Credit Risk Modeling of Bank's Credit Portfolio (Case Study: Refah Bank)

Subject Areas : Financial Knowledge of Securities Analysis

Mohammad Saeed Haidary ¹ , Seyed Babak Ebrahimi ² , Negin Mohebbi ³

1 - دانشجوی دکترای مدیریت مالی دانشگاه علامه طباطبایی، تهران، ایران
2 - عضو هیئت ‌علمی دانشگاه صنعتی خواجه ‌نصیرالدین طوسی، تهران، ایران
3 - دانشجوی کارشناسی ارشد مهندسی مالی،دانشگاه صنعتی خواجه‌نصیرالدین طوسی، تهران، ایران

Received: 2015-10-29 Accepted : 2016-01-10 Published : 2017-06-22

Keywords: credit risk, Actuary, Credit Derivate, Credit Risk+ Model, Doubtful Accounts,

Abstract :

In this paper, with the aim of examining the feasibility of CreditRisk+ methodologyon the evaluation of bank'scredit risk, we try to estimatethe risk of Refah Bank'scredit portfolio.For this purpose, we use existing data on the number of default (default here means the transfer of the facilities granted to the headlines of bad debts) and carry outsome statistical calculations.In this attempt to achieve a clear vision about credit risk assessment, we use data on the number of default in different years and also elementary statistical methods such as mean and standard deviation of default for classical estimation of default risk of bank's credit portfolio. Then by using advanced methods based on actuarial modeling, mean, standard deviation and also the type of distribution is estimated precisely

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