Determination of Credit Risk for Debt Assets Portfolio

Abstract

There are several categories of risks in the banking sector, but the most important risk is credit risk. The main objective of this thesis is to determine and then compare the value of regulatory capital requirement for unexpected losses from credit risk of ten debt assets portfolio under Basel agreements, including Basel I, Basel II, and Basel III, and the value of economic capital by using the CreditMetrics™ model.

There are several categories of risks in the banking sector, but the most important risk is credit risk. The main objective of this thesis is to determine and then compare the value of regulatory capital requirement for unexpected losses from credit risk of ten debt assets portfolio under Basel agreements, including Basel I, Basel II, and Basel III, and the value of economic capital by using the CreditMetrics™ model.