Credit Risk Modeling
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): III (2005)
Issue (Month): 3 (August)
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:icf:icfjme:v:03:y:2005:i:3:p:54-65. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty)
If references are entirely missing, you can add them using this form.