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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
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The Pricing of Portfolio Credit Risk [PDF]
SSRN Electronic Journal, 2006 Equity and credit-default-swap (CDS) markets are in disagreement as to the extent to which asset returns co-move across firms. This suggests market segmentation and casts ambiguity about the asset-return correlations underpinning observed prices of portfolio credit risk.
Nikola A. Tarashev, Haibin Zhu
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Modelling Correlations in Portfolio Credit Risk [PDF]
Research Papers in Economics, 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 estimation error hinders the detection of a signal. We present statistical evidence that PD correlations
Bernd Rosenow +2 more
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Celebrating 5 Years of the ACS Au Journal Family. [PDF]
ACS Nanosci AuGoring PD +3 more
europepmc +9 more sources
Dynamic Hedging of Portfolio Credit Derivatives [PDF]
SIAM Journal on Financial Mathematics, 2008 We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for market incompleteness: a large proportion of risk in the CDO tranches appears to be unhedgeable.
Rama Cont, Yu Hang Kan
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Optimization strategies in credit portfolio management [PDF]
Journal of Global Optimization, 2007 This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios.
Ivorra, Benjamín Pierre Paul +2 more
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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
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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
Valuating consumer credit portfolios
Latin American Journal of Central Banking, 2021 This paper proposes a model that associates borrower credit risk with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method to an illustrative loan reveals that the lending standards of the institution, captured in the model by the expected and unexpected losses of the contract ...
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