Relevant bibliographies by topics / The credit portfolio

Contents

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

Academic literature on the topic 'The credit portfolio'

Author: Grafiati
Published: 30 May 2022
Last updated: 31 July 2025

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Journal articles on the topic "The credit portfolio"

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Levin, V., and S. Khonov. "Exact maximum likelihood estimator for the probability of default on estimation provision consumer credit portfolio of the bank." Bulletin of Science and Practice, no. 2 (February 15, 2017): 186–93. https://doi.org/10.5281/zenodo.291870.

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In the context of increasing competition in the banking market, increasing regulatory requirements for transparency and sound risk–creation on this basis of adequate risk provisions in the banking sector is of paramount importance. In this paper, firstly it is proposed to use for estimating credit risks the exact maximum likelihood estimators (MLE) of the structure of stratified population for any sizes of the credit portfolio. These exact MLE could be applied to estimate Basel-II risk parameter PD (Probability of Default) and could be used to optimise provisions for covering expected losses o
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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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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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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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Siregar, Yosua Sopater, Apriani Dorkas Rambu Atahau, and Imanuel Madea Sakti. "ANALISIS PORTOFOLIO KREDIT, RISIKO, DAN RETURN BANK UMUM KONVENSIONAL." Jurnal Manajemen 19, no. 1 (2022): 18–38. http://dx.doi.org/10.25170/jm.v19i1.2334.

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This study aims to determine the credit portfolio strategy (focus or diversification strategy) based on the economic sector in conventional commercial banks grouped by business activity (BUKU) in the period January 2016 - December 2018 and analyze the effect of credit portfolio concentration and credit risk on rates of return. This study uses secondary data obtained from Indonesian Banking Statistics at the Financial Services Authority (OJK). This study used 4 samples, namely BUKU I, BUKU II, BUKU III, BUKU IV. Bank return as dependent variable was measured by Return on Assets (ROA) whereas Co
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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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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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Orlova, E. V. "Mechanism and model of credit portfolio diversification." Issues of Risk Analysis 17, no. 1 (2020): 78–89. http://dx.doi.org/10.32686/1812-5220-2020-17-1-78-89.

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Under conditions of demand for credit resources growing in Russian economy the importance of credit risks assessment and their influence on the credit organizations efficiency is increased. Empirical studies show that credit risks in the banking today are increasing nonlinearly relative to the main characteristics of the credit — the level of credit risk, credit terms, interest rate. Therefore, the formation of the most acceptable from the point of view of risk reducing of the bank’s credit portfolio is a scientifically based and practically important problem. The aim of the work is to justify
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Klotz, Stefan, and Andreas Lindermeir. "Multivariate credit portfolio management using cluster analysis." Journal of Risk Finance 16, no. 2 (2015): 145–63. http://dx.doi.org/10.1108/jrf-09-2014-0131.

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Purpose – This paper aims to improve decision making in credit portfolio management through analytical data-mining methods, which should be used as data availability and data quality of credit portfolios increase due to (semi-)automated credit decisions, improved data warehouses and heightened information needs of portfolio management. Design/methodology/approach – To contribute to this fact, this paper elaborates credit portfolio analysis based on cluster analysis. This statistical method, so far mainly used in other disciplines, is able to determine “hidden” patterns within a data set by exa
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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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Dissertations / Theses on the topic "The credit portfolio"

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Kolman, Marek. "Portfolio Credit Risk Modeling." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75474.

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Thesis Portfolio Credit Risk Modeling focuses on state-of-the-art credit models largely implemented by banks into their banking risk-assessment and complementary valuation system frameworks. Reader is provided in general with both theoretical and applied (practical) approaches that are giving a clear notion how selected portfolio models perform in real-world environment. Our study comprises CreditMetrics, CreditRisk+ and KMV model. In the first part of the thesis, our intention is to clarify theoretically main features, modeling principles and moreover we also suggest hypotheses about strength
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Herbertsson, Alexander. "Pricing portfolio credit derivatives." Göteborg : Göteborg University, 2007. https://gupea.ub.gu.se/dspace/bitstream/2077/4731/1/Herbertsson%20avhandl.pdf.

