Credit Risk Management at JP Morgan Chase

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Case Details:

Case Code : FINA003
Case Length : 20 Pages
Period : 2002 - 2003
Pub. Date : 2005
Teaching Note :Not Available
Organization : JP Morgan Chase
Industry : Banking
Countries : USA

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This case study was compiled from published sources, and is intended to be used as a basis for class discussion. It is not intended to illustrate either effective or ineffective handling of a management situation. Nor is it a primary information source.

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Business Strategy & Risk Management Contd...

Residual holds averaged less than 10%. The commercial loan portfolio declined by 9% in 2003, due to a combination of continued weak loan demand, ongoing goal of reducing commercial credit concentrations and refinancings into more liquid capital markets.

To measure commercial credit risk, JP estimated the likelihood of default; the amount of exposure in case of default and the loss severity given a default event. Based on these factors and related market-based inputs, JP estimated both expected and unexpected losses for each segment of the portfolio. Expected losses were statistically based estimates of credit losses over time.

Finance | Case Study in Management, Operations, Strategies, Finance, Case Studies

They were used to set risk-adjusted credit loss provisions. Such losses could be factored into the pricing and covered as a normal and recurring cost of doing business. Unexpected losses represented the potential volatility of actual losses relative to the expected level of losses and formed the basis for the credit risk capital-allocation process...

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