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Journal articles on the topic 'Loan portfolio risk'

Author: Grafiati

Published: 28 May 2022

Last updated: 30 July 2025

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1

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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2

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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4

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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5

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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8

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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9

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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10

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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11

Chun, So Yeon, and Miguel A. Lejeune. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution." Management Science 66, no. 8 (2020): 3735–53. http://dx.doi.org/10.1287/mnsc.2019.3378.

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We consider a lender (bank) that determines the optimal loan price (interest rate) to offer to prospective borrowers under uncertain borrower response and default risk. A borrower may or may not accept the loan at the price offered, and both the principal loaned and the interest income become uncertain because of the risk of default. We present a risk-based loan pricing optimization framework that explicitly takes into account the marginal risk contribution, the portfolio risk, and a borrower’s acceptance probability. Marginal risk assesses the incremental risk contribution of a prospective lo

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12

Glancy, David, and Robert Kurtzman. "Determinants of Recent CRE Distress: Implications for the Banking Sector." Finance and Economics Discussion Series, no. 2024-072 (August 2024): 1–43. http://dx.doi.org/10.17016/feds.2024.072.

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Rising interest rates and structural shifts in the demand for space have strained CRE markets and prompted concern about contagion to the largest CRE debt holder: banks. We use confidential loan-level data on bank CRE portfolios to examine banks' exposure to at-risk CRE loans. We investigate (1) what loan characteristics are associated with delinquency and (2) to what extent the portfolio composition of major CRE lenders determines their exposure to losses. Higher LTVs, larger property sizes, and greater local remote work tendencies are all associated with increased delinquency risk, particula

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13

Knapp, Morris, and Alan Gart. "Post-merger changes in bank credit risk: 1991-2006." Managerial Finance 40, no. 1 (2014): 51–71. http://dx.doi.org/10.1108/mf-03-2013-0052.

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Purpose – This paper aims to examine the post-merger changes in the credit risk profile of merging bank holding companies and tests whether there is an increase in credit risk after a merger due to changes in the mix of loans in the portfolio. Design/methodology/approach – The authors use the expected variability of the credit risk of a loan portfolio based on the mix of loan types in the portfolio and the variability of the industry credit losses of each type following the standard Markowitz procedure for finding the standard deviation of an investment portfolio. The authors then test to see

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14

Setiawan, Rahmat, Octavia Reniar Putri, and Aulia Claraning Sukmawati. "Diversifikasi Portofolio Kredit, Risiko dan Return Bank." Jurnal Akuntansi 15, no. 1 (2023): 189–99. http://dx.doi.org/10.28932/jam.v15i1.6376.

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Banks as financial intermediaries, can diversify their credit portfolios into different sectors. This study aims to determine the effect of credit portfolio diversification on risks borne and returns earned by banks. The sample in this study was 61 conventional commercial banks in Indonesia for the 2012-2014 period with a total of 112 observations. The results show that credit portfolio diversification has a significant negative effect on bank risk and return. In other words, a more diversified credit portfolio can reduce bank risk and return. Keywords: diversification, loan portfolio, bank’s

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15

Lefcaditis, Constantinos, Anastasios Tsamis, and John Leventides. "Concentration risk model for Greek bank's credit portfolio." Journal of Risk Finance 15, no. 1 (2014): 71–93. http://dx.doi.org/10.1108/jrf-06-2013-0043.

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Purpose – The IRB capital requirements of Basel II define the minimum level of capital that the bank has to retain to cover the current risks of its portfolio. The major risk that many banks are facing is credit risk and Basel II provides an approach to calculate its capital requirement. It is well known that Pillar I Basel II approach for credit risk capital requirements does not include concentration risk. The paper aims to propose a model modifying Basel II methodology (IRB) to include name concentration risk. Design/methodology/approach – The model is developed on data based on a portfolio

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16

Widyatini, Ignatia Ryana. "PENGARUH DIVERSIFIKASI PORTOFOLIO KREDIT TERHADAP TINGKAT RISIKO KREDIT DENGAN GOOD CORPORATE GOVERNANCE SEBAGAI VARIABEL PEMODERASI (Studi pada Bank Umum di Indonesia)." MODUS 27, no. 2 (2016): 109. http://dx.doi.org/10.24002/modus.v27i2.551.

