CREDIT RISK MODELING OF BANK'S CREDIT PORTFOLIO (CASE STUDY: REFAH BANK)

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HAIDARY MOHAMMAD SAEED; EBRAHIMI SEYED BABAK; MOHEBBI NEGIN

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2017 | Volume:10 | Issue:34 Page(s): 55-71

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Information Journal Paper

Title

CREDIT RISK MODELING OF BANK'S CREDIT PORTFOLIO (CASE STUDY: REFAH BANK)

Author(s)

HAIDARY MOHAMMAD SAEED | EBRAHIMI SEYED BABAK | MOHEBBI NEGIN | Issue Writer Certificate

Keywords

CREDIT RISKQ2

ACTUARYQ2

CREDIT DERIVATEQ2

CREDIT RISK+ MODELQ2

DOUBTFUL ACCOUNTSQ2

Abstract

In this paper, with the aim of examining the feasibility of CREDIT RISK+ methodologyon the evaluation of bank' sCREDIT RISK, we try to estimate the risk of Refah Bank’ scredit portfolio. For this purpose, we use existing data on the number of default (default here means the transfer of the facilities granted to the headlines of bad debts) and carry out some statistical calculations. In this attempt to achieve a clear vision about CREDIT RISK assessment, we use data on the number of default in different years and also elementary statistical methods such as mean and standard deviation of default for classical estimation of default risk of bank's credit portfolio. Then by using advanced methods based on actuarial modeling, mean, standard deviation and also the type of distribution is estimated precisely.

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APA: Copy

HAIDARY, MOHAMMAD SAEED, EBRAHIMI, SEYED BABAK, & MOHEBBI, NEGIN. (2017). CREDIT RISK MODELING OF BANK'S CREDIT PORTFOLIO (CASE STUDY: REFAH BANK). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 10(34), 55-71. SID. https://sid.ir/paper/200311/en

Vancouver: Copy

HAIDARY MOHAMMAD SAEED, EBRAHIMI SEYED BABAK, MOHEBBI NEGIN. CREDIT RISK MODELING OF BANK'S CREDIT PORTFOLIO (CASE STUDY: REFAH BANK). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2017;10(34):55-71. Available from: https://sid.ir/paper/200311/en

IEEE: Copy

MOHAMMAD SAEED HAIDARY, SEYED BABAK EBRAHIMI, and NEGIN MOHEBBI, “CREDIT RISK MODELING OF BANK'S CREDIT PORTFOLIO (CASE STUDY: REFAH BANK),” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 10, no. 34, pp. 55–71, 2017, [Online]. Available: https://sid.ir/paper/200311/en

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