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The Use of Portfolio Credit Risk Models in Central Banks
Company: European Central Bank
Year Of Publication: 2007
Month Of Publication: July
Pages: 45
Download Count: 336
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 8-12-2007
Publisher: Administrator
This report summarises the findings of the taskforce. It is organised as follows. Section 2 startswith a discussion of the relevance of credit riskfor central banks. It is followed by a shortintroduction to credit risk models, parametersand systems in Section 3, focusing on modelsused by members of the task force. Section 4presents the results of the simulation exerciseundertaken by the task force. The lessons fromthese simulations as well as other conclusionsare discussed in Section 5.
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