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A formal control system supports the success of loan portfolio diversifcation strategy. Good corporate governance as a formal control system can support the success of the implementation of loan portfolio diversifcation strategy.Â ThisÂ willÂ result in the low level of risk profle. The aim of this study is to explore the efect of loan portfolio diversifcation on the credit risk level with good corporate governance as a moderating variable. EViews 7.2 was used in the panel data analysis. General banks that had registered at BEI in the 2009-2012 period were used as samples. Data collection of 20

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17

Шевченко, Наталія, and Марта Копитко. "PROBLEMS OF RISK MANAGEMENT AND CREDIT SECURITY OF BANKS IN CONDITIONS OF WAR AND ECONOMIC INSTABILITY." "Scientific notes of the University"KROK", no. 4(76) (December 31, 2024): 287–94. https://doi.org/10.31732/2663-2209-2024-76-287-294.

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The article considers the basic essence of the concept of “bank credit security”, which is defined as a set of measures or directions aimed at minimizing the negative risks associated with the issuance, management and repayment of loans to individuals and legal entities. It is determined that the main structural elements of credit security management by a banking institution are: formation of a loan portfolio, credit policy and credit strategy; identification of risks and factors affecting the level of credit security; insurance against credit risks: formation of reserves, diversification, set

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18

Ostrovska, N. "Modeling of credit portfolio management efficiency." Galic'kij ekonomičnij visnik 70, no. 3 (2021): 89–101. http://dx.doi.org/10.33108/galicianvisnyk_tntu2021.03.089.

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Credit operations, among the great variety of services provided by the bank, are one of the most important activities. In the assets of commercial banks, loans occupy a strong position of the most extensional and profitable items. The reliability and financial stability of commercial banks depends on the composition and structure of the bank's loan portfolio and the process of its management. Under current conditions, the development and improvement of the bank's loan portfolio management system intended to minimize the credit risks and ensure the sustainable operation of commercial banks have

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19

Muindi, Cellinah Wanza, and Jagongo Ambrose. "Microcredit Risk Management Strategies and Loan Portfolio Quality of Microfinance Institutions in Kenya." Journal of Finance and Accounting 3, no. 4 (2023): 32–42. http://dx.doi.org/10.70619/vol3iss4pp32-42.

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The study investigated the effects of Microcredit risk strategies on the loan portfolio quality of microfinance institutions in Kenya. The analysis is based on a panel dataset of 14 microfinance institutions in the period 2017 to 2021. The study was guided by the following theories the institutional theory, the theory of information asymmetry, the theory of delegated monitoring and the modern portfolio. The study will be useful to the MFIs managers and will help them devise good policies to ensure borrowers are well screened to improve portfolio quality while improving the cases of loan defaul

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20

Marchenko, Olha V., Olha S. Petrykiva, and Kateryna O. Korobko. "Minimizing Credit Risk and Improving the Quality of the Bank’s Loan Portfolio." Business Inform 11, no. 538 (2022): 205–10. http://dx.doi.org/10.32983/2222-4459-2022-11-205-210.

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The article considers the main factors that form credit risk and determines the role of credit risk in the process of formation of the credit portfolio of a commercial bank. It is determined that bank lending involves the functioning of a complex mechanism that includes certain actions aimed at attracting cheap funds and their use in accordance with the terms of the established lending policy, taking into account the minimum risk and maximum profit. As you know, the main source of income of banks is the profit from lending. In this regard, the main problem facing the bank’s management today is

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21

Nwosi, Anele Andrew, and Akani Elfreda Nwakaego. "Credit Risk Management and Sub-Standard Loans of Commercial Banks in Nigeria: A Panel Data Analysis." International Journal of Finance Research 2, no. 3 (2021): 169–90. http://dx.doi.org/10.47747/ijfr.v2i3.325.

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This study examined the effect of credit risk management on sub-standard loan portfolio of quoted commercial banks in Nigeria. Cross sectional data was sourced from financial statement of commercial banks and Central Bank of Nigeria Statistical bulletin from 2009-2018. Sub-standard portfolio was used as dependent variable while bank risk diversification, Basel risk compliance, risk transfer were used as independent variables. Panel data methodology was employed while the fixed effects model was used as estimation technique at 5% level of significance. Fixed effects, random effects and pooled e

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22

Zholamanova, M., and A. Zhurgembayeva. "Credit risk management in commercial banks." ECONOMIC SERIES OF THE BULLETIN OF THE L.N. GUMILYOV ENU 143, no. 2 (2023): 168–75. http://dx.doi.org/10.32523/2789-4320-2023-2-168-175.

