Indicative FSP

Credit VaR – Risk measurement analysis

The project entailed the parameterization of CreditManger, for estimating Credit VaR in the portfolio of Eurobank EFG. The project was divided in three stages:
1) Data collection regarding the instruments of the Treasury portfolio of Eurobank EFG, and their import in CreditManager. The instruments imported in CreditManager were: Bonds, Money Market, Credit Default Swaps and Over-The-Counter derivatives. In this stage some very important parameters were determined, including the appropriate pricing curves for different obligor types, the appropriate spread curves for different currencies and different obligor types, recovery rates and recovery rates standard deviation for exposures with different seniority.
2) Data collection regarding the obligors and their import in CreditManager. Parameters that were determined in this stage included the appropriate credit rating for each obligor, the mapping of each obligor with an MSCI (Morgan Stanley Capital Index) according to its country and to its industry, and the selection of value for R2.
3) Creation of reports. Credit VaR statistics as well as Regulatory Capital statistics were produced and recommendations were made to Eurobank EFG concerning the improved efficiency of credit risk management.

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