CCBS publication
By Somnath Chatterjee
Financial institutions have developed sophisticated techniques to quantify and manage credit risk. From a regulator's perspective a clear understanding of the techniques used would enhance supervisory oversight of financial institutions. The role of a credit risk model is to take as input the conditions of the general economy and those of the firm in question, and generate as output a credit spread. This handbook describes the different methods used to arrive at this notion of a credit spread.
Modelling credit risk