Some Aspects of Bank’s Credit Risk

Authors

  • Анна Анатольевна Федорова St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation; KIT Finance Investment bank

Abstract

In this paper, two algorithms are proposed for Monte-Carlo modeling of credit portfolio loss function when taking into account borrowers’ interdependence. In the first case, this dependence was accounted by means of loans-losses covariate matrix, in the second case, with default probabilities covariate matrix. First algorithm has shown that less diversified credit portfolio leads to the less value of VaR-unexpected losses. Second algorithm has demonstrated the reverse conclusion: in the case of higher defaults correlation and less diversified portfolio, we observe higher VaR-unexpected portfolio losses.

Keywords:

credit risk, method Monte-Carlo, covariate matix, credit portfolio, loss function

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Author Biography

Анна Анатольевна Федорова, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation; KIT Finance Investment bank

соискатель; риск-аналитик отдела кредитных рисков корпораций

References

Литература на русском языке

Волков С. Н. Оценивание кредитного риска: теоретико-вероятностные подходы. URL: http://www.creditrisk.ru/ publications/n_13/ (дата обращения: 17.08.2009).

Ивлиев С. В. Исследование кредитного риска методом Монте-Карло. URL: www.riskland.ru/lib/CreditRiskMonteCarlo.shtml (дата обращения: 17.08.2009).

Лемешко Б. Ю., Помадин С. С. Корреляционный анализ наблюдений многомерных случайных величин при нарушении предположений о нормальности // Сибирский журнал индустриальной математики. 2002. Т. 5. № 3. С. 115–130.

Соболь И. М. Метод Монте-Карло. М., 1968. C. 3.

Рейтинги агентства Moody’s предприятий России. URL: http://www.moodys.ru/mdcsPage.aspx?mdcsId=13&template =ratinglists (дата обращения: 17.08.2009).


References in Latin Alphabet

Wilson T. C. Portfolio Credit Risk. FRBNY Economic policy review, 1998. P. 71–82.


Translation of references in Russian into English

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Published

2009-12-30

How to Cite

Федорова, А. А. (2009). Some Aspects of Bank’s Credit Risk. St Petersburg University Journal of Economic Studies, (4), 185–190. Retrieved from https://economicsjournal.spbu.ru/article/view/3507

Issue

No. 4 (2009)

Section

Short Scientific Reports

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.