Credit Risk Modelling

From Open Risk Manual


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.


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