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Development of the banking sector in Kazakhstan is characterized by a rapid pace. This growth is combined with increased competition, access to foreign markets, and the birth of new banking products. Most banking services fall on credit activities. In this regard, it is relevant to build an effective risk management of the loan portfolio. The purpose of the study is to develop proposals for improving the management of credit risks in the banking sector. The research methodology is based on the use of such methods as generalization, statistical methods, comparative analysis and statistical meth

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Kaur Brar, Jagdeep, Antoine Kornprobst, Willard John Braun, Matthew Davison, and Warren Hare. "A Case Study of the Impact of Climate Change on Agricultural Loan Credit Risk." Mathematics 9, no. 23 (2021): 3058. http://dx.doi.org/10.3390/math9233058.

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Changing weather patterns may impose increased risk to the creditworthiness of financial institutions in the agriculture sector. To reduce the credit risk caused by climate change, financial institutions need to update their agricultural lending portfolios to consider climate change scenarios. In this paper we introduce a framework to compute the optimal agricultural lending portfolio under different increased temperature scenarios. In this way we quantify the impact of increased temperature, taken as a measure of climate change, on credit risk. We provide a detailed case study of how our appr

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24

BELIKOVA, Tetiana, and Marharyta PUSHKINA. "Methods for analyzing the quality of a banks loan portfolio." Economics. Finances. Law, no. 4/1 (April 30, 2020): 35–40. http://dx.doi.org/10.37634/efp.2020.4(1).8.

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Lending is one of the major banking institutions. But lending has some risks of varying degrees. The main purpose of banks is to repay loans and to maximize profits. To do this, banks need to implement an efficient, flexible and modern credit portfolio quality management system. An important element of this system is the analysis of the quality of the loan portfolio. That is why the consideration of the methods by which banks can carry out this analysis is a very actual topic. The purpose of this paper is to review methods of analyzing the quality of a bank's loan portfolio, as well as to outl

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López-Núñez, Henry Robert, Hugo Mateo Escobar-Ribadeneira, Sammie Gabriela Ramírez-Albán, and Alvaro Javier Mejía-Cevallos. "Rendimiento de la cartera como componente satisfactor de la improductividad: evidencia estadística en Mutualistas." Multidisciplinary Latin American Journal (MLAJ) 2, no. 3 (2024): 34–47. http://dx.doi.org/10.62131/mlaj-v2-n3-003.

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This study examines portfolio performance management as a strategy to mitigate unproductivity in mutual institutions. Using Spearman correlation models and decision trees, significant relationships between different types of loans and their impact on non-performing assets are identified. Findings reveal a strong correlation between refinanced and restructured loans, indicating their joint use in risk management. Additionally, microcredit and real estate loan portfolios emerge as key determinants of institutional financial health. Simplified decision tree models, while sacrificing some precisio

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ANTYPENKO, Nadiia, and Valeriia OKHRIMENKO. "Analysis of credit portfolio of commercial banks of Ukraine in modern conditions." Economics. Finances. Law 12/1, no. - (2021): 5–8. http://dx.doi.org/10.37634/efp.2021.12(1).1.

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The paper defines that the loan portfolio can be formed by several types that depend on the purpose of the bank. The portfolio type is a portfolio characteristic based on the ratio of profit and risk. The main types of loan portfolio are specified by the authors. There are three stages that determine the process of forming a loan portfolio by the bank. The purpose of the paper is to study the concept of "loan portfolio" and justify the complementary components of the concept, which makes it possible to formulate a complex definition. It is justified that the loan portfolio is an instrument tha

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Hughes, Samuel K., and Joseph B. Nichols. "No News is Bad News: Monitoring, Risk, and Stale Financial Performance in Commercial Real Estate." Finance and Economics Discussion Series, no. 2025-032 (April 2025): 1. https://doi.org/10.17016/feds.2025.032.

