IDEAS home Printed from https://ideas.repec.org/a/iad/wpaper/0614.html
   My bibliography  Save this article

Application of internal ratings-based methods on credit risk measurement

Author

Listed:
  • Alejandro Vargas Sanchez
  • Saulo Mostajo Castelú

Abstract

This paper presents the concepts and methods used for credit risk measurement. The main objective was to explain Internal Ratings-Based Methods. The applicatin and analysis was performed on financial information for supposed business case loan, as well as a simulated banking transaction database used to develop a credit scoring model. The reults obtained form a Structural Model and Reduced Form Model showed significant differences in credit risk measures with respect to requirements established by applicable law for regulated financial entities in Bolivia. The study revealed that the application of advanced models for measuring credit risk requires adequate estimates of business volatility and credit scoring models that allow deeply analyse of a credit transaction.

Suggested Citation

  • Alejandro Vargas Sanchez & Saulo Mostajo Castelú, 2014. "Application of internal ratings-based methods on credit risk measurement," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(1), pages 5-25.
    • Handle: RePEc:iad:wpaper:0614
    as

    Download full text from publisher

    File URL: http://www1.upb.edu/RePEc/iad/wpaper/0614.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Credit risk; Credit scoring; Structural models; Reduced form Models; Expected loss; Probability of default.;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iad:wpaper:0614. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Nogales C. (email available below). General contact details of provider: https://edirc.repec.org/data/ciupbbo.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.