Credit Portfolio Research

To bring a horizontal perspective that complements and supports the institutional perspectives throughout the Supervision and Regulation Department, a dedicated group of risk specialists studies emerging issues affecting the banking industry. The studies listed here focus on credit portfolio models, with particular attention to role of systematic variation in loss given default as a determinant of overall credit loss.

Credit Portfolio Research

S&R-2005-2
Not a Stock Answer (PDF,38KB)

S&R-2005-1
A False Sense of Security (PDF,62KB)

S&R-2004-2
Loss Given Default and Economic Capital (brief version) (PDF,154KB)

S&R-2004-1
Loss Given Default (LGD) and Economic Capital (PDF,73KB)

S&R-2000-15
Collateral Damage (PDF,154KB)

S&R-2000-8
Depressing Recoveries (PDF,82KB)