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As financial intermediaries, banks have a key role in producing information and managing the risks on diverse loan portfolios. An important input into this process is ongoing collection of financial performance from borrowers. Using supervisory data on commercial real estate loans (CRE), this paper studies relationships between the content and timeliness of borrower-reported performance, internal bank risk ratings, and subsequent loan performance. Banks heavily rely on borrower reporting when setting risk ratings, despite the fact that borrowers with stale financials are more likely to default

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28

Jacob, Gabriel. "LOAN PORTFOLIO QUALITY AND EFFICIENCY OF QUOTED DEPOSIT MONEY BANKS IN NIGERIA." International Journal of Economics Finance & Management Science 08, no. 05 (2023): 05–09. http://dx.doi.org/10.55640/ijefms-9123.

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This article investigates the relationship between loan portfolio quality and efficiency among quoted Deposit Money Banks (DMBs) in Nigeria. The study analyzes data from financial statements of selected banks to assess loan portfolio quality using metrics such as non-performing loan ratio, loan loss provision ratio, and loan recovery rate. Efficiency is measured through indicators like cost-to-income ratio, return on assets, and return on equity. The findings reveal variations in loan portfolio quality and efficiency among the sampled banks, emphasizing the importance of robust credit risk man

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Liu, Chang, Haoming Shi, Yujun Cai, Shu Shen, and Dongtao Lin. "A NEW PRICING APPROACH FOR SME LOANS ISSUED BY COMMERCIAL BANKS BASED ON CREDIT SCORE MAPPING AND ARCHIMEDEAN COPULA SIMULATION." Journal of Business Economics and Management 20, no. 4 (2019): 618–32. http://dx.doi.org/10.3846/jbem.2019.9854.

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The traditional loans pricing methods are usually based on risk measures of individual loan’s characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level loans data of 2010-2016 abstracted from 2 databases kindly provided by a Chinese commercial bank, the authors choose Archimedean Copula to fit the default relationship between loans, combined with the loss distribution function constructed to measure the economic capital of the loan portfolio, to propose a

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Ermolenko, O. M. "MINIMIZING CREDIT RISK AND IMPROVING THE QUALITY OF THE CREDIT PORTFOLIO OF THE COMMERCIAL BANK." Scientific bulletin of the Southern Institute of Management, no. 2 (June 30, 2017): 18–23. http://dx.doi.org/10.31775/2305-3100-2017-2-18-23.

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The article examines the main factors shaping the credit risk and defines the role of credit risk in the process of formation of a credit portfolio of commercial banks. In conditions of instability and financial uncertainty, credit institutions are faced with risks, including credit, because credit operations occupy the largest share in their activities. The quality of loan portfolio determines the capabilities of the Bank in its functioning on the market of credit products, which affects the level of lending activity and the possibility of recovery in the credit market. The process associated

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Barik, Deb Narayan, and Siddhartha P. Chakrabarty. "Does Limited Liability Reduce Leveraged Risk?: The Case of Loan Portfolio Management." Journal of Risk and Financial Management 15, no. 11 (2022): 519. http://dx.doi.org/10.3390/jrfm15110519.

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Return–risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial institutions are subjected to limited-liability protection. However, in most of the model formulation, limited liability is not taken into consideration. Accordingly, to address this, we have, in this article, analyzed the effect of including it in the model formulation. We formulate four models, two of which are maximizing the expected return with risk constraint, including and excluding limited liability, and other two

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Mandron, V., V. Rogovskaya, and R. Bespalov. "The Loan Portfolio of the Russian Banking Sector in Conditions of Economic Uncertainty." Scientific Research and Development. Economics 11, no. 6 (2023): 43–49. http://dx.doi.org/10.12737/2587-9111-2023-11-6-43-49.

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The article presents the results of the study of the impact of anti-Russian sanctions and uncertainty factors of the economic system on the volume of the loan portfolio and overdue debt, the growth rate of bank assets and loans, the cost of credit risk. A comparative analysis of the growth rates of the loan portfolio of the Russian banking sector for the first half of 2020, 2021 and 2022 was carried out. The. economic effect of the anti-Russian sanctions and structural changes in the economy on the dynamics of problem loans and financial results of the banking sector has been revealed. The gro

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Ndikubwimana, Philippe, Barakamfitiye Abel, Florence Mukamanzi, Daniel Twesige, and Laetitia Byukusenge. "Credit Risk Analysis and Microfinance Loan Quality in Rwanda: A Case Study of Cooperative COPEDU Ltd." University Journal 5, no. 2 (2023): 99–120. http://dx.doi.org/10.59952/tuj.v5i2.193.

