English | Size: 449.37 MB
Genre: eLearning
What you’ll learn
Profitability valuation of a credit loan portfolio per region, product type and branch. Uses credit Value at Risk and RAROC (Risk Adjusted Return on Capital).
This banking example shows how to measure profitability for a commercial bank portfolio of credit assets. In the credit business, losses of interest and principal occur all the time – there are always some borrowers that default on their obligations. The losses that are actually experienced in a particular year vary from year to year, depending on the number and severity of default events.
Using a Basel II-based approach we propose a Loss-Given-Default type of model inserting Monte Carlo simulation in order to incorporate probabilities that allow calculation of unexpected losses.
Who this course is for:
Bank analysts, financial analysts
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