This document presents the results of a credit risk model. It includes credit risk index scores for various sectors, with automotive and retail having the highest risk. A quadratic regression equation is shown with an R2 value of 0.955 to model the relationship between credit risk concentration and return on risk-adjusted capital. Various credit risk assessment factors are listed and ranked in order of importance, with credit rating, collateral valuation, and governance being the top three factors.

1. CREDIT RISK MODEL
6.59
5.00 5.00
12.22
0.73 0.50 0.83 0.74
2.40
0.90
0.80
0.70
0.52 1.00
0.30 0.50
0.6
0.8 0.9
0.13
y = 2.2019x2 - 9.3184x + 13.984
R² = 0.955
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
SECTORAL RETAIL FI AUTOMOTIVE
RORAC CONCENTRATION
CREDIT RISK INDEX EARNING QUANTUM
MARKET SENSITIVITY
13
32
28
12 9
10
16
28 33
23
19
6
CREDITRATING
COLLATERAL
VALUATION
GOVERNANCE
REGULATORYCAPITAL
ESTIMATION
LIABILITYCLAUSE
STRUCTURE
RENEGECYCLE
PRE ASSESSMENT POST ASSESSMENT
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