Bindseil, Ulrich van der Hoorn, Han Nyholm, Ken Schwartzlose, Henrik Ledoyen, Pierre Föttinger, Wolfgang Monar, Fernando Boux, Bérénice Chiappa, Gigliola Honings, Noëlle Amado, Ricardo Sotamaa, Kai Rosen, Dan
This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by members of the task force. Section 4 presents the results of the simulation exercise undertaken by the task force. The lessons from these simulations as well as other conclusions are discussed in Section 5.