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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 11: Finanzm
ärkte und Risikomanagement IV

AKSOE 11.2: Talk

Thursday, March 27, 2003, 16:30–17:00, BAR/205

Introducing a Credit Portfolio Model: Theoretical Concepts and Practical Implementation — •Matthias Koll, Thomas Rempel-Oberem, Rainer Klingeler, and Peter Martin — ifb AG, Neumarkt-Galerie, Neumarkt 2, D–50667 Köln

Since the New Basel Capital Accord has been widely discussed in the last years, the risk management for banking organizations has gained a lot of additional interest. The issue of managing the credit default risk plays an important role as the bancrupty of a number of obligors in the bank’s credit portfolio can lead to severe problems. A model to control and to manage these risks has been developed for a german bank with a portfolio of some 10,000 credits mostly for middle–sized enterprises in germany and europe [1]. Firstly, we will discuss our basic approach following the ideas of the CreditRisk⁺ model [2]. In order to conveniently incorporate industry correlations and uncertainties concerning the default probabilities, we use a Monte–Carlo approach for the derivation of the loss distribution. Moreover, we intensively discuss the difficulties of the use of empirical economical data as input; we also focus on the practical needs of the bank and on the required model output which should enforce a reliable management of credit risk. Finally, we will present an outlook concerning our current research activities in this field.

(Ref.: [1] Th. Rempel–Oberem et al., ”An Application of the Credit Risk⁺ Model”, in: Wirtschaftswissenschaftliche Beiträge. Credit Risk: Measurement, Evaluation and Management, Physica-Verlag, in press; [2] Credit Suisse First Boston, see http://www.csfb.com/creditrisk)