Credit Risk Management Of Commercial Bank In Kazakhstan

Credit risk is one of the most important risks that incurs in banking activities.The concept of credit risk management can be treated as the heart of any commercial banks.It plays the vital role in the performance of a financial institution as it analyzes credit worth ability of borrowers.Each loan without repayment decreases banks' profit and equity,which in turn may result in bank failure if the bank cannot pay off its liabilities.In this paper,according to existing theoretical and empirical literature,the suitable system was defined for measuring credit risk management.Then,the effect of credit risk management on the profitability and survival of bank in Kazakhstan was investigated.Theories of credit risk management,the main tools and models used in the Kazakhstani banking system are introduced in the paper.The purpose of this study is to analyze and assess the credit risk of a commercial bank using a VaR model and simulation procedures with Monte Carlo method using the example of a loan portfolio of Halyk Bank in Kazakhstan.The thesisexamines the basic methods and approaches of assessing the borrower's creditworthiness and proposes a model for assessing the credit risk of a commercial bank using the VaR model.Furthermore,it outlines how this model can be applied to the valuation of the loan portfolio of the commercial bank HalykBank.The results of the study showed that there was a significant relationship between risk management and profitability and bank survivability.