Modeling and management of credit risk are the main topics within banks and other lending
institutions. Historical experience shows that, in particular, concentration of risk in credit …

Risk concentrations play a crucial role for the survival of individual banks and for the stability
of the whole banking system. Thus, it is important from an economical and a regulatory …

Concentration risk is an important feature of many banking sectors, especially in emerging
and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit …

Analysis and management of credit risk has taken on an increased importance in recent
years. New regulations force banks and other financial institutions to make a credible effort …

Banks face the challenge of forecasting losses and loss distributions in relation to their credit
risk exposures. Most banks choose a modular approach in line with the current proposals of …

Credit risk has been a very active area of research over the past few years. Much progress
has been made in improving the classic firm-value based model of Merton (1974) where …

Among the major challenges of credit risk measurement is the issue of modelling the joint
default behaviour in a portfolio of fixed-income securities, eg corporate bonds or loans …

This introduction places in context the papers on credit risk modelling contained in the
special issue. We explain why credit risk modelling has become such a focus of interest for …

CreditRisk+ is an important and widely implemented default-mode model of portfolio credit
risk, based on a methodology borrowed from actuarial mathematics. This book gives an …

The current financial and economic situation, as well as requirements of consumers
changes very quickly. For this reason, banks have to update their portfolio of the services all …