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 proceedingConference contribution

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 languageEnglish
Title of host publicationCommunications in Computer and Information Science
Pages554-562
Number of pages9
Volume208 CCIS
EditionPART 1
DOIs
Publication statusPublished - 2011
Externally publishedYes
Event2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011 - Dalian, China
Duration: Aug 6 2011Aug 7 2011

Publication series

NameCommunications in Computer and Information Science
NumberPART 1
Volume208 CCIS
ISSN (Print)18650929

Other

Other2011 International Symposium on Applied Economics, Business and Development, ISAEBD 2011
CountryChina
CityDalian
Period8/6/118/7/11

Keywords

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

ASJC Scopus subject areas

  • Computer Science(all)

Fingerprint Dive into the research topics of 'A comparative analysis of credit risk management models for banking industry using simulation'. Together they form a unique fingerprint.

  • 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 Communications in Computer and Information Science (PART 1 ed., Vol. 208 CCIS, 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