Credit risk and RAROC | Financial Modeling & Analysis Online Course by Udemy

Finance & Accounting Online Course by Udemy, On Sale Here

Profitability valuation of a credit loan portfolio per region, product type and branch. Uses credit VaR and RAROC

An excellent training about Financial Modeling & Analysis

Credit risk and RAROC

This banking example shows how to measure profitability for a commercial bank portfolio of credit assets. In the credit business, losses of interest and principal occur all the time – there are always some borrowers that default on their obligations. The losses that are actually experienced in a particular year vary from year to year, depending on the number and severity of default events. Using a Basel II-based approach we propose a Loss-Given-Default type of model inserting Monte Carlo simulation in order to incorporate probabilities that allow calculation of unexpected losses.

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