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Recent Projects – Credit Risk Portfolio Issues

These projects involve the relatively new field of credit risk portfolio management, which structures bank balance sheets so that the level of overall credit risk held by the bank is within its risk appetite, as set by the bank’s board. The principles used in this field can be applied to other types of risk and to other industries.

Analysis

Analysis

  • Designed a credit risk portfolio management system
  • Developed a credit risk portfolio allocation model using credit products as the allocation basis
  • Developed credit risk portfolio allocation model using quarterly data

Capital adequacy

Capital adequacy

  • Investigated the economic capital requirements of a second-tier bank (Australia)
  • Investigated capital requirements for credits with varying tenor

Implementation

Implementation

  • Introduced KMV Credit Monitor; a quantitative credit rating model for listed companies
  • Reviewed IT consultants’ General System Design specification (China)
  • Wrote MS Access program to undertake the required monthly portfolio analysis (Indonesia)

Analysis

Analysis

  • Designed a credit risk portfolio management system
  • Developed a credit risk portfolio allocation model using credit products as the allocation basis
  • Developed credit risk portfolio allocation model using quarterly data

Capital adequacy

Capital adequacy

  • Investigated the economic capital requirements of a second-tier bank (Australia)
  • Investigated capital requirements for credits with varying tenor

Implementation

Implementation

  • Introduced KMV Credit Monitor; a quantitative credit rating model for listed companies
  • Reviewed IT consultants’ General System Design specification (China)
  • Wrote MS Access program to undertake the required monthly portfolio analysis (Indonesia)

credit-risk
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