Developing the model of the credit risk assessment of the commercial bank credit loans portfolio
AbstractOver 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Graduate School of Management, St. Petersburg State University in its series Working Papers with number 104.
Date of creation: 2010
Date of revision:
Contact details of provider:
Postal: 3, Volkhovsky per., Saint Petersburg, 199004
Phone: Phone: (+7-812) 323 8456
Fax: (+7-812) 329 3234
Web page: http://dspace.gsom.pu.ru/jspui/
More information through EDIRC
banking; credit risk; default; Basel 2; value of risk;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-24 (All new papers)
- NEP-BAN-2010-04-24 (Banking)
- NEP-BEC-2010-04-24 (Business Economics)
- NEP-CFN-2010-04-24 (Corporate Finance)
- NEP-REG-2010-04-24 (Regulation)
- NEP-RMG-2010-04-24 (Risk Management)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lena Manaeva) The email address of this maintainer does not seem to be valid anymore. Please ask Lena Manaeva to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.