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A tool for measuring and managing credit risk in portfolios of foreign reserves

机译：在外汇储备组合中衡量和管理信贷风险的工具

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摘要

Improving the assessment of credit risk has become a priority for many central banks after the global financial crisis. Central banks need to decide how much effort to put into developing credit risk assessment tools, taking into account their resources and limitations. This paper proposes a tool that is both pragmatic and conceptually sound, which allows to improve the assessment of credit risk for foreign reserves managers and complements the information produced by the rating agencies. The tool we propose uses three different credit risk models in order to identify the issuers that have a high, moderate, or low probability of having a ratings downgrade below the minimum accepted rating, within the issuers that meet the minimum rating requirements. The signals from the tool are built from market and fundamental information of each issuer. Additionally there is a proposal for a framework to turn the outputs from the model into investment decisions.
机译：在全球金融危机之后，改善信贷风险的评估已成为许多央行的优先事项。 中央银行需要决定投入信用风险评估工具的努力，同时考虑到他们的资源和限制。 本文提出了一种务实和概念性声音的工具，这允许改善外国储备管理人员对信贷风险的评估，并补充评级机构所产生的信息。 我们提出的工具使用了三种不同的信用风险模型，以确定具有在符合最低评级要求的发行人的最低可接受评级之下的评级下调的高度，中等或低概率的发行人。 来自该工具的信号由每个发行人的市场和基本信息构建。 此外，还有一个框架将从模型转换为投资决策的框架。

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