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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/44

Title: Risk quantification of retail credit: current practices and future challenges
Authors: Santomero, Anthony M.
Lang, William
Issue Date: Mar-2003
Publisher: CEIS
Series/Report no.: CEIS Tor Vergata Research Paper
Abstract: This paper analyzes current practices at U.S. banks for quantifying credit in retail portfolios and examines the challenges confronting banks and regulators in developing an internal ratings based (IRB) approach to setting capital requirements for retail exposures. The paper finds that approaches that directly estimate portfolio volatility are potentially a viable approach to estimating economic capital, but currently these methods do not provide a reliable approach for setting regulatory requirements. Alternative approaches based on direct estimating of structural risk parameters (e.g. probabilty of default) are currently a more viable option for setting capital standards.
URI: http://ssrn.com/abstract=392100
Appears in Collections:Research papers

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