These projects involved the then relatively new field of credit risk portfolio management.
This structures bank balance sheets so the level of overall credit risk held by the bank is within its risk appetite, as determined by the bank’s board. The principles in this discipline are applicable to other types of risk and to other industries.
Analysis
- Designed credit risk portfolio management systems (China & Timor-Leste)
- 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
- Investigated the economic capital requirements of a second-tier bank (Australia)
- Investigated capital requirements for credits with varying tenor
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)
