Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending
Sovereign credit guarantees and government on-lending can catalyze private sector investment and fulfill specific policy objectives. However, contingent liabilities stemming from guarantees and contingent assets stemming from on-lending expose gove...
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| Format: | Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2016
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| Online Access: | http://documents.worldbank.org/curated/en/2016/01/25814382/contingent-liabilities-risk-management-credit-risk-analysis-framework-sovereign-guarantees-on-lending-country-experiences-colombia-indonesia-sweden-turkey http://hdl.handle.net/10986/23774 |
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okr-10986-237742021-05-25T10:54:42Z Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending Bachmair, Fritz Florian CREDIT RISK GOVERNMENT ON-LENDING PRIVATE SECTOR INVESTMENT RISK MANAGEMENT SOVEREIGN CREDIT GUARANTIES Sovereign credit guarantees and government on-lending can catalyze private sector investment and fulfill specific policy objectives. However, contingent liabilities stemming from guarantees and contingent assets stemming from on-lending expose governments to risk. Prudent risk management, including risk analysis and measurement, can help identify and mitigate these risks. This paper proposes a four-step structure for analyzing and measuring credit risk: (i) defining key characteristics to determine the choice of a risk analysis approach; (ii) analyzing risk drivers; (iii) quantifying risks; and (iv) applying risk analyses and quantification to the design of risk management tools. This structure is based on an assessment of approaches discussed in academia and applied in practice. The paper demonstrates how the four steps of credit risk management are applied in Colombia, Sweden, and Turkey. It also discusses how the proposed framework is applied in Indonesia as it develops a credit risk management framework for sovereign guarantees. 2016-02-26T17:23:16Z 2016-02-26T17:23:16Z 2016-01 Working Paper http://documents.worldbank.org/curated/en/2016/01/25814382/contingent-liabilities-risk-management-credit-risk-analysis-framework-sovereign-guarantees-on-lending-country-experiences-colombia-indonesia-sweden-turkey http://hdl.handle.net/10986/23774 English en_US MFM Global Practice discussion paper,no. 9; CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Working Paper East Asia and Pacific Europe and Central Asia Latin America & Caribbean Colombia Indonesia Sweden Turkey |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
CREDIT RISK GOVERNMENT ON-LENDING PRIVATE SECTOR INVESTMENT RISK MANAGEMENT SOVEREIGN CREDIT GUARANTIES |
| spellingShingle |
CREDIT RISK GOVERNMENT ON-LENDING PRIVATE SECTOR INVESTMENT RISK MANAGEMENT SOVEREIGN CREDIT GUARANTIES Bachmair, Fritz Florian Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending |
| geographic_facet |
East Asia and Pacific Europe and Central Asia Latin America & Caribbean Colombia Indonesia Sweden Turkey |
| relation |
MFM Global Practice discussion paper,no. 9; |
| description |
Sovereign credit guarantees and
government on-lending can catalyze private sector investment
and fulfill specific policy objectives. However, contingent
liabilities stemming from guarantees and contingent assets
stemming from on-lending expose governments to risk. Prudent
risk management, including risk analysis and measurement,
can help identify and mitigate these risks. This paper
proposes a four-step structure for analyzing and measuring
credit risk: (i) defining key characteristics to determine
the choice of a risk analysis approach; (ii) analyzing risk
drivers; (iii) quantifying risks; and (iv) applying risk
analyses and quantification to the design of risk management
tools. This structure is based on an assessment of
approaches discussed in academia and applied in practice.
The paper demonstrates how the four steps of credit risk
management are applied in Colombia, Sweden, and Turkey. It
also discusses how the proposed framework is applied in
Indonesia as it develops a credit risk management framework
for sovereign guarantees. |
| format |
Working Paper |
| author |
Bachmair, Fritz Florian |
| author_facet |
Bachmair, Fritz Florian |
| author_sort |
Bachmair, Fritz Florian |
| title |
Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending |
| title_short |
Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending |
| title_full |
Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending |
| title_fullStr |
Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending |
| title_full_unstemmed |
Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending |
| title_sort |
contingent liabilities risk management : a credit risk analysis framework for sovereign guarantees and on-lending |
| publisher |
World Bank, Washington, DC |
| publishDate |
2016 |
| url |
http://documents.worldbank.org/curated/en/2016/01/25814382/contingent-liabilities-risk-management-credit-risk-analysis-framework-sovereign-guarantees-on-lending-country-experiences-colombia-indonesia-sweden-turkey http://hdl.handle.net/10986/23774 |
| _version_ |
1764454899303579648 |