The financial crisis has revealed gaps in both the information available for analysis, and the ways of illustrating assessments carried out (based on information already available). This paper describes a novel way of illustrating the Riksbank’s credit risk assessment of the Swedish banking sector. The illustration consists in a credit risk matrix as well as a credit risk cube (“heat map”) in which categories of borrower in the regions where the Swedish banks’ are present are assessed in two or three dimensions; exposure (E), probability of default (PD), and Loss Given Default (LGD).
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