Analyzing a Bank Loan Portfolio - Credit Risk

Overview

Credit Risk is a critical risk that needs to managed for most banks.

This example analyzes a hypothetical bank's credit risk and proceeds through the following steps.

• Portfolio Data - sets up a hypothetical set of banks assets
• Monthly Default Snapshot Data - examines a monthly snapshot dataset that tracks the defaults of the banks assets.
• Default Rates - measures an average default rate of the banks portfolio
• Statistical Inference - uses the techniques of statistical inference to compute a standard error for the measured default rate
• Factors - tries to measure the influence of various factors on the default rate of the banks loans.
• Correlations - measures the correlations of the banks assets.
• Economic Capital - utilizes the measured risk measures to come up with a value at risk measure of economic capital

Video Demos

First Step