The main objective of this paper is to estimate a statistical model that incorporates Bank's credit recovery history at different levels: collateral, facility, industry, zone and the macro economy to predict the future Recovery Rates. This will enable the bank to arrive at the Loss Given Default...

The empirical research on housing market in India is scarce due to the paucity of information. The monograph on “A Study of Residential Housing Demand in India” is the outcome of a Study conducted by the National Institute of Bank Management (NIBM) for National Housing Bank (NHB) and...

Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for the estimation of default dependence. Measurement and...

In this paper, we have developed a credit scoring model for agricultural loan portfolio of a large Public Sector Bank in India and suggest how such model would help the Bank to mitigate risk in Agricultural lending. The logistic model developed in this study reflects major risk characteristics...

In this paper, we have developed a credit scoring model for agricultural loan portfolio of a large Public Sector Bank in India and suggest how such model would help the Bank to mitigate risk in Agricultural lending. The logistic model developed in this study reflects major risk characteristics...

Credit Concentration Risk has been the specific cause of many occurrences of financial distress of banks world wide. This paper analyzes the credit portfolio composition of a large and medium sized leading public sector Bank in India to understand the nature and dimensions of credit...

This paper empirically examines the functional role of various micro and macro economic as well as situational factors that determine residential housing demand and risk of borrower default. Using 13,487 housing loan account sanctioned from 1993-2007) data from Housing Finance Institutions...

Through RAROC and EVA tools, Banks can establish a good risk management culture that can create competitive advantage and improve shareholder value

This paper investigates the relationship between the changing patterns of bank’s source of income and risk adjusted performance. A database of 77 banks over the period of 1999 to 2004 is constructed for the 27 public sector banks, 22 private banks, 25 foreign banks and 3 cooperative banks to...

This paper aims at working out a more risk sensitive measure of concentration risk and captures its impact in terms of capital number that will help the bank’s top management to manage it efficiently as well as meet the regulatory compliance. We have designed a more risk sensitive measures...