Relevant bibliographies by topics / Loan portfolio risk

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Loan portfolio risk'

Author: Grafiati
Published: 28 May 2022
Last updated: 30 July 2025

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Journal articles on the topic "Loan portfolio risk"

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Aris, Abdul Shaheer, and Ekramuddin Rahimi. "The Impact of Loan Portfolio Management on Credit Risk: Evidence from Banking Sector of Afghanistan." Journal of Economics, Finance and Accounting Studies 5, no. 5 (2023): 12–22. http://dx.doi.org/10.32996/jefas.2023.5.5.2.

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This article empirically examined the effects of loan portfolio diversification on commercial banks' credit risk in Afghanistan from 2007 to 2019. In this paper, the annualized data is used to run the regression model, and the least-squares method was followed; meanwhile, the Hirschman-Herfindahl index is used as a diversification index. Eventually, the estimation results in compliance with the traditional theory of portfolio management represent that loan portfolio diversification has a negative-significant impact on credit risk, while the capital adequacy ratio coefficient according to the m
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Emedo, Michael. "Strategies for effective management of loans: A case study of keystone Bank plc." Asian Journal of Economics and Business Management 3, no. 1 (2024): 477–86. http://dx.doi.org/10.53402/ajebm.v3i1.403.

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In this study, strategies for effective loans management using keystone bank plc as a case study was investigated. Survey research methodology was adopted via structured questionnaire containing both open and closed ended questions administered to 120 respondents who were management staff of Keystone bank at both head and corporate offices. Likert scale was used in the questionnaire formulation and Hypothesis was tested using chi square at 0.05 level of significance. The result revealed that corporate loan portfolio diversifications is the most effective technique of loan portfolio management.
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Danstun, Ngonyani, and Mapesa Harun. "The Effect of Credit Collection Policy on Portfolio at Risk of Microfinance Institutions in Tanzania." Studies in Business and Economics 14, no. 3 (2019): 131–44. http://dx.doi.org/10.2478/sbe-2019-0049.

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AbstractThis paper presents the results of the study on the effect of credit collection policy on portfolio at risk of microfinance institutions in Tanzania. The study used cross-sectional survey data of microfinance institutions in three regions of Dar es salaam, Morogoro and Dodoma. Random sampling was employed to obtain a sample of 219 respondents in all three regions. Multiple linear regression analysis was used to determine the effect of credit collection policy on portfolio at risk of microfinance institutions. Results show that, there is a positive relationship between interest rates ch
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Di Clemente, Annalisa. "Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio." Journal of Risk and Financial Management 13, no. 6 (2020): 129. http://dx.doi.org/10.3390/jrfm13060129.

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This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for estimating the portfolio credit risk is a binomial type based on a Monte Carlo Simulation. This method takes into account the default correlations among the credit counterparties in the portfolio by following a copula approach and utilizing the asset return correlations of the obligors, as estimated by rigo
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Vosloo, Pieter G., and Paul Styger. "The process approach to the management of loan portfolios." Journal of Economic and Financial Sciences 3, no. 2 (2009): 171–88. http://dx.doi.org/10.4102/jef.v3i2.341.

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Many factors impacted the credit risk environment in the past decade, the most significant of which were the Basel II Capital Accord requirements. Foremost in the financial industry’s focus was, and still is, the implementation of these requirements and their associated outcomes. In the aftermath of the Basel II implementation, credit risk managers’ focus will return to understanding the portfolio philosophy in managing their credit portfolios. They will be required to adapt an integrated risk management framework, taking into account the interdependence of various building blocks, data fields
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Avazkhon, Agzamov, and Malikova Dilrabo. "Loan portfolio of banks in Uzbekistan and ways to improve the efficiency of loan portfolio management." Yashil iqtisodiyot va taraqqiyot 2, no. 4 (2024): 9–13. https://doi.org/10.5281/zenodo.14211189.

