Credit Risk Models at Major U.S. Banking Institutions

Credit Risk Models at Major U.S. Banking Institutions:
Current State of the Art and Implications for
Assessments of Capital Adequacy

Prepared by the System Task Force on Internal Credit Risk Models. The report describes current uses of internal models by major U.S. banking organizations and outlines possible uses of the models for assessing bank capital adequacy.

Report on credit risk models (145 KB PDF)
Executive summary (49 KB PDF)

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Last update: June 3, 1998