CREDIT RISK MANAGEMENT AND MERTON MODEL

Banke se v okviru svojega delovanja srečujejo z vrsto različnih tveganj. Glavno med njimi je kreditno tveganje, saj izhaja iz osnovne dejavnosti banke, to je zbiranje in posojanje finančnih sredstev. Področje kreditnih tveganj je, kot tudi področja drugih tveganj, zakonsko urejeno skozi različne nadzorne institucije. Velikost tveganj v bankah je v tesni povezavi z ekonomskim dogajanjem oziroma ekonomskimi cikli. Ciklično gibanje gospodarstva pomembno vpliva na stabilnost bančnega sistema. Za večje doseganje le-te je kot posledica pomanjkljivosti dosedanjih zakonskih smernic nastala nova kapitalska ureditev BASEL III, ki bankam omogoča boljše obvladovanje tveganj. Za obvladovanje kreditnih tveganj je bankam ob zakonskih smernicah na voljo še vrsta različnih modelov, ki obravnavajo tveganost posameznega dolžnika, portfeljev ali banke. Za merjenje verjetnosti neplačila dolžnikovih obveznosti lahko banka uporabi Mertonov model, ki ga naj modificira v skladu z lastnimi potrebami.Credit risk is the most important type of risk in banking environment. Therfore risk analyst should be able to measure, monitor and evaluate risk profile of the bank. The quality of credit risk portfolio, concentration in credit risk, exposure and client monitoring are only some of factors showing amount of credit risk in bank environment. In statistical view, banks can use a large amount of statistical models to measure risk profile of credit portfolio, clients or exposures. One of the possible approaches to measure credit risk of individual bank\u27s cilent is so called Merton model – structural model for measuring probability of default. Recent fincial crises has showen how strong are connections between economic stability and financial stability. For better future bank stability the CEBS regulators presented new capital agreements – BASELL III. The main goal of new capital agreement is to achieve stability of banking environment in long run through whole economic cycle