Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators

Guillaume Ouellet Leblanc, Maarten van Oordt
The Bank's internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties. These indicators supplement existing fundamental quantitative and qualitative credit risk analysis by providing a timely reading of markets' perceptions of the credit quality of financial counterparties.
doi:10.34989/san-2017-15 fatcat:qnwqy7zesfabdp3jejrsfjjg64