Results 1 to 10 of about 1,014,131 (349)
Concurrent credit portfolio losses. [PDF]
PLoS ONE, 2018 We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas.
Joachim Sicking +2 more
doaj +10 more sources
Credit portfolio optimization: A multi-objective genetic algorithm approach
Borsa Istanbul Review, 2022 The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio ...
Zhi Wang +3 more
doaj +2 more sources
Portfolio optimization of credit risky bonds: a semi-Markov process approach
Financial Innovation, 2020 This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l ∞ -norm risk measure and the proposed optimization model is ...
Puneet Pasricha +3 more
doaj +2 more sources
Systemic Risk Contributions: A Credit Portfolio Approach
Social Science Research Network, 2011 We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for ...
Natalia Tente, Klaus Duellmann
semanticscholar +4 more sources
Credit allocation, risk management and loan portfolio performance of MFIs—A case of Ugandan firms
Cogent Business & Management, 2017 Purpose: The purpose of this study was to establish examine the relationship between credit allocation, risk management and loan portfolio performance of MFIs in Uganda.
Bob Ssekiziyivu +3 more
doaj +2 more sources
The impact of downward rating momentum on credit portfolio risk [PDF]
Social Science Research Network, 2008 Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second ...
André Güttler, Peter Raupach
openalex +2 more sources
Quantum algorithm for calculating risk contributions in a credit portfolio [PDF]
EPJ Quantum Technology, 2022 Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk and the conditional value at risk of a credit portfolio have been proposed.
Koichi Miyamoto
semanticscholar +1 more source
Diversifikasi Portofolio Kredit, Risiko dan Return Bank
Jurnal Akuntansi, 2023 Banks as financial intermediaries, can diversify their credit portfolios into different sectors. This study aims to determine the effect of credit portfolio diversification on risks borne and returns earned by banks.
Rahmat Setiawan +2 more
doaj +1 more source
The effect of diversification of the credit portfolio on bank’s credit risk [PDF]
تحقیقات مالی, 2016 The credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. Two main strategies in this regard include diversification versus concentration. In this study, at first,
Ezatollah Abbasian +2 more
doaj +1 more source
Optimalisasi Portofolio Kredit untuk Perencanaan Ekspansi Kredit pada Perbankan Nasional
Jurnal Aplikasi Bisnis dan Manajemen, 2020 The aim of this study is to determine the portfolio performance in each economic sector based on return and risk of portfolio credit at 3 Sentra Kredit Menengah (SKM) under BNI WJS supervision and to find out the optimal combination or composition of the
Rini Siswati Asnel +2 more
doaj +1 more source