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Credit Risk Measurement for a Single Facility in Banking

Credit Risk Measurement for a Single Facility in Banking
Sukono
Universitas Padjadjaran, Proceeding of The 5th IMT-GT International Conference on Mathematics, Statistics, and their Applications 2009
Bahasa Inggris
Universitas Padjadjaran, Proceeding of The 5th IMT-GT International Conference on Mathematics, Statistics, and their Applications 2009
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To quantify credit risk, we wish to obtain the probability distribution of the losses from a credit portfolio and also to have a measure of the contribution of each loan to the portfolio loss. In this paper, we examined the foundation for quantifying the credit risk of a portfolio by quantifying the risk for individual facilities. We start by considering the simple case of modeling the losses that could occur over one year due to a default. We then add the complication of additional losses due to the possibility of downgrades. Finally, we look at how the risk can be calculated for a credit exposure that lasts for multiple years. Finally, we apply the method to analyze the credit data from some Banking in Indonesian.

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