Credit Risk Metrics : A Forward Looking Approach
- Topics:
- Market Studies
- Tags:
- CB Richard Ellis,
- Loan,
- Management,
- Productivity,
- Risk,
- Security,
- Strategy
- Source:
- CB Richard Ellis
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Overview: This paper has demonstrated the flexibility to take into account both property and loan specific attributes. This sophisticated model ties market fundamentals and property specific characteristics to specific loan characteristics. The eloquence of this model is that it can be used for an infinite number of different property or loan situations. Whether it is a single100 million-dollar loan in Dallas, or one hundred, 1 million dollar loans, the model estimate the unique credit risk for each loan. The credit risk model estimates the probability of default, (and the attendant loss severity, expected loss. and unexpected loss) for each loan, and for the entire portfolio. The model also tracks marginal changes in the portfolio as loans are added or deleted. New tools developed tie credit risk to real estate market analysis; these tools provide the lending community the capability to structure better risk management and to better align capital charges with their underlying risks. This will aid in preventing future financial crises.
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Format: PDF | Size: 112KB | Date: Sep 2001 | Pages: 10