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Decreasing the share of non-performing loans is critical for ensuring financial stability, enhancing creditavailability, improving cost efficiency, strengthening risk management, fostering investor confidence, complying withregulatory requirements, and supporting sustainable economic growth. By addressing the root causes of NPLs andimplementing effective risk mitigation strategies, banks can enhance their resilience, competitiveness, and long-termviability in the global financial landscape. The paper examines the essence of the concept of problem loans, presents themain factors that contribute
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Malla, Buddhi Kumar. "Credit Portfolio Management in Nepalese Commercial Banks." Journal of Nepalese Business Studies 10, no. 1 (2018): 101–9. http://dx.doi.org/10.3126/jnbs.v10i1.19138.

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Credit portfolio management is a key function for banks (and other financial institutions, including insurers and institutional investors) with large, multifaceted portfolios of credit, often including illiquid loans (Nario, Pfister, Poppensieker & Stegemann, 2016). After global financial crisis of 2007-2008, the credit portfolio management function has become most crucial functions of the bank and financial institutions. The Basel III, third installment of Basel accord was developed after crisis to strengthen bank capital requirements by increasing bank liquidity and decreasing bank lever
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SOLOVEI, Nadiia, and Ihor SKRYPNYCHENKO. "Problems of qualitative evaluation of commercial bank loan." Economics. Finances. Law, no. 1/2 (January 31, 2020): 15–19. http://dx.doi.org/10.37634/efp.2020.1(2).3.

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The article defines the nature of the loan portfolio, as well as the problems in the assessment and analysis of the commercial bank loan portfolio. In order to improve the existing credit portfolio of the bank, the dynamics, categories of the borrower ratio and the quality of the loan portfolio are analyzed, based on the obtained data, significant factors influencing the formation and management of the analyzed bank's loan portfolio are determined. Generation of a loan portfolio is usually subject to issuance of loans with maximum yield on the same terms. The profitability of a loan transactio
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Ogboi, Charles, Ogunwale Olurotimi, Ogunwole Joshua Olatunde, and Emordi Nwabunwnne Blessing. "Application of Linear Programming Model in Investment Portfolio and Loan Portfolio Optimization." International Journal of Economics, Business and Management Research 09, no. 05 (2025): 447–63. https://doi.org/10.51505/ijebmr.2025.9529.

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Optimizing investment and loan portfolios is paramount for institutions aiming to maximize returns while mitigating risks. Linear programming (LP) as a mathematical optimization technique, offers a structured approach to address these challenges by determining the best allocation of limited resources under given constraints. Despite its advantages, the application of LP in financial portfolio optimization is not without challenges. The accuracy of LP models heavily relies on the precision of input data, such as expected returns, risk assessments, and correlation coefficients. Extant literature
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Peng, Chien-Chih, and Heather Dufour. "Case Study: Asset and Liability Management at Cumberland Valley National Bank & Trust." Journal of Finance Issues 5, no. 2 (2007): 246–55. http://dx.doi.org/10.58886/jfi.v5i2.2630.

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Asset and liability management is the financial risk management practiced at financial institutions. The goal of asset and liability management is to maximize the risk-adjusted returns to shareholders over the long run. Credit risk is a very important risk category in banking because bankers usually manage credit risk on daily basis. How credit administration and asset and liability management should be coordinated to insure proper returns to shareholders is a critical issue to examine. This issue involves both the loan origination process and loan portfolio diversification. The loan originati
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Dissertations / Theses on the topic "Loan portfolio risk"

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Kim, Juno. "A credit risk model for agricultural loan portfolios under the new Basel Capital Accord." Texas A&M University, 2003. http://hdl.handle.net/1969.1/2276.

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The New Basel Capital Accord (Basel II) provides added emphasis to the development of portfolio credit risk models. An important regulatory change in Basel II is the differentiated treatment in measuring capital requirements for the corporate exposures and retail exposures. Basel II allows agricultural loans to be categorized and treated as the retail exposures. However, portfolio credit risk model for agricultural loans is still in their infancy. Most portfolio credit risk models being used have been developed for corporate exposures, and are not generally applicable to agricultural loan port
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Lindgren, Jonathan. "Modeling credit risk for an SME loan portfolio: An Error Correction Model approach." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-136176.

