Credit Risk Modeling

Ram Sinha

The IUP Journal of Managerial Economics, 2005, vol. III, issue 3, 54-65

Abstract: Credit risk is most simply defined as the potential that a borrower/counter party will fail to meet its obligations in accordance with agreed terms. The goal of credit risk management is to maintain credit risk exposure within targeted limits so that the bank/financial institution can maximize risk adjusted return. Credit risk models facilitate the process of credit risk management in a big way. The implementation of the new Basel Accord requires computation of capital charge on the basis of internal credit risk models. The present paper discusses the alternative approaches to credit risk modeling and the implication of the new accord on model building with special reference to the following: (i) Treatment of systematic risk, and (ii) Treatment of granularity charge. Further, the paper provides a brief report of the recent initiatives in India regarding credit risk management.

Date: 2005
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjme:v:03:y:2005:i:3:p:54-65

Access Statistics for this article

More articles in The IUP Journal of Managerial Economics from IUP Publications
Bibliographic data for series maintained by G R K Murty ().