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The key objective of Microfinance Institutions (MFIs), like any other business organization is to maximize profits. However, the increased rates of non-performing loans (NPLs) hinder microfinance institutions from achieving their main objective. This study aimed to examine the effect of credit risk analysis on the quality loan portfolio of Microfinance Institutions in Rwanda. The credit risk analysis was measured using collection policy, loan policy and client credit appraisal. On the other hand, the loan quality portfolio was measured by Non-performing Assets (NPAs). A descriptive research de

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BROLL, UDO, B. MICHAEL GILROY, and ELMAR LUKAS. "MANAGING CREDIT RISK WITH CREDIT DERIVATIVES." Annals of Financial Economics 03, no. 01 (2007): 0750004. http://dx.doi.org/10.1142/s2010495207500042.

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Credit risk is one of the most important forms of risk faced by national and international banks as financial intermediaries. Managing this kind of risk through selecting and monitoring corporate and sovereign borrowers and through creating a diversified loan portfolio has always been one of the predominant challenges in bank management. The aim of our study is to examine how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when derivatives to hedge credit risk are available. In a stochastic continuous-time framework a hedging model is developed where the b

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Kovalenko, Victoria, Valeria Kochorba, and Nelya Koval. "STUDY OF THE CURRENT STATE OF THE CREDIT PORTFOLIO OF UKRAINIAN BANKS AND THE EFFICIENCY OF ITS MANAGEMENT." Financial and credit systems: prospects for development, no. 1 (July 26, 2021): 7–16. http://dx.doi.org/10.26565/2786-4995-2021-1-01.

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In conditions of intensified competition, banks, expecting a profit, can place their assets in high-risk instruments, which can lead to loss of liquidity and solvency. The responsibility of the bank's management for the strategic goals of the bank's financial development is growing. Under these circumstances, the role of theoretical and practical aspects of the formation of the bank's financial strategy increases. But it should be remembered that the basis of financial stability and strategic development is the formation of an effective credit policy, which can provide a clear strategy. The st

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RUDENKO, Serhii, Sergii STEPANENKO, and Kateryna AMPILOHOVA. "OPTIMIZATION OF BANK CONSUMER LENDING MANAGEMENT ON THE BASIS OF QUALITY ASSESSMENT OF ITS LOAN PORTFOLIO." Ukrainian Journal of Applied Economics 5, no. 4 (2020): 58–69. http://dx.doi.org/10.36887/2415-8453-2020-4-6.

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Introduction. Ukrainian banking institutions are constantly faced with the problem of non-repayment of consumer loans received by individuals. The reasons for this need to be identified, classified and assessed, which is primarily the object of credit risk management of banking institutions. The lack of effective methods for assessing and managing risks in the provision of consumer loans can ultimately lead to significant problems in the efficient operation and financial stability of banks. Despite the existing scientific and practical achievements, the issue of assessment and management of co

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Chen, Shou, and Xiangqian Jiang. "Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach." Complexity 2020 (January 19, 2020): 1–11. http://dx.doi.org/10.1155/2020/5458941.

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With a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio. A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers. The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers. The corresponding Markov chain Monte Carlo algorithms of the particular TM

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Collamore, Jeffrey F., Hasitha de Silva, and Anand N. Vidyashankar. "Sharp Probability Tail Estimates for Portfolio Credit Risk." Risks 10, no. 12 (2022): 239. http://dx.doi.org/10.3390/risks10120239.

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Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall below a certain threshold. These assets are typically modeled according to a factor model, thereby introducing a strong dependence both among the individual loans, and potentially also among the multivariate vector of common factors. In this paper, we derive sharp tail asymptotics under two regimes: (i) a l

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CONFIDENCE, JOEL IHENYEN (PhD)1* AMIETIMI SAMUEL AKPONIMISINGHA2. "POST IMPLEMENTATION EFFECT OF IFRS 9 ON LOAN PORTFOLIO OF LISTED DEPOSIT MONEY BANKS IN NIGERIA." ISRG Journal of Arts Humanities & Social Sciences (ISRGJAHSS) III, no. III (2025): 256–63. https://doi.org/10.5281/zenodo.15532176.

