The benchmark for understanding credit risk

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A value-at-risk (VaR) framework applicable to all institutions worldwide that carry
credit risk in the course of their business.
• A full portfolio view addressing credit event correlations which can identify the costs of
over concentration and benefits of diversification in a mark-to-market framework.
• Results that drive: investment decisions, risk-mitigating actions, consistent risk-based
credit limits, and rational risk-based capital allocations.

We also discuss how the results can be used in portfolio management, limit setting, and economic capital allocation.

[此贴子已经被作者于2006-4-7 10:31:32编辑过]