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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.
Joachim Sicking +2 more
doaj +8 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 ...
Zhekai Zhang, Dachen Sheng
exaly +3 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 ...
David K. Musto, Nicholas Souleles
core +6 more sources
Credit allocation, risk management and loan portfolio performance of MFIs—A case of Ugandan firms
Cogent Business and 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, Oluwafemi Oyemomi
exaly +2 more sources
Stress testing of real credit portfolios [PDF]
SSRN Electronic Journal, 2008 Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account.
Mager, Ferdinand, Schmieder, Christian
core +4 more sources
Modelling Correlations in Portfolio Credit Risk [PDF]
, 2004 The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting ...
Altrock, Frank +2 more
core +8 more sources
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
Robust Optimization of Credit Portfolios [PDF]
Mathematics of Operations Research, 2017 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
openaire +3 more sources
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