Riskmodellering i betalningsgarantier

The Swedish Export Credit Agency (EKN) issues payment guarantees to Swedish companies who face the risk of non-payments in export transactions. Commitments are typically correlated, as defaults of companies are driven by other factors than factors specific to that company, such as the economic cycle or the regional conditions. In deciding upon how much capital to be reserved to remain solvent even in an unlikely scenario, this has to be accounted for in order to not underestimate financial risks.By studying models for credit risk and the research available in the area, the popular CreditRisk+ has been chosen as a suitable model for EKN to use in risk assessments. The model together with a few customizations are described in detail and tested on data from EKN. Exportkreditnämnden (EKN) utfärdar betalningsgarantier till svenska exportörer som riskerar inställda betalningar. Fallissemang hos olika motparter är typiskt korrelerade. Vid bedömning av risken i portföljen av garantier måste detta tas i beaktning, för att inte underskatta risken väsentligt. Genom att studera befintliga kreditriskmodeller och tillgänglig forskning inom området har en modell föreslagits som kan användas i EKN:s riskbedömningar. Modellen beskrivs i detalj och testas på data från EKN