Credit Risk Measurement and Models: Credit Risk Measures

In order to manage credit risk, it is essential for banks to be able to measure it. This is not always a straightforward task because there are various dimensions to consider such as the amount at risk, tenor, default risk, and so on. There is a range of measures that enable banks to estimate and quantify credit risk at product, customer, or portfolio level. Here we discuss how these measures are used to determine the level of credit risk.