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Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. Basel II Advanced Internal-Based Approach ger banker möjligheten att skatta dessa riskmått för enskilda portföljer och göra interna kreditriskvärderingar. I överensstämmelse med Advanced Internal-Based-rating undersöker denna uppsats användningen av en Error Correction Model för modellering av Sannolikhet för Fallissema
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Atahau, Apriani Dorkas Rambu. "Loan portfolio structures, risk and performance of different bank ownership types: An Indonesian case." Thesis, Curtin University, 2014. http://hdl.handle.net/20.500.11937/1556.

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This study examine the loan portfolio structures, risk and performance of different bank ownership types in Indonesia over the period 2003-2011. Financial data of the banks are analysed by applying non-parametric univariate statistics and regression analysis. This research finds significant changes and differences between the loan portfolio structures and performance of the different bank ownership types. The findings enable the Central Bank of Indonesia to consider the ownership differences when developing or changing credit regulations.
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Sule, Friday Eneojo. "Effects of credit risk and portfolio loan management on profitability of microfinance banks in Lagos, Nigeria." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/97163.

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Thesis (MDF)--Stellenbosch University, 2012.<br>The study was carried out to find out the effect of credit risk and portfolio loan management on profitability of microfinance Banks (MFBs) in Lagos, Nigeria. To achieve the objective of the study, an econometric model was developed. A sample size of 14 microfinance banks was randomly selected, comprising four national, five state and five unit microfinance banks respectively. Five year annual financial statements of these 14 selected microfinance banks were obtained for this analysis using panel data that produce 70 observations for the period
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Kühn, Jochen. "Optimal risk return trade-offs of commercial banks and the suitability of profitability measures for loan portfolios with 1 table." [S.l.] : [s.n.], 2006. http://dx.doi.org/10.1007/3-540-34821-2.

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Bramma, Keith Michael. "AN EVALUATION OF BANK CREDIT POLICIES FOR FARM LOAN PORTFOLIOS USING THE SIMULATION APPROACH." University of Sydney, Department of Agricultural Economics, 1999. http://hdl.handle.net/2123/400.

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The aim of this study is to evaluate the risk-return efficiency of credit policies for managing portfolio credit risk of banking institutions. The focus of the empirical analysis is on the impact of risk pricing and problem loan restructuring on bank risk and returns using a simulation model that represents an operating environment of lenders servicing the Australian farm sector. Insurance theory principles and agency relationships between a borrower and a lender are integrated into the portfolio theory framework. The portfolio theory framework is then couched in terms of the capital budget
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Гапонько, О. Ю. "Управління портфельним кредитним ризиком банку". Master's thesis, Сумський державний університет, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81715.

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Багута, Я. А. "Розвиток науково-методичних підходів до управління споживчими кредитами банку". Master's thesis, Українська академія банківської справи Національного банку України, 2013. http://essuir.sumdu.edu.ua/handle/123456789/49625.

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Метою дипломної роботи є дослідження теоретичних та практичних засад управління споживчими кредитами банку та розробка практичних механізмів його удосконалення. Предметом дослідження є науково-методичне забезпечення та механізм управління споживчими кредитами банку. Об’єктом дослідження є економічні відносини, що виникають у процесі управління споживчими кредитами банку.<br>The aim of work is to study the theoretical and practical bases of management of consumer credits of the Bank and development of practical mechanisms of improvement. The subject of research is the scientific methodologica
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Соловей, І. В. "Управління індивідуальним кредитним ризиком в сучасних умовах". Master's thesis, Сумський державний університет, 2021. https://essuir.sumdu.edu.ua/handle/123456789/87026.

