Developing the model of the credit risk assessment of the commercial bank credit loans portfolio

Tatiana Pustovalova

No 835, Working Papers from Graduate School of Management, St. Petersburg State University

Abstract: Over the past decade, commercial banks have devoted many resources to developing internal models to better quantify their financial risks and assign economic capital. These efforts have been recognized and encouraged by bank regulators. Recently, banks have extended these efforts into the field of credit risk modeling. The Basel Committee on Banking Supervision proposes a capital adequacy framework that allows banks to calculate capital requirement for their banking books using internal assessments of key risk drivers. Hence the need for systems to assess credit risk. In this work, we describe the case of successful application of VAR methodology for credit risk estimation. Executive summary is available at pp. 32.

Keywords: banking; credit risk; default; Basel 2; value of risk; банковское регулирование; кредитный риск; дефолт; Базельский комитет; ценность риска (search for similar items in EconPapers)
Date: 2010
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