Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/154517 
Authorgroup: 
Task Force of the Market Operations Committee of the European System of Central Banks
Year of Publication: 
2007
Series/Report no.: 
ECB Occasional Paper No. 64
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
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.
Document Type: 
Research Report

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