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В роботі досліджено сутність, види та класифікацію індивідуального кредитного ризику банку; визначено фактори, які впливають на рівень кредитного ризику банку; сформовано систему управління кредитним ризиком банку; проаналізовано управління індивідуальним кредитним ризиком банку на прикладі АТ «Мегабанк» та розроблено пропозиції щодо вдосконалення процесу управління кредитним ризиком банку.
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Колосовський, І. М. "Управління забезпеченням банківських позичок". Thesis, Одеський національний економічний університет, 2020. http://dspace.oneu.edu.ua/jspui/handle/123456789/12349.

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У роботі розглядаються: теоретичні засади в управлінні забезпеченням банківських позичок; характеристика міжнародних, національних стандартів оцінки та управління забезпеченням банківських позичок; аналіз форм забезпечення банківських позик та структура кредитного портфелю в ПАТ АБ «Південний»; характеристика основних цілей, завдань та напрямів політики «Про заставу» ПАТ АБ «Південний»; показники економічних нормативів ліквідності; рівні ліквідності забезпечення. За результатами дослідження сформульовані пропозиції щодо вдосконалення науково-методичних підходів до розрахунку заставної вартост
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Books on the topic "Loan portfolio risk"

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DeYoung, Robert. Risk overhang and loan portfolio decisions. Federal Reserve Bank of Chicago, 2005.

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Acharya, Viral V. Should banks be diversified?: Evidence from individual bank loan portfolios. Bank for International Settlements, Monetary and Economic Dept., 2002.

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Gabriel, Stephen C. A risk profile of lenders' farm loan portfolios. U.S. Dept. of Agriculture, Economic Research Service, National Economics Division, 1985.

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Gabriel, Stephen C. A risk profile of lenders' farm loan portfolios. U.S. Dept. of Agriculture, Economic Research Service, National Economics Division, 1985.

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Gabriel, Stephen C. A risk profile of lenders' farm loan portfolios. U.S. Dept. of Agriculture, Economic Research Service, National Economics Division, 1985.

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Office, General Accounting. Resolution Trust Corporation: Loan portfolio pricing and sales process could be improved : report to the Honorable Bruce F. Vento, House of Representatives. The Office, 1993.

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Araten, Michel, and Joseph L. Breeden. Perspectives on credit risk, portfolio management, and capital: Readings from the RMA Journal. Edited by Risk Management Association. RMA, 2014.

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Calbom, Linda M. Rural Utilities Service: Risk assessment for the electric loan portfolio : statement of Linda M. Calbom, Director, Resources, Community, and Economic Development Accounting and Financial Management, Accounting and Information Management Division, before the Subcommittee on Government Management, Information and Technology, Committee on Government Reform and Oversight, House of Representatives. The Office, 1998.

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Optimal Risk-Return Trade-Offs of Commercial Banks: And the Suitability of Profitability Measures for Loan Portfolios (Lecture Notes in Economics and Mathematical Systems). Springer, 2006.

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Bruno, Brunella, Giacomo Nocera, and Andrea Resti. Are Risk-Based Capital Requirements Detrimental to Corporate Lending? Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198815815.003.0019.

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In this chapter, we summarize the main results of a recent empirical research concerning European banks. We first explore the main drivers of the differences in risk-weighted assets (RWAs) across a sample of fifty large European banking groups. We then assess the impact of RWA-based capital regulations on those banks’ asset allocations in 2008–14. We find that risk weights are affected by bank size, business models, and asset mix. We also find that the adoption of internal ratings-based (IRB) approaches is an important driver of RWAs and that national segmentations explain a significant (albei
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Book chapters on the topic "Loan portfolio risk"

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Zhu, Steven H. "Region and Sector Effects in Stress Testing of Commercial Loan Portfolio." In Commercial Banking Risk Management. Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59442-6_10.

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Timofeev, Nikolay, and Galina Timofeeva. "Estimation of Loan Portfolio Risk on the Basis of Markov Chain Model." In IFIP Advances in Information and Communication Technology. Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-36062-6_21.

