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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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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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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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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
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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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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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Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios
Asia-Pacific Financial Markets, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yamanaka, Suguru +2 more
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Regulatory Impacts on Credit Portfolio Management
2003Efficient credit portfolio management is a key success factor of bank management. Discussions of the new capital adequacy proposals by the Basle Committee on Banking Supervision enlighten the necessity to consider the credit risk management both from the internal and the regulatory point of view.
Ursula Theiler +3 more
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Optimizing Selection of Credit Portfolios
The Journal of Portfolio Management, 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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The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing
STUDI ECONOMICI, 2012This study explores the role of the credit securitisation process in managing the credit risk amount of the banking loan portfolio, when the bank originator retains a residual equitylike class as illiquid first loss position (FLP). An Importance Sampling Monte Carlo simulation model has been implemented for estimating the portfolio credit risk amount ...
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