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Esparragoza, Rodriguez Juan Carlos. "Large portfolio credit risk modelling." Thesis, Imperial College London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274.

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A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deterministic processes (PDPs). An efficient pricing technique is proposed using a newly- 1ntroduced quadrature algorithm using a decomposition of the sample space similar to the canonical Poisson space decomposition. Accurate calibration to iTraxx spreads is demonstrated.
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Schmieder, Christian. "Multi-period credit portfolio selection /." Marburg : Tectum-Verl, 2006. http://deposit.ddb.de/cgi-bin/dokserv?id=2771399&prov=M&dok_var=1&dok_ext=htm.

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Schmieder, Christian. "Multi-period credit portfolio selection." Marburg Tectum-Verl, 2005. http://deposit.ddb.de/cgi-bin/dokserv?id=2771399&prov=M&dok_var=1&dok_ext=htm.

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Hu, Zhiwei. "Market model for portfolio credit derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20HU.

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Kolman, Marek. "Pricing and modeling credit risk." Doctoral thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-264720.

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The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from
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Wendin, Jonathan Erik Purvis. "Bayesian methods in portfolio credit risk management." Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.

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Segoviano, Miguel A. "Portfolio credit risk through time : measurement methodologies." Thesis, London School of Economics and Political Science (University of London), 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.420703.

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The estimation of the profit and loss distribution of loan portfolios requires the modelling of the marginal and multivariate distributions that describe the individual and joint credit risk of the loans making up a portfolio. Unfortunately, portfolio credit risk measurement suffers from extremely restricted datasets. For many countries, this problem holds at any point in time and through time. It is especially severe when modelling the credit risk of loans given to small and medium size enterprises (SME's) and non-listed firms, which are the focus of my research. Earlier attempts to deal with
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Yang, Seung Won. "Entropy based models of portfolio credit risk." Thesis, University of Cambridge, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.611355.

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Books on the topic "The credit portfolio"

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Hünseler, Michael. Credit Portfolio Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505.

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Smithson, Charles. Credit Portfolio Management. John Wiley & Sons, Ltd., 2003.

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Dor, Arik Ben, Lev Dynkin, Jay Hyman, and Bruce D. Phelps, eds. Quantitative Credit Portfolio Management. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119202851.

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Herbertsson, Alexander. Pricing portfolio credit derivatives. Göteborg University, 2007.

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United States. Farm Credit Administration, ed. Loan portfolio management. The Administration, 1998.

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Bohn, Jeffrey R., and Roger M. Stein. Active Credit Portfolio Management in Practice. John Wiley & Sons, Inc., 2009. http://dx.doi.org/10.1002/9781118266830.

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Gregoriou, Greg N. The handbook of credit portfolio management. McGraw-Hill, 2009.

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1966-, Stein Roger M., ed. Active credit portfolio management in practice. Wiley, 2009.

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Musto, David K. A portfolio view of consumer credit. National Bureau of Economic Research, 2005.

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Bohn, Jeffrey R. Active Credit Portfolio Management in Practice. John Wiley & Sons, Ltd., 2009.

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Book chapters on the topic "The credit portfolio"

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Hünseler, Michael. "Loan Credit Derivatives, Subparticipations and Credit Indices." In Credit Portfolio Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505_8.

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Witzany, Jiří. "Portfolio Credit Risk." In Credit Risk Management. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-49800-3_4.

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Hünseler, Michael. "Credit Risk Strategies." In Credit Portfolio Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505_2.

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Borak, Szymon, Wolfgang Karl Härdle, and Brenda López Cabrera. "Portfolio Credit Risk." In Statistics of Financial Markets. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-11134-1_18.

