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The Nature of Credit Risk: the effect of maturity, type of obligor, and country of domicile

by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College

November 1999

Abstract:  Credit is the largest element of risk in the books of most banks and failures in the management of credit risk, by weakening individual banks and in some cases the banking system as a whole, have contributed to many episodes of financial instability (see Kaminsky and Reinhart (1999)).  A greater understanding of the nature of credit risk, leading to improved measurement and management, would help to strengthen the international financial system.

Published in: Financial Stability Review, Bank of England, Issue 7, (November 1999), pp.128-140.

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