Default Rates and Recovery rate on Commercial loans in the Alberta Business Environment

International Financial Reporting Standards (IFRS) for loss allowances are changing, and financial institutions are proactively adapting existing methodologies and developing new ones to remain compliant. The main ingredient in the myriad of evaluations that banks are required to perform for compliance is risk assessment. The first goal of this research project is to review best practice risk models, with a special focus on modeling the evolution of default probabilities and potential losses given a default. Next, the models will be applied to selected loan portfolios that are held by the business partner. Given that the loan portfolio of ATB Financial is concentrated on the local economy, risk measures will be tailored to account for Alberta-specific economic factors.

Faculty Supervisor:

Valentina Galvani

Student:

Afra Anika

Partner:

ATB Financial

Discipline:

Economics

Sector:

University:

Program:

Accelerate