Credit risk

I would like to receive updated information about credit risk principles. The Bank of Israel has recently published a supervisory framework based on BIS "Principles for the management of credit risk" (September 2000). In their circular they emphasized the fact that the framework is based on updated issues and best practices. I assume that a lot of relevant materials such as implementation methodology, bulletins and brochures, "points of view", and etc, available, but can't find some laconical executive summary.

Would appreciate any help!

You need to be a member of Global Risk Community to add comments!

Join Global Risk Community

Votes: 0
Email me when people reply –

Replies

  • Thank all of you very much! I will try your references, it seems to be relevant. In any case i  would still like to get additional ideas! 

  • Artyom, take a look at the International Association of Credit Portfolio Managers (http://www.iacpm.org/). Their website contains best practice docs (http://www.iacpm.org/library/public_documents/public-documents.dot) and they run events to ensure people are up to date on latest developments. I wish you success in your endeavours.

     

  • In the US, major credit grantors rely largely on statistical credit scoring.  FICO is the leading provider.  The essentials: collect data from credit applications for the past 18 months or so.  Identify 1000 to 1500 bad accounts: charge-offs, bankruptcies, 90+ days delinquent.  Collect a comparable sized sample of good accounts.  Use discriminant function analysis, logistic regression, or some other such technique to find the information items that most strongly differentiate goods from bads.  Translate this into a linear scoring system: so many points for each possible answer to each relevant question.  (Often credit reports are also included.  In this case, derogatory reports generally get the person assigned a lot of negative points.) 

    Advantages: combines the information available to all loan officers; consistent; legally easily defensible as unbiased.  Disadvantages: totally dependent on the assumption that the near-term future will look like the 18-month past as depicted by the variables you collected.  One reason for the 2008-2009 financial crisis is that this assumption did not hold, on a broad scale.    I tried to explain this in June 2011 in an article in Analytics, the on-line magazine of INFORMS, the national operations research / management science.  Click http://viewer.zmags.com/publication/cd67856a#/cd67856a/12  to read it, if you're interested.

     

    Doug Samuelson

    InfoLogix, Inc.

    Annandale, VA

    Analytics
    Analytics
  • try one of the rating agency websites...they have good summaries on credit risk and their view of credit in general

This reply was deleted.

Introducing the Global Risk Series - Book 1 Risk Management How Tos

Dear GlobalRisk Community member, Our community’s mission is to foster business, networking and educational explorations among members. Learn from some of the top experts in the industry as they clearly explain how to approach the most important Risk management concepts. Check out their expert tips and use the link at the end of each article to navigate back to the website to leave your comment or ask a question.   Some of the topics include: How do you Explain Risk Appetite?  How to Prepare a…

Read more…
16 Replies · Reply by GlobalRiskCommunity Mar 21
Views: 1100

[Free COVID-19 Framework] What's the path to recovery look like?

We created a free presentation (attached), which discusses both global and organizational impacts of the COVID-19 pandemic, along with critical actions organizations should take immediately. This presentation introduces a framework that helps regions and organizations navigate a path to recovery via 9 potential scenarios. These scenarios capture outcomes related to GDP impact, public health response, and economic policies. The presentation also breaks down 6 immediate and critical actions…

Read more…
4 Replies · Reply by Steve Diaz Jul 8, 2023
Views: 234

If risk management is about decision making, are current risk management solutions irrelevant?

Now that the updated COSO and ISO risk management standards emphasize a connection to enterprise objectives and decision making, does this mean ERM and GRC solutions focused on risk registers and regulatory compliance are missing the true value of risk management?Will current risk management solutions evolve to integrate more decision support functionality or will standalone prescriptive analytics and other technology solutions take a more prominent role in enabling risk-informed…

Read more…
3 Replies
Views: 163

A question related to classification of instruments between trading and banking book.

We have an interesting question from one of our members.       "We usually perform OTC FX transactions with clients backed-to-back on the market (with Banks). Now we are going to perform a FX swap (i.e. Spot + forward) JPY/EUR for the Bank account for 1 week at the longest. The purpose is to get EUR place @ CB for LCR compliance purpose (no trading purposes). Bank's Management think that this should be considered as a trading position and therefore be classified within the Bank's trading book.…

Read more…
5 Replies · Reply by Prisha Singh Dec 26, 2023
Views: 371

Plunging oil prices: curse or blessing in disguise?

The recent sudden crash of oil prices has had a major impact on the world economy, leading to many troubled faces in the international arena. The Russians fear the effects of yet another powerful hit on their economy, Venezuela seems to be considering default and the Americans are weary of the consequences for its young and emerging shale oil industry. And then you have the Middle East, where the smallest match is enough to ignite the largest fire. But are these worries really justified or…

Read more…
1 Reply
Views: 106

    About Us

    The GlobalRisk Community is a thriving community of risk managers and associated service providers. Our purpose is to foster business, networking and educational explorations among members. Our goal is to be the worlds premier Risk forum and contribute to better understanding of the complex world of risk.

    Business Partners

    For companies wanting to create a greater visibility for their products and services among their prospects in the Risk market: Send your business partnership request by filling in the form here!

lead