The Law Dictionary

Your Free Online Legal Dictionary • Featuring Black’s Law Dictionary, 2nd Ed.

CREDIT PORTFOLIO MODEL Definition & Legal Meaning

Definition & Citations:

A general model that estimates credit losses arising from deterioration and DEFAULT in creditrisky PORTFOLIOS. Since the model examines portfolio losses, the analytics rely on default CORRELATION estimates between COUNTERPARTIES in the portfolio. A credit portfolio model can be used as a RISK MANAGEMENT, business management, portfolio optimization, and CAPITAL ALLOCATION tool.

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