Thesis - Credit risk measurement. The case study of Mongolian Small and Medium sized firms - ID:03665 - Volum 77 pagini
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Table of Contents ................................................................................................................. - 3 -
List of tables ......................................................................................................................... - 4 -
List of figures........................................................................................................................ - 5 -
Abstract ................................................................................................................................ - 6 - Introduction.......................................................................................................................... - 7 -
Chapter1. Credit risk management and Basel Accord overview .......................................- 9 -
1.1 Credit risk definition and characteristics ................................................................... - 9 -
1.2 Credit risk management process .............................................................................. - 11 -
1.3 Principles of credit risk management ....................................................................... - 12 -
1.4 Basel Accord and Credit risk management approaches ............................................ - 14 -
1.4.1 Basel I .................................................................................................................. - 14 -
1.4.2 BASEL II ............................................................................................................. - 17 -
1.4.3 Minimum Capital Requirements under Basel II .................................................... - 18 -
CHAPTER2. Credit risk measurement approaches ......................................................... - 24 -
2.1 Traditional Approaches to Credit Risk Measurement ............................................... - 25 -
2.1.1 Expert systems ..................................................................................................... - 25 -
2.1.2 Credit scoring models ........................................................................................... - 28 -
2.2 Modern approaches to credit risk measurement ....................................................... - 33 -
2.2.1 Structural models based on stock prices ................................................................ - 33 -
2.2.2 Reduced form model ............................................................................................ - 37 -
2.2.3 Value at risk and Credit metrics............................................................................- 38 -
Chapter 3. Credit risk in Mongolian banking sector ......................................................... - 42 -
3.1 Historical performance of credit risk ....................................................................... - 43 -
3.2 Lending practices and credit risk ............................................................................. - 49 -
Chapter 4. Credit risk measurement: Application and results ......................................... - 55 -
4.1 Data set and processing ........................................................................................... - 56 -
4.2 Altman Z-score Model and results............................................................................ - 59 -
4.3 Logistic regression model and its result ................................................................... - 63 -
Chapter 5. Conclusion......................................................................................................... - 71 -
Appendixes ......................................................................................................................... - 73 -
Bibliography ....................................................................................................................... - 75 -
List of tables ......................................................................................................................... - 4 -
List of figures........................................................................................................................ - 5 -
Abstract ................................................................................................................................ - 6 - Introduction.......................................................................................................................... - 7 -
Chapter1. Credit risk management and Basel Accord overview .......................................- 9 -
1.1 Credit risk definition and characteristics ................................................................... - 9 -
1.2 Credit risk management process .............................................................................. - 11 -
1.3 Principles of credit risk management ....................................................................... - 12 -
1.4 Basel Accord and Credit risk management approaches ............................................ - 14 -
1.4.1 Basel I .................................................................................................................. - 14 -
1.4.2 BASEL II ............................................................................................................. - 17 -
1.4.3 Minimum Capital Requirements under Basel II .................................................... - 18 -
CHAPTER2. Credit risk measurement approaches ......................................................... - 24 -
2.1 Traditional Approaches to Credit Risk Measurement ............................................... - 25 -
2.1.1 Expert systems ..................................................................................................... - 25 -
2.1.2 Credit scoring models ........................................................................................... - 28 -
2.2 Modern approaches to credit risk measurement ....................................................... - 33 -
2.2.1 Structural models based on stock prices ................................................................ - 33 -
2.2.2 Reduced form model ............................................................................................ - 37 -
2.2.3 Value at risk and Credit metrics............................................................................- 38 -
Chapter 3. Credit risk in Mongolian banking sector ......................................................... - 42 -
3.1 Historical performance of credit risk ....................................................................... - 43 -
3.2 Lending practices and credit risk ............................................................................. - 49 -
Chapter 4. Credit risk measurement: Application and results ......................................... - 55 -
4.1 Data set and processing ........................................................................................... - 56 -
4.2 Altman Z-score Model and results............................................................................ - 59 -
4.3 Logistic regression model and its result ................................................................... - 63 -
Chapter 5. Conclusion......................................................................................................... - 71 -
Appendixes ......................................................................................................................... - 73 -
Bibliography ....................................................................................................................... - 75 -
