German savings and cooperative banks use credit risk pooling transactions as a specific type of synthetic credit risk transfer. This paper describes the effect of pro rata credit risk pooling transactions on the granularity of these banks’ credit portfolios. The change in granularity is...

The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by...

This article deals with the issue of managing bank credit risk using a cost risk model. Modeling of bank credit risk management was proposed based on neural-cell technologies, which expand the possibilities of modeling complex objects and processes and provide high reliability of credit risk...