Portfolio Credit Risk Modeling

  • Lorenzo Bocchi
  • Tiziano Bellini
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)


Portfolio credit risk analysis is a relatively new field of study. In the early nineties, analysts developed a wide range of models to extend the market practice of using value at risk (VAR) as a measure of portfolios’ potential losses. In this chapter, we compare different portfolio credit risk models that emphasize a common framework and we highlight how these models can be used for both regulatory and managerial purposes.


Credit Risk Capital Requirement Economic Capital Default Probability Loss Distribution 
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© Lorenzo Bocchi and Tiziano Bellini 2013

Authors and Affiliations

  • Lorenzo Bocchi
  • Tiziano Bellini

There are no affiliations available

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