the present paper aimed at studying the current models of credit portfolio management. there are currently three types of models which consider the risk of credit portfolio: the structural models (moody's kmv model, and credit- metrics model), the intensity models (the actuarial models) and the econometric models (the macro-factors model). the development of these three types of models is based...

the credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. two main strategies in this regard include diversification versus concentration. in this study, at first, the status of diversification of iran’s banking sector is analyzed, then the relationship between diversification of the credit portfolio and...

Efficient 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. We introduce an optimization approach for the credit portfolio that maximizes expected returns subj...

The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...

credit allocation through the usage of portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. this paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

This paper develops rare event simulation methods for the estimation of portfolio credit risk — the risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portf...

Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

Most credit portfolio models currently used by the banking industry rely on Monte Carlo simulations for calculating the probability distribution of the future credit portfolio value, which can be quite computer time consuming. Adding market risk factors, such as stochastic interest rates or credit spreads, as additional ingredients of a credit portfolio model, the computational burden of full M...

In this paper I study a model for credit risk in a portfolio of sovereign bonds, based on (van der Hoorn, 2009). The model is based on historical credit rating changes and the joint distribution of the losses for di erent bonds is modeled with an assumption of an underlying multivariate Gaussian variable. Di erent risk measures for the portfolio are calculated using Monte Carlo simulations and ...