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Sale of credit portfolio and risk: the case of financial institutions in Brazil
, 2009 Graziella Lage Laureano
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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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LARGE PORTFOLIO CREDIT RISK MODELING
International Journal of Theoretical and Applied Finance, 2007A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated.
MARK H. A. DAVIS +1 more
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Portfolio Optimization Under Credit Risk
Computational Statistics, 2003A financial market model is considered which describes the dynamics of the non-defaultable short rate (\(r\)), the defaultable short rate (\(s\)) and the uncertainty index (\(u\)). Stochastic differential equations by a standard Brownian motion are used to describe \((r(t),s(t),u(t))\).
Zagst, Rudi +2 more
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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.
Szymon Borak +2 more
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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.
Szymon Borak +2 more
openaire +1 more source