Forecasting Retail Portfolio Credit Risk

Abstract

A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision [1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003] which has proposed a revision of the standards for banks' capital requirements.

Citation

RÖSCH, D. and SCHEULE, H. (2004), "Forecasting Retail Portfolio Credit Risk", Journal of Risk Finance, Vol. 5 No. 2, pp. 16-32. https://doi.org/10.1108/eb022983