Essentials of Credit Portfolio Management

Posted: 9 Apr 2013

Date Written: April 8, 2003

Abstract

Modelling credit risk is a challenge for any financial institution and in particular any bank need a structured approach to the quantification and management of credit risk. In this paper we intend to describe, as clearly as possible, the structures and models involved. Our point of view is that the 'essentials of credit portfolio management' can be summarized quite easily. We discuss the problem faced by a modern bank when it comes to the pricing of credit risk as well as economic capital computation and allocation.

Keywords: credit risk, credit models, credit pricing

Suggested Citation

Skoglund, Jimmy and Nyström, Kaj, Essentials of Credit Portfolio Management (April 8, 2003). Available at SSRN: https://ssrn.com/abstract=2246671

Jimmy Skoglund (Contact Author)

SAS Institute Inc. ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

Kaj Nyström

University of Umea ( email )

Samhallsvetarhuset, Plan 2
Umea University
Umeå, SE 901 87
Sweden

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