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Biryukov, Alexander, Gulnaz Murzagalina, Alina Kagarmanova, and Svetlana Kochetkova. "Concepts of Improving Fuzzy and Neural Network Methods for Simulating Bankruptcy in Risk Management by the Bank’s Loan Portfolio." In Lecture Notes in Networks and Systems. Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-93677-8_45.

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Overbeck, Ludger. "Allocation of Economic Capital in loan portfolios." In Measuring Risk in Complex Stochastic Systems. Springer New York, 2000. http://dx.doi.org/10.1007/978-1-4612-1214-0_1.

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Mahmoudvand, Rahim, and Teresa A. Oliveira. "On the Application of Sample Coefficient of Variation for Managing Loan Portfolio Risks." In Contributions to Statistics. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-76605-8_6.

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Komelina, Olha, and Yuriy Kharchenko. "The Formation of the Bank Optimal Loan Portfolio in the Conditions of Increasing Business Environment Risks." In Lecture Notes in Civil Engineering. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-17385-1_59.

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Kimber, Andrew. "Loan portfolio." In Credit Risk. Elsevier, 2004. http://dx.doi.org/10.1016/b978-075065667-2.50001-x.

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"Bank Loan Portfolio Credit Risk Analysis." In Six Sigma DMAIC and Markov Chain Monte Carlo Applications to Financial Risk Management. IGI Global, 2024. http://dx.doi.org/10.4018/979-8-3693-3787-5.ch012.

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This chapter illustrates an analysis of banking loan portfolio credit risk. The objective is to select the optimal loan portfolio that achieves the bank's investment objectives with an acceptable credit risk according to their predefined limits. Stochastic optimization constructs an efficient frontier of optimal loan portfolios in banking with maximal profit and minimizing loan losses (i.e., the credit risk). Simulation stochastically calculates and measures the gross profit and the objective profit. Also, the bank regulation limits are applied based on the bank's capital to control the maximu
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"Efficient allocation of an international loan portfolio." In Country Risk Analysis. Routledge, 2002. http://dx.doi.org/10.4324/9780203203101-19.

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Shin, Hyun Song. "Lending Booms." In Risk and Liquidity. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198847069.003.0007.

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A system of interlinked balance sheets of intermediaries that follow the Value-at-risk rule has the feature that an increase in house prices transmits valuation changes through the value of debt instruments. The analysis uses the Vasicek credit risk model for the diversification of individual credit risks in the loan portfolio. Leverage and wholesale funding is key to understanding lending booms.
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Conference papers on the topic "Loan portfolio risk"

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López Flores, Walter Jeremías. "Evaluation of Neural Network and Logit Models for Classification of Default in Banking Loans." In I Conferencia Internacional de Ciencia, Tecnología e Innovación. Trans Tech Publications Ltd, 2024. http://dx.doi.org/10.4028/p-dxrv7c.

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The purpose of the study was to evaluate the performance of neural networks as modern techniques to classify the risk of default against the traditional Logit statistical method, taking a Honduran bank as a case study. The data was obtained from its credit portfolio made up of 38,156 personal loans and 9 available characteristics, choosing the most representative independent variables to design a Multilayer Perceptron type base model and its Logit equivalent to which characteristics were added to analyze their impact on the classification of the dependent variable Default, leaving in the end a
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Yu-Fu Ning, Wan-Sheng Tang, and Wei-Zhen Yan. "Value at risk of loan portfolio with fuzzy return rates." In 2008 International Conference on Machine Learning and Cybernetics (ICMLC). IEEE, 2008. http://dx.doi.org/10.1109/icmlc.2008.4620650.

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Vateha, Marko Dávid. "Balancing Risk and Reward: Unveiling the Credit Conundrum in P2P Lending - A Tale of Default and Profit Scoring." In EDAMBA 2023: 26th International Scientific Conference for Doctoral Students and Post-Doctoral Scholars. University of Economics in Bratislava, 2024. http://dx.doi.org/10.53465/edamba.2023.9788022551274.282-291.

