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Home > Education and Museum > CCBS handbook No. 34 - Modelling credit risk
 

CCBS handbook No. 34 - Modelling credit risk

11 September 2015
CCBS Handbook No. 34
by Somnath Chatterjee

Financial institutions have developed sophisticated techniques to quantify and manage credit risk.  From a regulator's perspective a clear understanding of the techniques used would enhance supervisory oversight of financial institutions.  The role of a credit risk model is to take as input the conditions of the general economy and those of the firm in question, and generate as output a credit spread.  This handbook describes the different methods used to arrive at this notion of a credit spread. 

CCBS Handbook No. 34 - Modelling credit risk
Complete handbook version

CCBS Handbook No. 34 - Modelling credit risk
Spanish Language version

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