Credit Risk Models

Home >Risk Management > Credit Risk >

As noted above, Credit Exposure data will be calculated from underlying transaction and facility data by Credit Risk Models within the business areas.These models will convert inputs into the risk elements of EAD, LGD and PD using pre-defined parameters and formulae.The Accord sets out two acceptable model-based approaches for calculation of the required Credit Exposure data, as follows:

§ Internal Ratings Based (IRB) Foundation Approach; and
§ IRB Advanced Approach.

AN has, however, an established project to develop an economic capital approach to assessing risk, known as the Economic Value Management (EVM). The relationship between these approaches is shown below:

Go back to the ..
Credit Risk
section page.

- -
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-

To return to the main index press home at the bottom of the page.

-

Home Page