Identificativo	SkoglundNystrom04,
Tipo di record
Autore/i	Skoglund J ; Nystrom K
Anno	2004
Titolo	Portfolio Credit Risk Revisited
	paper
Altre Informazioni	Stockholm, March 2 Web Download.
Keywords separare key1:key2
Abstract	In this paper we describe a multi-period and multi-state portfolio credit risk model. The model includes a methodology for estimation and simulation of systematic transition risk that extends the well-known Wilson (1997) systematic default risk model to transition matrices. Beyond making mark to market feasible the motivation for this extension is that pure default risk models, like Wilson’s model, tend to give too small weight to large transitions thereby potentially under-estimating credit risk. Moreover, we describe our approach to modelling recovery with stochastic collateral as in e.g., mortgage loans as well as our approach to dimension reduction of the portfolio in case of retail portfolios and to some extent SME portfolios. The model is also put to use in economic capital computations, credit risk pricing and in internal rating evaluation of (credit-linked) debt financing programs. An application illustrates the methods.
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Autore interessato	DISA
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