Validation of Credit Risk Models

Posted: 30 Oct 2012

Date Written: November 1, 2004

Abstract

The Basel Committee on Banking Supervision has been working since 1999 on a revision of the 1998 regulation on capital requirements (Basel II). According to the new regulation to be implemented by the end of 2006, many banks will want to calculate the amount of regulatory capital requirements on the basis of default probabilities estimated from internal credit ratings. But the creation, calibration and validation of a credit risk model raise many technical questions and issues: How to measure the credit risk itself? How to obtain a realistic migration matrix? What kind of computational models to use? How to take into account the business cycles? How to properly calibrate the correlations in the model?

Suggested Citation

Barthelemy, Sylvain, Validation of Credit Risk Models (November 1, 2004). Available at SSRN: https://ssrn.com/abstract=1126249

Sylvain Barthelemy (Contact Author)

TAC ( email )

La Saigeais
35140 Saint Hilaire des Landes
France

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
481
PlumX Metrics