< 1 min read In this post we will go through the step-by-step methodology of carrying out a profitability analysis of the bank’s loan portfolio. This in itself is a kind of a stress test for credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) as it also computes a worst case profitability scenario.
< 1 min read In this post we will consider how to derive expected classification rates for “current” customers of a loan portfolio. This is used to calculate the expected “current” customers who will be classified within the next period, which will in turn be used in the quantification process of credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP).
< 1 min read One way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) is to stress test the rating grades transition matrix. In the post below we will first look at how a rating grades transition matrix is constructed.
< 1 min read One way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) is to consider percentage falls in the Forced Sale Value (FSV) of mortgaged collateral which is discussed below.
3 mins read Earlier we had looked at one way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP). We will look at some simple sensitivity analysis for credit risk below, focusing on stressing non-performing loans (NPL).
2 mins read Stress testing of all risk factors in order to arrive at the capital requirements for the worst case scenario for credit risk.