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A credit risk assessment is a vital component of the lending process, particularly in the rapidly growing realm of peer-to-peer (P2P) lending. This empirical study delves into the credit risk assessment methods of default and profit scoring, employing machine learning techniques on a publicly available dataset sourced from P2P lending platform – Lending Club. Our investigation yields insightful findings, emphasizing the paramount importance of accurate credit risk evaluation and their implications for loan portfolio returns. The outcomes of our analysis reveal that profit scoring outperforms d
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Tagawa, Kiyoharu. "An Interest Rate Decision Method for Risk-averse Portfolio Optimization using Loan." In 5th International Conference on Complexity, Future Information Systems and Risk. SCITEPRESS - Science and Technology Publications, 2020. http://dx.doi.org/10.5220/0009208400150024.

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M. Durojaiye, Olalekan, and Ramanjit K. Sahi. "Quantifying Credit Risk in Lending Industry: A Monte Carlo Simulation Approach." In 10th International Conference on Computer Science, Engineering and Information Technology. Academy & Industry Research Collaboration Center, 2024. http://dx.doi.org/10.5121/csit.2024.141911.

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The loan data simulated with Monte Carlo approach and analyzed in the research work provides valuableinsights into the borrowers’ financial positions and loan performance. Debt-To-Income ratio (DTI) was calculated and we identified 141 (57.8%) loans that were at high risk of default. We then adopted a risk-based pricing (RBP) to mitigate the risk of default by assigning higher interest rates to riskier loans by taking into consideration some parameters like credit score and risk premium. The analysis revealed that a higher DTI is associated with a higher risk of default, and a higher RBP is as
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Zhang, Y., S. Zhou, and B. S. Shi. "The relationship between loan portfolio size and risk diversification for commercial bank." In 2015 International Conference on Social Science, Education Management and Sports Education. Atlantis Press, 2015. http://dx.doi.org/10.2991/ssemse-15.2015.389.

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Maican, Victoria. "Gestiunea riscului de credit în condițiile actuale în Republica Moldova." In Simpozion Ştiinţific al Tinerilor Cercetători, Ediţia a 21-a. Academy of Economic Studies of Moldova, 2024. http://dx.doi.org/10.53486/sstc.v3.50.

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The purpose of the research is to analyze the credit risk management in the current period. From this perspective, using mathematical tools, the loan portfolio, and loans in credit institutions from the Republic of Moldova were analyzed. The results reflect trends, in the current period, and the credit risk structur. Credit risk expresses the possibility of disturbances which can affect the way the credit granted is used and especially from from the bank's point of view to suggest concrete possibilities like this loan to be repaid, both the principal and the accumulated costs of the loan.
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Cîrlan, Ana. "Lending activity of legal entities in the current conditions." In International Scientific Conference “30 Years of Economic Reforms in the Republic of Moldova: Economic Progress via Innovation and Competitiveness”. Academy of Economic Studies of Moldova, 2022. http://dx.doi.org/10.53486/9789975155663.52.

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Lately, innovations and technological progress in the banking sector have generated new perspectives for banks in the Republic of Moldova. In the conditions of the financial crisis, both the National Bank of Moldova and the licensed banks pay special attention to the loan portfolio. This indicator reflects the quality of credit portfolio management, which therefore influences the situation of the banking system as a whole. Therefore, the issue of setting up a loan portfolio of the bank, which has minimal risk elements and is able to bring in maximum income, is relevant.
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Pomazanov, Mikhail, and Nadezhda Loginova. "Macroeconomic Concentration Index of Corporate Sector Companies." In 9th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2023. http://dx.doi.org/10.31410/eraz.s.p.2023.51.

