Assessing and managing credit risk in retail financial services

The paper reviews recent developments and future needs in modelling credit risk in the retail portfolio and their recent regulatory implications, against the implications of the new framework proposed by the Basel Committee on Banking Supervision. It introduces four related papers arising from a conference held at the Bank of England in November 2000, before outlining the history of the requirements and the determination of the minimum capital required by banks to cover credit risk on their assets. The rationale for the mathematics behind the proposed new international ‘internal-ratings based approach’, relying on banks' own models, is then briefly discussed, with relevant bibliography for further reading.