Management

Credit risk measurement: Developments over the last 20 years

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Abstract
This paper traces developments in the credit risk measurement literature over the last
20 years. The paper is essentially divided into two parts. In the ®rst part the evolution of
the literature on the credit-risk measurement of individual loans and portfolios of loans
is traced by way of reference to articles appearing in relevant issues of the Journal of
Banking and Finance and other publications. In the second part, a new approach built
around a mortality risk framework to measuring the risk and returns on loans and
bonds is presented. This model is shown to o€er some promise in analyzing the risk-return
structures of portfolios of credit-risk exposed debt instruments. Ó 1998 Elsevier
Science B.V. All rights reserved.

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English

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