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a2r1W0000015akoQAA_WP.RiskIntell.Feb27.SystemicContagion-1.pdf
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🔗 Source: garp.org
📊 Size: 1.24 MB
👤 Author: Lucio
⬇️ Downloads: 97

Summary

The traditional approach to credit risk evaluation views a portfolio's obligors as separate elements, but daily bank practice and EU regulation acknowledge contagion effects between obligors. The "group of connected clients" concept requires banks to identify and treat these groups as single risk units, challenging traditional methods. However, the current normative has flaws, being static, local, and threshold-based, and leaves untouched the risk evaluation of "non-dominated" clients. A new paradigm is needed, considering portfolios as inter-organizational networks subject to "failure cascades," requiring a new rating system that measures single obligor's risk evaluation in relation to their position within the portfolio.

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Description

The traditional approach to credit risk evaluation views a portfolio's obligors as separate elements, but daily bank practice and EU regulation acknowledge...

Technical Information

  • File Format: PDF
  • File Size: 1.24 MB
  • Pages: 24
  • Language: EN
  • Author: Lucio
  • Total Downloads: 97
  • Last Updated: 7 days ago

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