title: Developing the model of the credit risk assessment of the commercial bank credit loans portfolio
metadata.name: dc.contributor.author
metadata.value: Pustovalova, Tatiana A.
metadata.name: dc.date.accessioned
metadata.value: 2014-01-15T11:02:16Z
metadata.name: dc.date.accessioned
metadata.value: 2014-03-17T05:42:28Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2014-01-15T11:02:16Z
metadata.name: dc.date.available
metadata.value: 2014-03-17T05:42:28Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2010
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/835
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/835
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Over the past decade, commercial banks have devoted many resources to developing internal models to better quantify their financial risks and assign economic capital. These efforts have been recognized and encouraged by bank regulators. Recently, banks have extended these efforts into the field of credit risk modeling. The Basel Committee on Banking Supervision proposes a capital adequacy framework that allows banks to calculate capital requirement for their banking books using internal assessments of key risk drivers. Hence the need for systems to assess credit risk. In this work, we describe the case of successful application of VAR methodology for credit risk estimation. Executive summary is available at pp. 32.
metadata.lang: ru
metadata.name: dc.language.iso
metadata.value: Russian
metadata.lang: ru
metadata.name: dc.publisher
metadata.value: Graduate School of Management, Saint Petersburg State University
metadata.name: dc.relation.ispartofseries
metadata.value: Working Paper; #2 (R)-2010
metadata.name: dc.subject
metadata.value: banking
metadata.lang: ru
metadata.name: dc.subject
metadata.value: credit risk
metadata.lang: ru
metadata.name: dc.subject
metadata.value: default
metadata.lang: ru
metadata.name: dc.subject
metadata.value: Basel 2
metadata.lang: ru
metadata.name: dc.subject
metadata.value: value of risk
metadata.lang: ru
metadata.name: dc.subject
metadata.value: банковское регулирование
metadata.name: dc.subject
metadata.value: кредитный риск
metadata.name: dc.subject
metadata.value: дефолт
metadata.name: dc.subject
metadata.value: Базельский комитет
metadata.name: dc.subject
metadata.value: ценность риска
metadata.name: dc.title
metadata.value: Developing the model of the credit risk assessment of the commercial bank credit loans portfolio
metadata.lang: ru
metadata.name: dc.title.alternative
metadata.value: Построение модели оценки кредитного риска кредитного портфеля коммерческого банка (на основе методологии VAR)
metadata.name: dc.type
metadata.value: Working Paper
metadata.lang: ru
metadata.name: dc.contributor.altauthor
metadata.value: Пустовалова, Т. А.
resources.filename: 2(R)-2010.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/835/1/2%28R%29-2010.pdf
resources.format: Adobe PDF
resources.size: 825,39 kB