Credit risk is the possibility of losing a lender holds, due to a risk of default on a debt that may arise from a borrower failing to make required payments. The modelling of this risk is an indispensable tool utilized by financial institutions worldwide - including banks, insurance companies and investment firms - to effectively measure, control and manage the risk associated with lending. The sphere of credit risk though is by no means confined to just loans or borrowed money; it extends to other areas of financial transactions, including bonds, derivatives, and other financial products. For this reason, this element of risk has triggered a wave of interest from various stakeholders ranging from academia to industry players, regulators and policy makers.