Analysis of loss severity on bank loans: A case study of Ghanaian banks
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Date
April, 2016
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Abstract
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.
Description
A thesis submitted to the Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fulfillment of the requirement for the degree of MSc. Actuarial Science,