The Use of Portfolio Credit Risk Models in Central Banks
by Task Force of the European System of Central Banks
Introduction: The objectives of the task force were threefold. The first was to conduct a stock-taking exercise as regards current practices at NCBs and the ECB. The second followed directly from the first: to share views and know-how among participants. The third was to develop or agree on a "best practice" for central banks on certain central bank-specific modelling aspects and parameter choices. Two common portfolios were analysed by several task force members with different systems and the simulation results were compared.