Expected and unexpected losses: credit risk loss distribution

What it is about

Conceptual and methodological foundations for measuring credit risk, distinguishing expected losses, those anticipated under normal conditions, from unexpected losses, associated with adverse scenarios and extreme events.

It also analyzes the statistical distribution of losses in credit portfolios, with concepts such as probability of default, loss severity and credit conversion factors, their relevance for integrated risk management and the solvency of institutions, and the challenges of implementing them properly.