Identify the portfolio risks inherent in the given portfolio

Assignment Help Risk Management

Reference no: EM13924931

1. What is the relevance of correlations from a credit portfolio risk management perspective?

2. The following is an extract from the credit portfolio of Hypothetical Bank:

CUSTOMER NAME	INDUSTRY	Currency	Exposure - millions	Less than 1 year	Less than 2 years	More than 2 years
Customer 1	Construction	USD	3,500		1,167	2,333
Customer 2	Building Materials	USD	1,200	300	900
Customer 3	Construction	GBP	1,100	275	825
Customer 4	Wholesale and Retail Trade	USD	790		263	527
Customer 5	Manufacturing - Cement	EUR	780	195	585
Customer 6	Wholesale and Retail Trade	AUD	680	170	510
Customer 7	Wholesale and Retail Trade	INR	612		204	408
Customer 8	Construction	USD	590		197	393
Customer 9	Manufacturing - Steel	USD	556	139	417
Customer 10	Transportation	EUR	800	200	600
Customer 11	Manufacturing - Auto	USD	520		173	347
Customer 12	Construction	USD	800		267	533
Customer 13	Construction	GBP	400		133	267
Customer 14	Construction	USD	340		113	227
Customer 15	Wholesale and Retail Trade	USD	312		104	208
Customer 16	Manufacturing - Cement	USD	280	70	210
Customer 17	Transportation	GBP	250	63	188
Customer 18	Financial Services	USD	125	31	94
Customer 19	Construction	USD	189	47	142
Customer 20	Transportation	USD	160	40	120
Customer 21	Manufacturing - Paints	USD	155	39	116
Customer 22	Wholesale and Retail Trade	USD	210	53	158

Identify the portfolio risks inherent in this portfolio. Explain your views and possible solutions to solve or mitigate the portfolio issues identified.

Reference no: EM13924931

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