The importance of credit risk assessment and monitoring has increased since the recent financial turmoil. This paper presents a toolkit for credit risk modeling that follows the top-down approach proposed by Wilson (1997). The analysis is conducted separately for the household and corporate...

In order to reduce its capital requirement, banks use different credit risk models that are able to detect de difference between defaulter and a non-defaulter customer. In this paper I aim to make a comparison between these models and more to see which ones improve most when a macroeconomic...