What are the main credit risk exposures (borrower types, country, region, etc.) of MUFG and JPMorgan Chase Bank? What credit risks does it prioritize? Do these credit risks work independently or together, i.e., what is the default correlation across the borrowers? 

What modelling processes (Credit VaR, etc.) is the bank using and what data does it use in these processes? If the bank uses the internal ratings based (IRB) approach, how does it support its system? 

What information does the bank's credit VaR numbers (credit risk charge) reveal about the bank's risk exposure and vulnerability?

Answer rating: 100% (QA)

The main credit risk exposures of MUFG and JPMorgan Chase Bank are borrowers country and region amon... View the full answer