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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.
Sicking J, Guhr T, Schäfer R.
europepmc +10 more sources
Forecasting Credit Portfolio Risk [PDF]
SSRN Electronic Journal, 2004 Elektronische ...
Alfred Hamerle +2 more
core +8 more sources
A Portfolio View of Consumer Credit [PDF]
SSRN Electronic Journal, 2005 This paper takes a portfolio view of consumer credit. Default models (credit-risk scores) estimate the probability of default of individual loans. But to compute risk-adjusted returns, lenders also need to know the covariances of the returns on their loans with aggregate returns.
David K. Musto, Nicholas S. Souleles
core +11 more sources
Asset Correlations and Credit Portfolio Risk: An Empirical Analysis [PDF]
Social Science Research Network, 2008 In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 ...
Klaus Duellmann +2 more
semanticscholar +5 more sources
Systemic Risk Contributions: A Credit Portfolio Approach [PDF]
Journal of Banking & Finance, 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 +7 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
Robust Optimization of Credit Portfolios [PDF]
Mathematics of Operations Research, 2016 We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penalized.
Lijun Bo, Agostino Capponi
+8 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
Heterogeneous credit portfolios and the dynamics of the aggregate losses [PDF]
Stochastic Processes and their Applications, 2009 We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the idiosyncratic characteristics of the firms. We shall see that our model goes behind the identification of groups of
Paolo Dai Pra, Marco Tolotti
openalex +7 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