Vendor Models For Credit Risk Measurement And Management
A number of vendors produce and sell products that are designed to support credit-risk measurement and management functions within financial institutions. Such products may comprise risk measurement models, data, or systems developed by external commercial entities. Interest in such vendor products has grown recently, as financial institutions seek to meet new requirements such as the Internal Ratings-Based (IRB) approaches of the Basel II framework. Indeed, the potential use of vendor models is explicitly contemplated within Basel II.