Bank’s Credit Risk Modeling

Authors

  • Givi Lemonjava The University of Georgia

DOI:

https://doi.org/10.62343/cjss.2013.123

Keywords:

Credit Risk Modeling, Risk Management, Capital Requirement, Economic Capital, Credit Portfolio Management

Abstract

The article reviews the Bank’s credit risk modeling issues. The substance of the article analyzes the credit risk structure and methods for measuring its components. Credit risk is measured as a loss, that is the function of several variables. The amount of open credit risk position in case of default, expected proba-bility of credit default and recovery ratio after the default are the main variables of the given function presented in the arti-cle. These variables are reviewed as random values and meth-ods are given for its evaluation and integration as one indica-tor.
The article also reviews the tasks of forming the bank’s internal credit ratings and issues related to the use of these ratings in credit risk evaluation model.

Downloads

Published

31.12.2013

How to Cite

Lemonjava, G. (2013). Bank’s Credit Risk Modeling. Caucasus Journal of Social Sciences, 6(1), 81–91. https://doi.org/10.62343/cjss.2013.123

Issue

Vol. 6 No. 1 (2013)

Section

Research papers

License

Copyright (c) 2023 Givi Lemonjava

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

In case an article is accepted for publication it is allowed to combine the article with other research, to conduct new research on the article, or to make different arrangements on condition that the same license is used including commercial purposes.

As an author of an article published in the Caucasus Journal of Social Sciences, you retain the copyright of your article and you are free to reproduce and disseminate your work.