Browsing by Author "Okae-Asante, John"

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    Analysis of loss severity on bank loans: A case study of Ghanaian banks
    (April, 2016) Okae-Asante, John
    In this thesis, we explore an actuarial approach to credit risk modeling. We use CREDITRISK+ to module loss severity on bank loans and use various tools such as the Poisson distribution to module default event. We also use various mathematical techniques in analyzing Credit Risk. We focus on modeling as well as quantitative analysis of bank loan portfolio. We start with a Credit Risk management problem. More specifically, we consider credit portfolio of multiple obligors subject to possible default. We propose a new structural module for the loss given default, which takes into account the severity of default. Then we study the behavior of the loss given default under the assumption that the losses of the obligors follow the well-known Poisson distribution. We then proceed to derive the distribution of default losses. Finally, we consider a credit portfolio of banks and analyze the data based on the CreditRisk+ framework to generate a loss distribution for the portfolio.