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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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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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Loan Portfolio Swaps and Optimal Lending
Review of Quantitative Finance and Accounting, 2005Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This paper presents an alternative: a firm-theoretic model for bank behavior with loan portfolio swaps. Our paper derives the optimal loan rate and rate-taking loan amount of the bank’s portfolio, and relates them to the market loan rate, counterparty loan rate, swap ...
Jyh-Horng Lin, Min-Li Yi
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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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Transfers of non-performing loan portfolios
Finance and Capital Markets (formerly Derivatives & Financial Instruments), 2009In recent years, Argentina and other Latin American countries have faced some significant macro-economic and financial crises. These crises generated related losses, but also notable business opportunities. This article considers the acquisition of a large portfolio of distressed debt, particularly certain legal, tax and accounting issues.
G. Gotlib, G. Burman, J. Hoberman
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Modelling credit risk of portfolio of consumer loans
Journal of the Operational Research Society, 2007One of the issues that the Basel Accord highlighted was that though techniques for estimating the probability of default and hence the credit risk of loans to individual consumers are well established, there were no models for the credit risk of portfolios of such loans. Motivated by the reduced form models for credit risk in corporate lending, we will
Malik, Madhur, Thomas, Lyn C.
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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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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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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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Fast Approximation of Loan Portfolio Loss [PDF]
The following sections are included:INTRODUCTIONCLOSED FORM METHODOLOGY FOR ECONOMIC CAPITAL CALCULATIONRISK FACTORS EXTRACTIONEXAMPLE: LOAN PORTFOLIO VaRCONCLUSIONNOTESAPPENDIX A.
Jenny Bai +2 more
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