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The high concentration of assets and revenues of corporations or large enterprises on a national scale represents a risk that can hinder sustain­able development. For instance, in terms of a bank’s loan portfolio concentra­tion risk is so crucial that it is a separate significant type of risk in addition to credit risk. In the proposed article a corporate sector concentration index was constructed for countries for which revenue data of TOP-50 or TOP-100 larg­est enterprises is accessible from open sources. The index is based on the re­vealed pattern of decrease in the volume indicator of the
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Faber, Michael Havbro, Marc A. Maes, and Kazuyoshi Nishijima. "Optimal Design and Portfolio Risk Management for Groups of Structures." In ASME 2004 23rd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2004. http://dx.doi.org/10.1115/omae2004-51430.

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The present paper addresses the problem of optimal design of portfolios of fixed offshore structures. A new framework for design is developed where the effect of dependency in the performance of structures subject to common extreme load events is taken into account in the design by inclusion of the follow-up consequences resulting from the simultaneous failure of several structures in the portfolio. First the special aspects of optimal design subject to follow-up consequences are addressed from the perspective of structures portfolio risk management. Thereafter the problem of optimal design of
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Reports on the topic "Loan portfolio risk"

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Morais, Bernardo, Gaizka Ormazabal, José-Luis Peydró, Mónica Roa, and Miguel Sarmiento. Forward Looking Loan Provisions: Credit Supply and Risk-Taking. Banco de la República, 2021. http://dx.doi.org/10.32468/be.1159.

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We show corporate-level real, financial, and (bank) risk-taking effects associated with calculating loan provisions based on expected—rather than incurred—credit losses. For identification, we exploit unique features of a Colombian reform and supervisory, matched loan-level data. The regulatory change induces a dramatic increase in provisions. Banks tighten all new lending conditions, adversely affecting borrowing-firms, with stronger effects for risky-firms. Moreover, to minimize provisioning, more affected (less-capitalized) banks cut credit supply to risky-firms— SMEs with shorter credit hi
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Soriano, Alejandro. Oversight Note on Credit Risk Management. Inter-American Development Bank, 2011. http://dx.doi.org/10.18235/0010447.

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This evaluation examines IDB's management of credit risk of Non-Sovereign Guaranteed Operations. Although the IDB is not subject to the Principles for the Management of Credit Risk issued by the Basel Committee for Banking Supervision, these principles have been used as guidelines for this assessment. It can be concluded that the IDB largely complies with Basel's credit risk management principles. To further develop what is already a solid foundation for its credit risk management system, it is recommended that the IDB adopts a comprehensive Credit Risk Framework that clearly defines its risk
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Cabrera, Wilmar, Santiago Gamba, Camilo Gómez, and Mauricio Villamizar-Villegas. Examining Macroprudential Policy through a Microprudential Lens. Banco de la República, 2022. http://dx.doi.org/10.32468/be.1212.

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In this paper, we examine the financial and real effects of macroprudential policies with a new identifying strategy that exploits borrower-specific provisioning levels for each bank. Locally, we compare similar firms just below and above regulatory thresholds established in Colombia during 2008--2018 for the corporate credit portfolio. Our results indicate that the scheme induces banks to increase the provisioning cost of downgraded loans. This implies that, for loans with similar risk but with a discontinuously lower rating, banks offer a lower amount of credit, demand higher quality guarant
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Soares, Tatiana Fontes, Alexis Smith-Juvelis, Cheryl Gray, and Alejandro Soriano. IDB-9: Financial and Risk Management. Inter-American Development Bank, 2013. http://dx.doi.org/10.18235/0010520.

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This paper analyzes whether the Inter-American Development Bank (IDB, or Bank) has fully and effectively implemented the IDB-9 requirements related to risk and financial management. IDB-9 included four requirements in this area: (i) adopt a rule-based Income Management Model (IMM); (ii) implement the recently introduced risk-based Capital Adequacy Policy; (iii) execute a set of agreed actions to enhance the short-term sustainability of the Fund for Special Operations (FSO); and (iv) continue strengthening the Banks Risk Management Framework. The Bank has fully implemented the IDB-9 financial a
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Kim, Kyeonghee, and Xiao Lin. Climate risks in the commercial mortgage portfolios of life insurers: A focus on sea level rise and flood risks. Center for Insurance Policy and Research, 2023. http://dx.doi.org/10.52227/26565.2023.

