Credit Risk Management in Retail Banking
Date: March 25, 2004 at 8:30AM Pacific Time
Speakers:
Dr. Dirk Ocker
Head of Quantitative Research
Risk Controlling
Swiss Union of Raiffeisen Banks |
Dr. Jan Beran
Professor of Statistics
Department of Mathematics and Statistics
University of Konstanz, Germany |
Listen
to the archived webcast.
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Abstract
In recent years, several methodologies for measuring
probability of default and portfolio credit risk have
been introduced that demonstrate the benefits of using
statistical models to model credit risk. However,
most of the applications of these models have been
focussed on portfolios of bonds, OTC products or corporate
loans. The measurement of credit risk in retail portfolios
has not received as much attention. Due to a number
of specific features of retail markets, simple downsizing
and adjustment of commercial credit risk engines is
often not possible or may be unreliable.
This webcast gives a brief overview of some of these
special features and provides the
corresponding statistical guidelines for risk assessment
of retail portfolios, including:
-
Estimation of probability of
default
-
The meaning of default dependencies
-
Modelling of aggregated loss
distributions
Presenter Information
Dr. Jan Beran is Professor of Statistics at the Department
of Mathematics and Statistics, University of Konstanz,
Germany. He has published more than 50 papers and
two books in mathematical statistics and statistical
applications in engineering, medicine, environmental
sciences, arts and finance.
Dr. Dirk Ocker is Head of Quantitative Research at
the Swiss Union of Raiffeisen Banks. He has more than
5 years experience in credit risk modelling and is
author of several articles in statistics and statistical
applications in finance.
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