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CREDIT RISK ANALYSIS AN INTRODUCTION (chap 4) - Coggle Diagram
CREDIT RISK ANALYSIS
AN INTRODUCTION
(chap 4)
Define credit risk
the obligations of the lender
the payment dates for interest and principal
the obligations of the borrower
the maturity day
credit risk analysis tool
Risk premium analysis
For one-period loan
p (1 + r) = 1 + i
(r – i) = [(1+ i) /(e + p – pe)] – (1 + i)
Risk premiums over time
CDP = 1- p(1)
p(2)
p(n)
Econometrics
Regression analysis
Regression analysis
Advanced analysis
Discriminant analysis
z =1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 1.0X5
Expert systems
five Cs analysis
=> success and failure of expert systems relies on the experience and performance of the lending officer
PARSER
Repayment capacity
Security
Amount required and why
Expedience or future profitable opportunities
Personal characteristics of the borrower
Return from the loan
Hybrid – system
Expected default frequency
Mortality models
