A comparative analysis of credit risk management models for banking industry using simulation

Hsin Hung Chen; Ben Chang Shia; Hsiu Yu Lee

doi:10.1007/978-3-642-23023-3_83

A comparative analysis of credit risk management models for banking industry using simulation

Hsin Hung Chen, Ben Chang Shia, Hsiu Yu Lee

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

1 Citation (Scopus)

Abstract

Risk management is an issue that has become increasingly important. Basel II Accord has been widely discussed since it was proposed. However, the comparative analysis of CreditMetrics with Basel II Accord has not been found in previous literatures. The objective of this study is to compare CreditMetrics with Basel II Accord using empirical data and simulation programs. Moreover, the fitness of the standard for Basel II Accord which proposed the minimum requirement of 8% of capital to risk-weighted assets is discussed in this study. The records of the data system in a bank listed by the Taiwan Stock Exchange Corporation (TSEC) were used as the empirical data in this research. The results showed that the expected loss calculated by the 8% capital ratio defined in Basel II is clearly lower than the Credit VaR obtained from the CreditMetrics model.

Original language	English
Title of host publication	Applied Economics, Business and Development - International Symposium, ISAEBD 2011, Proceedings
Pages	554-562
Number of pages	9
Edition	PART 1
DOIs	https://doi.org/10.1007/978-3-642-23023-3_83
Publication status	Published - 2011
Externally published	Yes
Event	2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011 - Dalian, China Duration: Aug 6 2011 → Aug 7 2011

Publication series

Name	Communications in Computer and Information Science
Number	PART 1
Volume	208 CCIS
ISSN (Print)	1865-0929

Other

Other	2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011
Country/Territory	China
City	Dalian
Period	8/6/11 → 8/7/11

Keywords

Basel II Accord
CreditMetrics
Value-at-Risk (VaR)
credit risk

ASJC Scopus subject areas

General Computer Science
General Mathematics

Access to Document

10.1007/978-3-642-23023-3_83

Cite this

Chen, H. H., Shia, B. C., & Lee, H. Y. (2011). A comparative analysis of credit risk management models for banking industry using simulation. In Applied Economics, Business and Development - International Symposium, ISAEBD 2011, Proceedings (PART 1 ed., pp. 554-562). (Communications in Computer and Information Science; Vol. 208 CCIS, No. PART 1). https://doi.org/10.1007/978-3-642-23023-3_83

A comparative analysis of credit risk management models for banking industry using simulation. / Chen, Hsin Hung; Shia, Ben Chang; Lee, Hsiu Yu.
Applied Economics, Business and Development - International Symposium, ISAEBD 2011, Proceedings. PART 1. ed. 2011. p. 554-562 (Communications in Computer and Information Science; Vol. 208 CCIS, No. PART 1).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Chen, HH, Shia, BC & Lee, HY 2011, A comparative analysis of credit risk management models for banking industry using simulation. in Applied Economics, Business and Development - International Symposium, ISAEBD 2011, Proceedings. PART 1 edn, Communications in Computer and Information Science, no. PART 1, vol. 208 CCIS, pp. 554-562, 2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011, Dalian, China, 8/6/11. https://doi.org/10.1007/978-3-642-23023-3_83

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A comparative analysis of credit risk management models for banking industry using simulation

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Keywords

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