Abstract:
In the past 25 years academic researchers, practitioners and regulators increased their focus on credit risk in explaining, understanding and measuring it. Nowadays,this type of credit it is considered the most important risk in the bank because the majority of losses are due to credit risk. The aim of this paper is to measure how much the Romanian Banks would lose if credit risk events happen. The methodology used is Value-at risk and the results show that the credits granted in euro have the biggest risk with a loss of 38.60% and the credits granted in Romanian Leu have the smallest credit risk with a loss of 6.69% at a level of confidence of 99%.
