Results 11 to 20 of about 1,014,131 (349)
Forecasting Credit Portfolio Risk [PDF]
SSRN Electronic Journal, 2004 Elektronische ...
Hamerle, Alfred +2 more
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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. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and subsequently compose three bank portfolios corresponding to a small,
Mager, Ferdinand, Schmieder, Christian
openaire +5 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.
Musto, David K, Souleles, Nicholas S
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Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes [PDF]
Financial Theory and Practice, 2008 This paper proposes a new model for portfolio sensitivity analysis. The model is suitable for decision support in financial institutions, specifically for portfolio planning and portfolio management.
Goran Klepac
doaj +2 more sources
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.
Bo, Lijun, Capponi, Agostino
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Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach
The Journal of Credit Risk, 2018 The robustness of credit portfolio models is of great interest for financial institutions and regulators, since misspecified models translate into insufficient capital buffers and a crisis-prone financial system.
Ioannis Anagnostou +3 more
semanticscholar +1 more source
Bank’s Credit Portfolio Optimization Using Actuarial Approach and Artificial Neural Networks [PDF]
تحقیقات مالیObjectiveAllocating funds to various economic sectors and extending credit are among the key activities of banks. While following monetary and fiscal policies set by governments and central banks, banks strive to allocate these resources to profitable ...
Saeed Bajalan +2 more
doaj +1 more source
A model for achieving the allocative efficiency of credit resources in Ukraine’s banking system [PDF]
Banks and Bank Systems, 2017 The article presents a model for achieving the allocative efficiency of credit resources in Ukraine’s banking system. The research involves establishing a set of criteria for assessing a borrower’s creditworthiness and analyzing them by means of the ...
Lesia Dmytryshyn, Ivan Blahun
doaj +1 more source
Systems, 2022 Rural preferential loans usually take the form of portfolio credits. From the perspective of public interest, the total delay time for obtaining loans is expected to be minimized.
Huijun Huang, Yuzhong Li
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Credit Portfolio Management in Nepalese Commercial Banks
, 2018 Credit portfolio management is a key function for banks (and other financial institutions, including insurers and institutional investors) with large, multifaceted portfolios of credit, often including illiquid loans (Nario, Pfister, Poppensieker ...
Buddhi Kumar Malla
semanticscholar +1 more source