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Credit Portfolio Management

Credit Portfolio Management
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Tracking decarbonization of multilateral development banks' electricity generation investments.

Cell Rep Sustain
Egli F, Lehofer CM, Palmowski N, Büthe T, Steffen B, Schmidt TS.   +5 more
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Importance Sampling for Portfolio Credit Risk

Management Science, 2005
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because default probabilities are low for highly rated obligors and because risk management is particularly ...
Paul Glasserman
exaly   +2 more sources

Portfolio Credit Risk [PDF]

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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An approximation for credit portfolio losses

The Journal of Credit Risk, 2008
Mixture 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, Popp, Monika, Weber, Stefan   +2 more
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NORTA for portfolio credit risk

Annals of Operations Research, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mohamed A. Ayadi, Hatem Ben-Ameur, Nabil Channouf, Quang Khoi Tran   +3 more
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Financial literacy and consumer credit portfolios [PDF]

Journal of Banking & Finance, 2013
We use survey data from a sample of UK households to analyse the relation ship between financialliteracy and consumer credit portfolios.We show that individ uals who borrow on consumer credit exhibit worse financial literacy than those who do not.Borrowers with poor financialliteracy hold higher shares of high cost credit (such as home collected credit,
Richard Disney, John Gathergood
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Portfolio Optimization Under Credit Risk

Computational Statistics, 2003
A 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 \((r(t),s(t),u(t))\).
Rudi Zagst, Jan Kehrbaum, Bernd Schmid
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Credit Portfolio Management

2013
exaly   +2 more sources

Capital for concentrated credit portfolios

Journal of Risk Management in Financial Institutions, 2015
Most credit portfolios contain obligor concentration risk and yet international bank regulatory capital rules and many industry models assume perfect diversification. Multiple methods are available to calculate the approximate capital needs of a concentrated credit portfolio, but many of these involve advanced mathematical arguments and substantial ...
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