Portfolio credit risk in central banks

This report presents the findings of a task force, established in early 2006 and consisting of nine Eurosystem central banks to analyse and discuss the use of portfolio credit risk methodologies by central banks.

The report's five "lessons" are that:

1. A portfolio credit risk model is recommended for central banks with credit risky assets.

2. Measured by CreditVaR, a typical central bank portfolio may exhibit more portfolio credit risk than expected, especially at very high confidence levels

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