THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK)

Abstract

In order to determine the economic capital, in terms of internal management or of application of regulations, financial institutions need to model the probability of future losses on a loan portfolio. This is generally made applying the Credit VaR method. Thus, unexpected losses can be assessed.

Keywords

• value at risc
• economic capital
• market risc
• credit portofolio.