citation

  • Lorenzo Bocchi & Tiziano Bellini, 2013. "Portfolio Credit Risk Modeling," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Mario Anolli & Elena Beccalli & Tommaso Giordani (ed.), Retail Credit Risk Management, chapter 8, pages 151-167, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-00676-9_8
    DOI: 10.1057/9781137006769_8
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    Cited by:

    1. Papalamprou, Konstantinos & Antoniou, Paschalis, 2019. "Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector," Operations Research Perspectives, Elsevier, vol. 6(C).

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