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Portfolio Diversification in Concentrated Bond and Loan Portfolios
SSRN Electronic Journal, 2015I develop an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations. The approximation requires no advanced mathematics or statistics, only the summation of large exposures and the evaluation of binomial probabilities.
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A Note on Hedging a Loan Portfolio [PDF]
, 2003 In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the portfolio case in a non?trivial but intuitive way.
Udo Broll, Peter Welzel
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Financing microfinance loan portfolios
Enterprise Development & Microfinance, 2005How do financial institutions fund their loan portfolios? This paper examines 13 of ACCION International's partners and reveals that the unregulated MFIs use a combination of concessional loans, government funding, and commercial and multilateral loans. Regulated financial institutions use all of these, but also term deposits, savings accounts and, for
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Commercial loan portfolios: risk analytics and management.
2023In the wake of widespread bank failures and losses in the early 1990s, internal risk management systems have emerged as a primary source of sustainable competitive advantage within the finance industry. Indeed, in the current environment of intense rivalry and deregulation, the survival of institutions and banks will be dictated by their respective ...
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Overview of Loan Portfolio Analysis
2020In this chapter we delve into the analysis of loan portfolios. As one of the main raw materials of securitization, large portfolios of loans require specific formal and practical tools for their analysis and we go through the main ones in this part of the book.
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Fast Approximation of Loan Portfolio Loss
Global Credit Review, 2014Economic capital and Value at Risk are key measures in risk management and risk regulations. The industry practice is to calculate these risk measures based on brute force simulations using market observed index returns as risk factors and some assumed correlation structure.
Bai, Jenny Hua +2 more
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Regulatory capital decisions in the Context of consumer loan portfolios
Journal of the Operational Research Society, 2017A topic of interest in recent literature is regulatory capital requirements for consumer loan portfolios. Banks are required to hold regulatory capital for unexpected losses, while expected losses are to be covered by either provisions or future income.
Kanshukan Rajaratnam +2 more
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FEATURES OF LOAN PORTFOLIO ANALYSIS
EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYAThe article is devoted to the assessment of the loan portfolio of financial and credit organizations. The functions of the loan portfolio, the stages of its formation in a commercial bank, the specifics of the sale of the portfolio are considered. Attention is also paid to the analysis of the loan portfolio of financial and credit structures.
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TYPES OF INDUSTRIAL LOAN PORTFOLIO AS AN IMPORTANT COMPONENT OF THE BANK’S CORPORATE LOAN PORTFOLIO
From the Baltic to the Black Sea: the Formation of Modern Economic Area, 2023openaire +1 more source