Abstrak 
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
Credit losses, downgrade, marginal and conditional probability., transition matrix
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
Credit losses, downgrade, marginal and conditional probability., transition matrix
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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