The Use of Portfolio Credit Risk Models in Central Banks

45 Pages Posted: 18 Jul 2007

See all articles by Ulrich Bindseil

Ulrich Bindseil

European Central Bank (ECB)

Han van der Hoorn

PGGM Investments

Ken Nyholm

European Central Bank (ECB)

Henrik Schwartzlose

European Central Bank (ECB)

Date Written: July 2007

Abstract

This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by members of the task force. Section 4 presents the results of the simulation exercise undertaken by the task force. The lessons from these simulations as well as other conclusions are discussed in Section 5.

Suggested Citation

Bindseil, Ulrich and van der Hoorn, Han and Nyholm, Ken and Schwartzlose, Henrik, The Use of Portfolio Credit Risk Models in Central Banks (July 2007). ECB Occasional Paper No. 64, Available at SSRN: https://ssrn.com/abstract=977355

Ulrich Bindseil (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Han Van der Hoorn

PGGM Investments ( email )

Noordweg Noord 150
P.O.Box 117
Zeist, 3700 AC
Netherlands

Ken Nyholm

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Henrik Schwartzlose

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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