Magda Peen Institute of Economic Studies, Faculty of Social Science, Charles University in Prague, Czech Republic November 21, 2012
Contents
1. Credit risk definition
2. Basic debt instruments 3. Macro assessment of credit risk, esp. CR
4. Credit registers 5. Assessment of credit risk, country risk 6. Micro assessment of credit risk - loan granting process
7. Loan pricing
Slide 2
Slide 3
Credit risk
Total Assets Assets sensitive to credit risk (granted loans, investments in bonds, equity etc.) Assets non-sensitive to credit risk (tangible and intangible assets, cash deposited at the central bank etc.) Equity Total Liabilities Liabilities
Credit risk
Corporate defaults 1970-2008
Credit risk
Annual Speculative-Grade Default Rates, 1920-2008
Source: Moodys
Slide 7
Credit risk
Average Annual Upgrade-to-Downgrade Ratios, 1970-2008
Source: Moodys
Slide 8
Contents
1. Credit risk definition
2. Basic debt instruments 3. Macro assessment of credit risk, esp. CR
4. Credit registers 5. Assessment of credit risk, country risk 6. Micro assessment of credit risk - loan granting process
7. Loan pricing
Slide 9
Slide 10
Project financing and other structured financing (of corporate or public projects)
Etc.
Slide 11
Contents
1. Credit risk definition
2. Basic debt instruments 3. Macro assessment of credit risk, esp. CR
4. Credit registers 5. Assessment of credit risk, country risk 6. Micro assessment of credit risk - loan granting process
7. Loan pricing
Slide 12
Credit risk
Deteriorating bank ratings
Source: FITCH
Slide 14
Contents
1. Credit risk definition
2. Basic debt instruments 3. Macro assessment of credit risk, esp. CR
4. Credit registers 5. Assessment of credit risk, country risk 6. Micro assessment of credit risk - loan granting process
7. Loan pricing
Slide 15
Slide 16