Vintage Analysis as a Basic Tool for Monitoring Credit Risk

• Autorzy: Paweł Siarka
• Języki publikacji: EN

Abstrakty

EN

Among many tools used by bankers in the process of credit risk management, vintage analysis is the most often applied. Its simplicity and clarity of interpretation of the results means that banking professionals call it "basic analysis". In this article, the concept of vintage analysis is presented, along with the right way to get interpretations of results. The author demonstrates the usefulness of vintage analysis in the context of the backtesting procedure recommended in New Basel Capital Accord. In addition, there is also a discussion of an aspect of the limit‟s structure as a part of the credit risk management process.(original abstract)

Słowa kluczowe

EN

Credit risk; Probability

PL

Ryzyko kredytowe; Prawdopodobieństwo

• Czasopismo: Mathematical Economics
• Rocznik: 2011
• Numer: nr 7(14)
• Strony: 213--228

Twórcy

autor

Paweł Siarka

• Uniwersytet Ekonomiczny we Wrocławiu

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