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SSRN Electronic Journal, 1998 In order to take advantage of credit portfolio management opportunities, management must first answer several technical questions: What is the risk of a given portfolio? How do different macroeconomic scenarios, at both the regional and the industry sector level, affect the portfolio's risk profile? What is the effect of changing the portfolio mix? How
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, 2010 Financial institutions are interested in loss protection and loan insurance. Thus determining the loss reserves needed to cover the risk stemming from credit portfolios is a major issue in banking. By charging risk premiums a bank can create a loss reserve account which it can exploit to be shielded against losses from defaulted debt.
Wolfgang Karl Härdle +2 more
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An approximation for credit portfolio losses
The Journal of Credit Risk, 2008Mixture models play an important role in the modeling of portfolio losses. In these models the risk of default of individual obligors (indexed by i ∈ {1, . . . , m}) depends on an underlying set of common economic factors, denoted Ψ. Given these factors, the losses due to default li of individual obligors are assumed to be stochastically independent ...
Frey, Rüdiger +2 more
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Forward Equations for Portfolio Credit Derivatives
SSRN Electronic Journal, 2008We introduce an alternative approach for computing the values of CDO tranche spreads in reduced-form models for portfolio credit derivatives ("top-down" models), which allows for efficient computations and can be used as an ingredient of an efficient calibration algorithm.
Cont, R., Savescu, I.
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Optimizing Selection of Credit Portfolios
CFA Digest, 2004Our ability today to construct a great number of portfolios that all satisfy the same set of static collateralized debt obligation (CDO) investment guideline, can potentially introduce credit hot spots that will not be detected by traditional rating agency measures.
Glen M McDermott +2 more
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