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In this paper, we explore the climate risk exposure of U.S. life insurers’ commercial mortgage loan portfolios, focusing on sea level rise (SLR) and flood risks. Commercial mortgages are an important asset class of life insurers: Approximately 15% of the life insurance industry asset is held in commercial mortgages. Life insurers are also important institutional investors in the commercial real estate (CRE) market. They hold approximately 14% of the outstanding CRE mortgage loans and are the third-largest institutional lenders in the U.S. commercial mortgage market. Life insurers are exposed t
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Guevara-Castañeda, Diego Alejandro, Leonardo Villar-Gómez, Olga Lucía Acosta-Navarro, et al. Report of the Board of Directors to the Congress of Colombia, February 2025. Banco de la República, 2025. https://doi.org/10.32468/inf-jun-dir-con-rep-eng.01-2025.

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In 2024, the macroeconomic adjustment process continued, characterized by a sustained reduction in inflation that began in 2023 and a decline in the current account deficit of the balance of payments. This adjustment took place in the context of a contractionary monetary policy, with a gradual reduction in the monetary policy interest rate. GDP grew by 1.7%, driven by investment and consumption, while employment increased by 2.2%. Foreign reserves remained at adequate levels, and Banco de la República recorded a profit of COP 10,041 billion, benefiting from the returns on foreign reserves. Mac
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Vargas-Herrera, Hernando, Juan Jose Ospina-Tejeiro, Carlos Alfonso Huertas-Campos, et al. Monetary Policy Report - April de 2021. Banco de la República de Colombia, 2021. http://dx.doi.org/10.32468/inf-pol-mont-eng.tr2-2021.

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1.1 Macroeconomic summary Economic recovery has consistently outperformed the technical staff’s expectations following a steep decline in activity in the second quarter of 2020. At the same time, total and core inflation rates have fallen and remain at low levels, suggesting that a significant element of the reactivation of Colombia’s economy has been related to recovery in potential GDP. This would support the technical staff’s diagnosis of weak aggregate demand and ample excess capacity. The most recently available data on 2020 growth suggests a contraction in economic activity of 6.8%, lowe
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Financial Stability Report - Second Half of 2024. Banco de la República, 2025. https://doi.org/10.32468/rept-estab-fin.sem2.eng-2024.

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I. Performance of Credit Institutions (CIs) CIs in Colombia have adequate capital and liquidity levels to face risk materialization, both at the individual and consolidated levels. As of the third quarter of 2024, total assets and the gross loan portfolio of CIs continued to contract, although at a slower pace. The contraction in the loan portfolio is explained by the recovery in disbursements, in an environment of declining interest rates and a recovery in credit demand. Compared to the first quarter of 2024, the loan portfolio reported a decline in non-performing loans, although default leve
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Financial Stability Report - First Half of 2023. Banco de la República, 2024. http://dx.doi.org/10.32468/rept-estab-fin.sem1.eng-2023.

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Banco de la República’s main goal is to preserve the purchasing power of the currency in coordination with the general economic policy that is intended to stabilize output and employment at long-term sustainable levels. Properly meeting the goal assigned to the Bank by the 1991 Constitution critically depends on preserving financial stability. This is understood to be a general condition in which the financial system channels domestic savings and evaluates and manages the financial risks in a way that facilitates the performance of the economy and efficient allocation of resources while, at th
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Financial Stability Report - First Half of 2019. Banco de la República, 2025. https://doi.org/10.32468/rept-estab-fin.sem1.eng-2019.

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This Financial Stability Report presents the appreciation of Banco de la República (the Central Bank of Colombia) on the recent performance of credit institutions and their debtors, as well as on the main risks and vulnerabilities that could have some effect on the financial stability of the Colombian economy. The Report intends to inform both participants in financial markets and the general public, besides promoting public debate on the trends and risks that may affect the financial system. The results herein presented also serve the monetary authority as an input in their decision-making to
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