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<em>This study examines the impact of International Financial Reporting Standard 9 (IFRS 9) on the loan portfolio of Deposit Money Banks (DMBs) in Nigeria. Using a non-experimental quantitative design, the study analyzed 12 listed DMBs on the Nigeria Exchange Group from 2013 to 2022. The study compared the loan portfolio before and after the adoption of IFRS 9, using an independent samples t-test. The results show a statistically significant difference in the loan portfolio after the adoption of IFRS 9 (t = 3.182, p = 0.002). The mean difference in the loan portfolio is 0.1707, indicating an i

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CONFIDENCE, JOEL IHENYEN (PhD)1* AMIETIMI SAMUEL AKPONIMISINGHA2. "POST IMPLEMENTATION EFFECT OF IFRS 9 ON LOAN PORTFOLIO OF LISTED DEPOSIT MONEY BANKS IN NIGERIA." ISRG Journal of Arts Humanities & Social Sciences (ISRGJAHSS) III, no. III (2025): 256–63. https://doi.org/10.5281/zenodo.15532215.

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<em>This study examines the impact of International Financial Reporting Standard 9 (IFRS 9) on the loan portfolio of Deposit Money Banks (DMBs) in Nigeria. Using a non-experimental quantitative design, the study analyzed 12 listed DMBs on the Nigeria Exchange Group from 2013 to 2022. The study compared the loan portfolio before and after the adoption of IFRS 9, using an independent samples t-test. The results show a statistically significant difference in the loan portfolio after the adoption of IFRS 9 (t = 3.182, p = 0.002). The mean difference in the loan portfolio is 0.1707, indicating an i

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Siarka, Pawel. "Global Portfolio Credit Risk Management: The US Banks Post-Crisis Challenge." Mathematics 9, no. 5 (2021): 562. http://dx.doi.org/10.3390/math9050562.

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This paper addresses the problem of modeling credit risk for multi-product and global loan portfolios. The authors presented an improved version of the Basel Committee’s one-factor model for capital requirements calculation. They examined whether latent market factors corresponding to distinct portfolios are always highly correlated within the global portfolio and how this correlation impacts total losses distribution function. Historical losses of top-tier banks (JPMorgan Chace, Bank of America, Citigroup, Wells Fargo, US Bancorp) were analyzed. Furthermore, the estimation of the correlations

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Dilipkumar, Nainani Umesh. "A Comparative Analysis of Risk Management and Credit Policies: A Study of HDFC Bank and State Bank of India." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 09, no. 02 (2025): 1–9. https://doi.org/10.55041/ijsrem41585.

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This study provides a comparative analysis of the risk management strategies and credit management policies of HDFC Bank, India’s largest private sector bank, and State Bank of India (SBI), India’s largest public sector bank. Utilizing both quantitative and qualitative methods, the research evaluates key financial indicators, loan portfolio compositions, and capital adequacy metrics from 2018 to 2023. Key findings reveal that HDFC Bank consistently maintains superior asset quality, with lower Gross and Net NPA ratios compared to SBI, indicative of more effective risk management. HDFC Bank also

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Annalisa, Di Clemente. "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing." STUDI ECONOMICI, no. 104 (January 2012): 5–28. http://dx.doi.org/10.3280/ste2011-104001.

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This study explores the role of the credit securitisation process in managing the credit risk amount of the banking loan portfolio, when the bank originator retains a residual equitylike class as illiquid first loss position (FLP). An Importance Sampling Monte Carlo simulation model has been implemented for estimating the portfolio credit risk amount, taking into account the portfolio credit risk mitigation effect provided by the credit securitisation process. This study identifies the credit asset pool able to produce the larger effect of credit risk reduction on the loan portfolio, when the

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Zakoyan, H. "METHODOLOGY OF EVALUATION AND FORECAST OF THE LEVEL OF DEFAULT OF THE CREDIT ACCOUNT IN COMMERCIAL BANKS." Sciences of Europe, no. 121 (July 24, 2023): 19–25. https://doi.org/10.5281/zenodo.8176696.

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The present methodology has been elaborated with the purpose of determination, evaluation and forecast of the possible losses, their quantitative measurement on the loan portfolio in the commercial banks (hereinafter “bank”). The given method allows to conduct qualitative and quantitative calculation of the level of default (the loan risk) on the loan portfolio of the bank.

