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Credit Risk Modelling of Low Default Portfolios:​ Part I - Identification and regulatory highlights

Posted on Feb 09, 2022

Traditional statistical techniques show various weaknesses when modelling low default portfolios. These low default portfolios have also drawn regulator’s concern as highlighted in the ECB report published in April 2021.

This publication is the first one of a series dedicated to low default portfolios.

Read our introduction on low default portfolios here.

For more information or if you have any questions please contact:

Dr. Andreas Peter
Managing Partner
Fintegral Deutschland AG
+49 160 583 40 66

Samuele D'Altri
Senior Manager
Fintegral UK Ltd.
+44 7494 855 102

Polly Wong
Fintegral UK Ltd.
+44 7519 581 592

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