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Credit Risk Management

The purpose of this policy is to outline the framework for credit risk management at Norges Bank Investment Management (NBIM) which shall include identification, assessment, measurement, management and internal reporting of credit risk. This policy applies both to absolute and relative risk. The credit risk framework shall support NBIM’s overall objectives and investment strategy to ensure proper balance between business objectives and risk appetite. Counterparty credit risk is not part of this policy and is governed by the NBIM Policy for Counterparty Risk Management.

Issued 23 January 2009
Last updated 7 June 2022


NBIM shall ensure segregation of duties between a recipient of an investment mandate who shall ensure that credit risk is taken and managed and an independent risk management function which shall identify, assess, measure, monitor, manage and report credit risk. NBIM shall manage credit risk at an issuer and portfolio level.

Both the recipient of an investment mandate and the independent risk management function shall report developments in credit risk based on independent processes in a prompt and appropriate manner.


  • Credit risk is defined as the risk of losses related to an issuer being unable to meet its obligations.
  • Default occurs when an issuer has not made a scheduled payment of interest or principal within 30 business days of the scheduled payment, or a bond covenant is breached. NBIM may deem a security as in default following an assessment that it is unlikely that the issuer will pay its obligations in full.

Credit risk measurement

  • Credit risk measurement shall include a credit exposure overview with respect to all instruments included in the funds under management.
  • Criteria shall be in place for identification of high risk issuers and for monitoring of these issuers.
  • The credit rating distribution for all issuers of fixed income instruments in the funds under management shall be monitored. Where credit ratings are not available, NBIM shall establish criteria for assessment of credit risk arising from such issuers.
  • For single issuer credit risk, the credit risk framework shall, as a minimum, include measurement and monitoring of the probability of default, credit exposure and expected loss.
  • For portfolio credit risk, the credit risk framework shall include measurement and monitoring of credit var, taking the correlation between instruments and issuers into consideration. Further to this, NBIM shall analyse concentration risk as well as undertake stress tests stemming from extraordinary market conditions.

Risk monitoring

  • The recipient of an investment mandate has ownership of and shall manage and monitor the credit risk according to the investment mandate.
  • The risk management function shall independently monitor and assess credit risk and the risk characteristics of the funds under management.
  • Adequate processes shall be in place in order to ensure timely and accurate credit risk monitoring. These processes shall also ensure an active dialogue regarding risk.


  • The investment areas shall report credit risk to the relevant levels in the organisation.
  • Credit risk shall be independently reported by the risk management function through standardised risk reporting in a prompt, accurate and consistent manner.
  • In addition to regular standardised reporting, pro-active risk analysis shall be facilitated and communicated to the Chief Risk Officer.

Management of issuer default

  • NBIM shall have procedures for management of default and CDS credit events with the aim of achieving the highest possible recovery.
  • The Chief Risk Officer shall without delay call the Leader Group investment meeting to inform them about matters of special importance or circumstances that require special attention.

Download the policy (pdf)