Abstract
In recent years risk management is the most important factor for banking sector. There are many risks associated with banking operations. Especially, minimizing the credit risk is a fundamental responsibility for banking sector today. Development of effective and accurate credit risk modelling can have a big impact on the decision making process of the banks. Several models for measuring credit portfolio risk have been developed. In this study it is aimed to explain credit risk models called industry models and reduced form intensity-based models concept within Basel II framework. Finally similar and different aspects of credit risk measurement models were investigated. In these analyzes data sources, credit volatilities, correlations, recovery rates, numerical methods, interest rates, risk classes, are taken into consideration.
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