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SSRN Electronic Journal, 2006
A credit-card company must value portfolios of customers based on their future earnings. The payment characteristics of customers serve to classify them into states. This case can be the basis for discussing state dynamics over time in a Markov process.
Samuel E. Bodily +2 more
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A credit-card company must value portfolios of customers based on their future earnings. The payment characteristics of customers serve to classify them into states. This case can be the basis for discussing state dynamics over time in a Markov process.
Samuel E. Bodily +2 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 credit-risk optimization
Journal of Banking & Finance, 2012Abstract This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form.
Ian Iscoe +3 more
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Capital for concentrated credit portfolios
Journal of Risk Management in Financial Institutions, 2015Most 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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2017
So far we have focused on methods how to properly measure credit risk and approve individual loan transactions. But even if this process is under control and loan underwriting is going well, a prudent bank management must ask the question; “When is enough enough?” Can the bank portfolio grow without limitations, or is there a limit?
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So far we have focused on methods how to properly measure credit risk and approve individual loan transactions. But even if this process is under control and loan underwriting is going well, a prudent bank management must ask the question; “When is enough enough?” Can the bank portfolio grow without limitations, or is there a limit?
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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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Pricing Portfolio Credit Products
2015Portfolio credit products have a long history in the financial markets, stretching back to the German (Prussian) Pfandbrief (Covered Bond) with its origins in the late 1700s’ reconstruction following the Seven Years War. There are many names for and structural features of portfolio credit instruments but they all share the common feature of having a ...
Roland Lichters +2 more
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Stress Testing in Credit Portfolio Models
SSRN Electronic Journal, 2013As, in light of the recent financial crises, stress tests have become an integral part of risk management and banking supervision, the analysis and understanding of risk model behaviour under stress has become ever more important. In this paper, we present a general approach to implementing stress scenarios in a multi-factor credit portfolio model and ...
Michael Kalkbrener, Ludger Overbeck
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Appendix: Credit Portfolio Modeling
2013A credit portfolio model (CPM) is a credit VaR approach (CVaR). Credit portfolio models are mostly designed as multi-factor models.
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Simulating Risk Contributions of Credit Portfolios
Operations Research, 2015The 2007–2009 financial turmoil highlighted the need for more active management of credit portfolios. After measuring portfolio credit risk, an important step toward active risk management is to measure risk contributions of individual obligors to the overall risk of the portfolio.
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