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Internal Credit Risk Rating Model by Badar-e-munir

Internal Credit Risk Rating Model by Badar-e-munir

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Published by: simone333 on Nov 08, 2012
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11/14/2012

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INTERNAL CREDIT RISK RATINGMODELBy Badar-e-Munir A thesis submitted in partial fulfillment of the requirements for the degree of B.S Actuarial Science & Risk ManagementKarachi University 2007 Approved by Prof Dr Asim JamlChairperson of Supervisory CommitteeDate: 16-2-07
 
 
UNIVERSITY OF KARACHI ABSTRACT
INTERNAL CREDIT RISK RATING SYSTEMBy Badar-e-Munir
Department of Actuarial Science and Risk Management The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. This paper discusses two of the primary motivating influences on therecent development of internal credit scoring models for bank, i.e., the important
implications of Basel 2’s proposed capital requirements on credit assets and the
enormous amounts and rates of defaults. The development of internal credit risk rating system by more prominent credit scoring techniques, Z-Score along withqualitative technique, are reviewed. Finally, both models are assessed with respectto default probabilities. Altman Z-Score model for Asian emerging marketobligations is used to contrast estimates across model specifications. Determinethe credit rating for blue chip companies like OGDC, PTCL, PSO and HUBCO with their sector analysis. Credit risk rating model is designed by qualitative andquantitative analysis; well same weights are applied for both the analysis in themodel.
 
  TABLE OF CONTENTS Acknowledgments...............................................................................................................iiGlossary.
…………..……………………………….………………………….iii
 Chapter 1
Introduction…………………………………………………………….....
...01Introduction to In
ternal Rating Systems………………………………......
...03Chapter 2
Credit Assesment Models…………………
...
……………………………
...05
Heuristic Models………………………
....
……………………………
.06
Qualitative System………………………
...
…………………………
....06
Hybrid Form…………………………………………………………..07
 Chapter 3
Credit Scorings Models…………………………………………………...
.09
 Traditional Ration Analysis…….………………………………………10
 
Discriminant Analysis .......……………………………………………..11
 
 Variable Selection….…………………………………………………..13
 Chapter 4
 The Z Score Model….…………………………
...
……………………….
..15
 A Furture Revision Adapting the Model for Emerging Market… …..…
.18Chapter 5
 Validation of Internal Risk Rating………………
...
……………………
....21
 Transition Matrix………………………………
...
…………… …..…
..22 The Credit Portf 
olio and Other Credit Condition……………… ….…
.24
Results………………………………………………………….………….....
.26
Conclution…………………………………………………………...………
.27
 Appendix………………………………………………………………...…
...29
References………………………………………………………………
...
.45

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