Credit Risk Analysis of a Bank's Loan Portfolio

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Boroomand, Babak | 2009

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 39554 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
Risk management is one of the most important topics in banking. Risk management in banking is divided to several categories including credit risk. Credit risk is also divided to individual credit risk and portfolio credit risk. In Iran many of banks have worked on individual credit risk models, but few of them have worked on portfolio models because these models have developed only in recent years. In our project we present three categories of credit risk models and then analyze the data of a private bank in Iran with CreditPortfolioView model. In CreditPortfolioView model, macroeconomic parameters are used to analyze the correlated behavior of individuals as a benchmark in different sections of an economy. In our analysis, CPI is found to be the most important parameter which explain the correlated behavior of individuals in different sections.
Keywords:
Value at Risk ; Credit Risk ; Loan Portfolio ; Default Probability ; Consumer Price Index ; Gross Domestic Product

No TOC