Home  Journals  Financial Analytics: Science and Experience  3(141) - 2013 January

Review of approaches to portfolio credit risk modeling

Available online: 28 January 2013

Subject Heading: BANKING SECTOR

JEL Classification: 

One of the key tasks of banks is effective distribution of the capital that is impossible without effective management of risks of credit portfolios, in particular credit risk. In the article the analysis of key component of credit risk and methodological approaches to its modeling at the portfolio level is presented. The main advantages and shortcomings of each of approaches and applicability within the Russian reality are defined. Article covers both theoretical and empirical works in the field of measurement and modeling of credit risk.

Keywords: Basel II, credit risk, structural modes, reduced-form model, hybrid model, information

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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