FRM Research Papers


Papers on Credit Risk Management by BIS


Apr 2010

Sound practices for backtesting counterparty credit risk models - consultative document


Feb 2010

Vendor models for credit risk measurement and management


May 2009

Principles for sound stress testing practices and supervision - final paper

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May 2009

Findings on the interaction of market and credit risk


Nov 2006

Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project


Jun 2006

Sound credit risk assessment and valuation for loans


Nov 2005

Sound credit risk assessment and valuation for loans - consultative document


May 2005

Studies on the Validation of Internal Rating Systems (revised)


Jan 2004

Changes to the securitisation framework


Aug 2003

Markets for Bank Subordinated Debt and Equity in Basel Committee Member Countries


Oct 2002

Second Working Paper on the Treatment of Asset Securitisations


Oct 2001

Working Paper on the Treatment of Asset Securitisations


Mar 2001

Review of issues relating to Highly Leveraged Institutions


Sep 2000

Best Practices for Credit Risk Disclosure


Sep 2000

Principles for the Management of Credit Risk


Jan 2000

Banks' Interactions with Highly Leveraged Institutions: Implementation of the Basel Committee's Sound Practices Paper


Sep 1999

Performance of Models-Based Capital Charges for Market Risk: 1 July-31 December 1998


Jul 1999

Best Practices for Credit Risk Disclosure


Jul 1999

Principles for the Management of Credit Risk


Apr 1999

Credit Risk Modelling: Current Practices and Applications

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Jan 1999

Banks' Interactions with Highly Leveraged Institutions

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Jan 1999

Sound Practices for Banks' Interactions with Highly Leveraged Institutions

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Sep 1992

Basel Committee: Asset transfers and securitisation

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Jan 1991

Basel Committee: Measuring and controlling large credit exposures

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Mar 1982

Basel Committee: Management of banks' international lending: country risk analysis and country exposure measurement and control

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