Review of the Development of Credit Risk Management Approaches
碩士 === 輔仁大學 === 金融研究所 === 87 === The rapid growth of credit market and the development of the related financial instruments make the market participants have to face the more complicated types of credit risk. The original measurement tools, organizations'' credit culture and risk framework...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56861393390523968065 |
| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 87 === The rapid growth of credit market and the development of the related financial instruments make the market participants have to face the more complicated types of credit risk. The original measurement tools, organizations'' credit culture and risk framework were suffered serious challenges.
So, many financial institutions and financial service companies begin their researches oo credit risk measurement approaches. There are three major leaders: J.P.Morgan''s CreditMetrics ；KMV''s EDF and Credit Suisse Financial Product''s Credit Risk＋. All of them are structured in a portfolio base, and for some reasons: (1) concentration risk measurement; (2) Risk-based limit setting; (3) Rational investment decisions and risk-mitigating actions; (4) Risk-based economic and regulatory capital allocation; (5) Responding to market innovation.
Financial Institutions have to face the impact that organizations'' credit culture will be changed by the new types of credit risk. Only a credit culture with respondsiveness and clarity can make the organization survive in the fast changing financial environment. Besides, banks have to prepare sufficient capital according to the assets with credit risk to meet BIS'' requirement on capital adequacy so as to cover the unexpected loss.
Sample simulation can help us to understand the credit risk measurement and management. A more matured credit market and the construction on related databases are helpful to our development on credit risk measurement approaches.
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