Improving Banks' Credit Risk Management

The last year has seen financial institutions worldwide announce writedowns of hundreds of billions of dollars as a result of participating in the US mortgage market, in particular in subprime and other lower-rated mortgage-backed securities. Improving the practice of credit risk management by banks has thus become a top priority. Researchers Huang (Delft University of Technology) and Oosterlee (CWI) in the Netherlands focus on quantifying portfolio credit risk by advanced numerical techniques with an eye to active credit portfolio management. This work is sponsored by the Dutch Rabobank.