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Numerical Aspects of Loan Portfolio Optimization
2007The current industry standard is to optimize loan portfolios with respect to variance. In this paper we show that optimization with respect to expected shortfall and expected regret is fairly easy to implement.
Claas Becker, Veronika Orlovius
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Simulation-based optimisation of the timing of loan recovery across different portfolios
Expert Systems With Applications, 2021Conrad Beyers, Arno Botha
exaly
The WHAM of a Troubled Corporate Loans Portfolio
2015Credit work out is mostly focused on non performing loans. However, particularly when the collateral is mostly related to the going concern of the debtor company, the best recovery strategy should be aimed at keeping the counterpart from becoming not performing—almost at all costs.
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Does corporate governance explain the quality of bank loan portfolios?
Journal of Financial Economic Policy, 2021Emmanuel Sarpong‐Kumankoma
exaly
The WHAM of a Real Estate Loans Portfolio
2015Banks from all over the world are long on real estate assets—even more so in Europe where banks could arguably be defined as the biggest “real estate companies” in the region, as they lend to real estate developers and to their buyers (not to mention how many real estate assets they own directly).
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Measuring the diversification of a loan portfolio
International Journal of Bonds and Derivatives, 2020openaire +1 more source
Mortgage Loan Portfolio Optimization
2018In this thesis I investigate the possibility to improve current mortgage advisory. I find that a borrower of a 3,000,000 DKK loan, who had applied an ex-ante optimal strategy during the historical period 2010-2018, would have refinanced her loan eight times, and saved loan costs of 1,113,289 DKK relative to an otherwise identical borrower who didn’t ...
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Climate transition risk in U.S. loan portfolios: Are all banks the same?
International Review of Financial Analysis, 2023Eric Tan, Ivan Diaz-Rainey
exaly