The Tradition Approach to Credit Risk and its Estimation for Selected Banks in Slovakia

Abstract The development of credit derivatives, the emergence of the global financial crisis and the subsequent development of Basel III is currently pays more attention. For this reason, it is still increasing pressure on the need to estimate the probability of default of the entire portfolio and the expected loss in the event of default. The subject of this article is to present tradition approach to credit risk and its estimation for selected banks in Slovakia for period 2013. This article presents basic approach to economic capital and VAR of the three largest banks in Slovak market. Formation of economic capital is also conditioned by the structure of the client portfolio and loan volumes of individual groups according to the degree of risk.