Credit Risk Modeling of Bank's Credit Portfolio (Case Study: Refah Bank)

In this paper, with the aim of examining the feasibility of CreditRisk methodologyon the evaluation of bankscredit risk, we try to estimatethe risk of Refah Bankscredit portfolio.For this purpose, we use existing data on the number of default (default here means the transfer of the facilities granted to the headlines of bad debts) and carry outsome statistical calculations.In this attempt to achieve a clear vision about credit risk assessment, we use data on the number of default in different years and also elementary statistical methods such as mean and standard deviation of default for classical estimation of default risk of bank's credit portfolio. Then by using advanced methods based on actuarial modeling, mean, standard deviation and also the type of distribution is estimated precisely.