Credit Risk Modelling

From Open Risk Manual

Definition

Credit Risk Modelling is a large subset of Quantitative Risk Management, with focus on the development of models and tools for the assessment and management of Credit Risk.

Aggregation Level

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

Business Sector

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

By Size

By Product Type

  • Unsecured Lending
  • Collateralized Lending
  • Derivatives Exposures

Business Purpose

Credit risk models enter in a wide variety of contexts:



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