Title: Contingent Liabilities Risk Management: A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending

Language: English

Type: Document

Nature: Report

Published: January 1, 2016


Region: Global

Country: Global / Non-Specific

Topic: Financing and Risk Mitigation

Keywords: Knowledge Lab, Risk

Document(s):


Document Summary:

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.


Document Details:

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. Country experiences show that although sovereign risk managers can draw on insights from credit risk management in the private sector, academic literature, and practices in other countries, approaches to risk management need to be highly context-specific.


Updated: April 12, 2022