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Vendor models for credit risk measurement and management - Basel Committee

Vendor models for credit risk measurement and management

BCBS Working Papers No 17
February 2010

the Research Task Force of the Basel Committee initiated a review of selected vendor credit-risk products, focusing on models that could be used to estimate probability of default, loss-given-default, or exposure at default, and models that could be used to assign ratings or produce credit scores, for wholesale or retail credit exposures. This paper provides a high-level discussion of certain observations from the RTF review of vendor products for credit risk measurement and management.

http://www.bis.org/publ/bcbs_wp17.htm

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