Credit portfolio loss modelling
Summary
Credit portfolio loss modelling deals with modeling credit risk and finding methods to accurately determine quantiles of a loss distribution for the losses in the loan portfolio of a bank. We look only at the losses incurred by the bank resulting from clients not repaying their loans. The underlying model we use for losses on indivual loans is quite simple. However obtaining quantiles of portfolio losses appears not to be very straightforward. In this thesis we discuss some methods to obtain quantiles of a loss distribution and compare their performances on a number of portfolios.