Credit Risk Modelling

From Open Risk Manual
(Redirected from Credit Risk Model)

Definition

Credit Risk Modelling is the development of models and tools for the assessment and management of Credit Risk. Credt risk modelling is a ubset of Quantitative Risk Management.

Classification

By Aggregation Level

The Credit Risk Modelling domain can be subdivided in two major branches depending on the Risk Aggregation level:

By Obligor Size

By Product Type

  • Unsecured Lending
  • Collateralized Lending
  • Derivatives Exposures

By Business Purpose

Credit risk models enter in a wide variety of contexts:

By Business Line

Credit risk models vary by the primary business sector they address. Here again there are various possible decompositions

Contributors to this article

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