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The use of portfolio credit risk models in Central Banks

Author

Listed:
  • 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

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.

Suggested Citation

  • 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 , 2007. "The use of portfolio credit risk models in Central Banks," Occasional Paper Series 64, European Central Bank.
  • Handle: RePEc:ecb:ecbops:20070064
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