Modelling of bank credit risk

The paper presents the concept of bank credit risk, its types and classification. The main mathematical models for credit risk identification, assessment and modelling are distinguished in the work. The „CreditMetrics“ and „CreditRisk+“ models are described in a theoretical sense. Using RStudio, a practical study of the performance using the „CreditMetrics“ package, the characteristics of suitable data, the reasons for the assumptions chosen. Functions used are „cm.CVaR“, „cm.quantile“, „cm.gain“, „cm.portfolio“, „cm.ref“, „cm.val“. The aim is to observe how the results of the model portfolio vary, the risk when one input parameter (correlation matrix) is changed and the model matches the size of the portfolio