Forecasting Retail Portfolio Credit Risk Available to Purchase

A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision [1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003] which has proposed a revision of the standards for banks' capital requirements.