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Abstract
Market-risk models have been actively developed and implemented. Many of these same techniques are being applied to credit risk. These models include KMV Portfolio Manager, CreditMetrics, CreditRisk, and CreditPortfolioView. The development of portfolio credit risk is discussed, including definitions and terminology common to most credit-risk models. Each of the 4 models are summarized. The models are compared on 3 critical factors: 1. probability of loss, 2. severity of loss, 3. and correlation of losses. The results the models provide are increasingly useful, but very sensitive to several variables including default and default correlation. The four models generate consistent results if the necessary assumptions are coordinated, consequently accurate data and assumptions are critical to any model. Portfolio credit-risk models are not yet integrated with portfolio market risk.