Forecasting Retail Portfolio Credit Risk
DANIEL RÖSCH
(Assistant professor at the School of Business and Economics at the University of Regensburg, Germany. daniel.roesch@wiwi.uni‐regensburg.de)
HARALD SCHEULE
(Assistant professor at the School of Business and Economics at the University of Regensburg, Germany. harald.scheule@wiwi.uni‐regensburg.de)
683
Abstract
A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision [1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003] which has proposed a revision of the standards for banks' capital requirements.
Citation
RÖSCH, D. and SCHEULE, H. (2004), "Forecasting Retail Portfolio Credit Risk", Journal of Risk Finance, Vol. 5 No. 2, pp. 16-32. https://doi.org/10.1108/eb022983
Publisher
:Emerald Group Publishing Limited
Copyright © 2004, Emerald Group Publishing Limited