2016 Volume 8 Pages 37-40
We introduce a credit portfolio risk model within the ``top-down approach'' and then demonstrate applicability of our model to practical credit risk management via some empirical studies using some historical data on down-grades of Japanese firms. Specifically we present a simple random thinning model with some latent factor so as to explain the fact that downgrades are observed in some sub-portfolio much more or much less than expected naively.