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Essentials of Credit Portfolio Management

by Kaj Nyström of Swedbank, and
Jimmy Skoglund of Swedbank

March 20, 2003

Abstract: Modelling credit risk is a challenge for any financial institution and in particular any bank need a structured approach to the quantification and management of credit risk. In this paper we intend to describe, as clearly as possible, the structures and models involved. Our point of view is that the 'essentials of credit portfolio management' can be summarized quite easily. We discuss the problem faced by a modern bank when it comes to the pricing of credit risk as well as economic capital computation and allocation.

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