Risc de crèdit

Abstract

[en] People are constantly living exposed to danger, and they are the first ones that don’t want any negative event happening to them... But does everyone have the same backstops? Is everyone exposed to the same amount of risk? The answer to both these questions is obviously no, and with statistical tools and models, the goal is to quantify and predict as accurately as possible the risk that an individual is exposed to when facing different events. This project focuses on one of these risks: the financial one, and more specifically, credit risk. Banks want to know what is the risk they are facing when granting loans, how much money they have to set aside so that the possible default of a customer does not cost them too much, the type of interest they have to put on the loan... This caution is especially present since the global financial crisis of 2007-2008, and banks are devoting more and more resources to it, which benefits and drives the study of new methodologies, without ceasing to use tradicional models.