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Kucukkocaoglu, Guray, and M. Ayhan Altintas. "Using non-performing loan ratios as default rates in the estimation of credit losses and macroeconomic credit risk stress testing: A case from Turkey." Risk Governance and Control: Financial Markets and Institutions 6, no. 1 (2016): 52–63. http://dx.doi.org/10.22495/rgcv6i1art6.

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In this study, inspired by the Credit Portfolio View approach, we intend to develop an econometric credit risk model to estimate credit loss distributions of Turkish Banking System under baseline and stress macro scenarios, by substituting default rates with non-performing loan (NPL) ratios. Since customer number based historical default rates are not available for the whole Turkish banking system’s credit portfolio, we used NPL ratios as dependent variable instead of default rates, a common practice for many countries where historical default rates are not available. Although, there are many

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Pederson, Glenn D., and Lyubov Zech. "Assessing Credit Risk in an Agricultural Loan Portfolio." Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie 57, no. 2 (2009): 169–85. http://dx.doi.org/10.1111/j.1744-7976.2009.01146.x.

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Prokopowicz, Dariusz. "THE IMPLEMENTATION OF AN INTEGRATED CREDIT RISK MANAGEMENT IN OPERATING IN POLAND COMMERCIAL BANKS." International Journal of New Economics and Social Sciences 2, no. 2 (2015): 83–95. http://dx.doi.org/10.5604/01.3001.0010.3866.

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Since the late 90-th the value of an integrated credit risk management in commercial banks operating in Poland has become very actual. In classical terms, the integrated risk management is the identification and valuation of certain categories of bank risks associated with their activities. The using of modern information systems helpes to improve the integration of the various business segments in the banks and develope a model for risk management portfolio. The implementation of integrated risk management in relation to the loan portfolio improved process control assets of banks. Thus, a com

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Chipalkatti, Niranjan, Massimo DiPierro, Carl Luft, and John Plamondon. "Loan fair values and the financial crisis." Journal of Risk Finance 21, no. 5 (2020): 559–76. http://dx.doi.org/10.1108/jrf-04-2020-0081.

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Purpose In 2009, effective the second-quarter, the financial accounting standards board mandated that all banks need to disclose the fair value of loans in their 10-Q filings in addition to their 10-K filings. This paper aims to investigate whether these disclosures reduced the level of information asymmetry about the riskiness of bank loan portfolios during the financial crisis. Design/methodology/approach The paper examines the impact of these disclosures on the bid-ask spread of a panel of 246 publicly traded bank holding companies. The spread serves as a proxy for information asymmetry and

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Yanenkova, Iryna, Yuliia Nehoda, Svetlana Drobyazko, Andrii Zavhorodnii, and Lyudmyla Berezovska. "Modeling of Bank Credit Risk Management Using the Cost Risk Model." Journal of Risk and Financial Management 14, no. 5 (2021): 211. http://dx.doi.org/10.3390/jrfm14050211.

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This article deals with the issue of managing bank credit risk using a cost risk model. Modeling of bank credit risk management was proposed based on neural-cell technologies, which expand the possibilities of modeling complex objects and processes and provide high reliability of credit risk determination. The purpose of the article is to improve and develop methodical support and practical recommendations for reducing the level of risk based on the value-at-risk (VaR) methodology and its subsequent combination with methods of fuzzy programming and symbiotic methodical support. The model makes

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Lamichhane, Basu Dev. "Credit Portfolio Management in Nepalese Microfinance Institutions (MFIs): A Shifting Guide to Credit Risk Management." Interdisciplinary Journal of Management and Social Sciences 4, no. 1 (2023): 8–20. http://dx.doi.org/10.3126/ijmss.v4i1.54097.

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This paper attempts to provide a first step toward understanding the role of credit portfolio management in Nepalese microfinance institutions (MFIs) and overcome those problems associated with credit risk management. The credit portfolio management (CPM) has become most crucial functions of the Nepalese MFIs for sound loan portfolio quality. This study is based on descriptive research design. Several findings are made through the review of the literature that is parallel to achieving the objectives of the study. MFIs are financial intermediaries ("banks") that have a direct impact on economic

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