Which model involves estimating the systematic loan loss risk of a particular sector or industry relative to the loan loss risk of an FI's total loan portfolio?

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Quizplus · Accepted Answer

The loan loss ratio-based model involves estimating the systematic loan loss risk of a particular sector or industry relative to the loan loss risk of an FI's total loan portfolio. CreditMetrics is a model to measure credit risk at a portfolio level, Credit Risk + is a risk management framework for analyzing credit risk, KMV portfolio manager model is used to estimate the probability of default and expected losses of a portfolio of risky bonds, and the loan volume-based model is used to estimate loss distribution of a loan portfolio based on loan volume or number of loans.

Which Model Involves Estimating the Systematic Loan Loss Risk of a Particular