The ThaiBMA has aimed to specialize on multi dimensions of bonds. Not only we has built up a complete database for bond information in Thailand , but has initiatives on enhancing the value to the bond information, i.e. intelligence analytical tools. We have just successfully completed the iRisk to measuring market risk for bonds, equities and foreign currencies. Quantification of portfolio credit risk is our next milestone after we have constructed corporate spreads for the Thai capital market. These are very useful for pricing corporate debentures and credit derivatives, and able to allow banks to apply the concept of fund transferred pricing in asset-and-liability management and risk-based performance measurement. So that banks and investors will be able to estimate the risk of how much money they might loss from fixed-income or loan portfolio due to changes in credit quality or even default. Because ThaiBMA has accumulated know-how on quantitative techniques and valuable data, which are also able to be used for both market and credit risk measurement, comprehensive training course on credit risk modeling and management, expertise in risk management, and staffs with strong practical experience and quantitative background, we are willing to integrate all risks and initiating on building a portfolio credit risk measurement solution, which can be used for both bank’s loans and fixed-income investment portfolio. We are now developing three credit risk models, e.g., moment-matching model, actuarial model and rating-migration model and expecting to start servicing by the end of 2005. |
