Credit Risk

Credit Risk

Based on our experience, we can contribute to the development and implementation of various kinds of credit risk policies and models.

Credit risk is the risk of loss due to a counterparty’s inability to completely fulfill its contractual obligations. Credit risk is the main contributor to the overall risk profile of different kind of institutions. Many efforts have been put into modeling expected and unexpected losses as a result of credit risk. These models consist of drivers for both default risk and recovery risk.

Probability of default (PD) is a driver for default risk, whereas exposure at default (EAD) and loss given default (LGD) deal with recovery risk.

Credit risk models are used for the following processes:

  • credit limit setting;
  • loan pricing;
  • review frequency; and
  • portfolio management.


Interested in
Credit Risk?

Evert de VriesCharles Zondag
Get in touch with Evert de Vries or Charles Zondag for more information about Credit Risk.