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Borak, Szymon, Wolfgang Karl Härdle, and Brenda López-Cabrera. "Portfolio Credit Risk." In Universitext. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-33929-5_18.

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van Deventer, Donald R. "Credit Derivatives and Hedging Credit Risk." In Advanced Bond Portfolio Management. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201151.ch15.

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Giordani, Tommaso, and Corrado Giannasca. "Portfolio Management." In Retail Credit Risk Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137006769_10.

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Hünseler, Michael. "The Case for Credit Portfolio Management." In Credit Portfolio Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505_1.

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Hünseler, Michael. "What If: Credit Risk Stress Testing." In Credit Portfolio Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505_3.

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Hünseler, Michael. "Evolution of Portfolio Management Business Models." In Credit Portfolio Management. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505_4.

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Conference papers on the topic "The credit portfolio"

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Nayaka, Premkumar, Anusha Hegde, and Biswajit Bhowmik. "Advancements in Credit Scoring, Profit Scoring, and Portfolio Optimization for P2P Lending." In 2024 International Conference on Communication, Control, and Intelligent Systems (CCIS). IEEE, 2024. https://doi.org/10.1109/ccis63231.2024.10932068.

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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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Kocúrek, Martin. "A Review of Selected Equity and Credit Investment Strategies of Reinsurer." 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.2023.9788022551274.104-115.

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This paper analyses specific type of investor on financial markets – a reinsurance company and its value-creating process, with focus on its investment activities. A special attention is focused on reinsurer’s idiosyncratic investor’s profile due to core business activities, i.e. underwriting. This makes its investment profile and objectives different to other market participants. We modelled and analysed reinsurer’s three main investment strategies based on underlying asset classes of particular portfolios. Each of these portfolios is comprising of three sub-portfolios which are managed by di
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Wenting, Li. "Credit Portfolio Concentration Risk Measurement Models." In 2012 4th International Conference on Intelligent Human-Machine Systems and Cybernetics (IHMSC). IEEE, 2012. http://dx.doi.org/10.1109/ihmsc.2012.50.

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Bhuvaneswari, U., P. James Daniel Paul, and Siddhant Sahu. "Financial risk modelling in vehicle credit portfolio." In 2014 International Conference on Data Mining and Intelligent Computing (ICDMIC). IEEE, 2014. http://dx.doi.org/10.1109/icdmic.2014.6954239.

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Aksenova, Natalia. "THE CONCEPTUAL FRAMEWORK OF CREDIT PORTFOLIO MANAGEMENT ORGANIZATION." In SGEM 2014 Scientific SubConference on POLITICAL SCIENCES, LAW, FINANCE, ECONOMICS AND TOURISM. Stef92 Technology, 2014. http://dx.doi.org/10.5593/sgemsocial2014/b22/s6.090.

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Li, Songgong, Shenghong Li, Qunfang Bao, and Guimei Liu. "Credit Risk Contagion and Mitigation for Guaranty Portfolio." In 2010 3rd International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2010. http://dx.doi.org/10.1109/bife.2010.53.

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Zhang, Lun, Jinlin Li, and Lun Ran. "Modeling Portfolio Credit Risks Using Accelerated Hazard Rates." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2294.

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Zhiyong Chen and Paul Glasserman. "Approximations and control variates for pricing portfolio credit derivatives." In 2007 Winter Simulation Conference. IEEE, 2007. http://dx.doi.org/10.1109/wsc.2007.4419694.

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Gordy, Michael B., and Erik Heitfield. "Small-Sample Estimation of Models of Portfolio Credit Risk." In Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009. WORLD SCIENTIFIC, 2010. http://dx.doi.org/10.1142/9789814304078_0002.

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Reports on the topic "The credit portfolio"

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Musto, David, and Nicholas Souleles. A Portfolio View of Consumer Credit. National Bureau of Economic Research, 2005. http://dx.doi.org/10.3386/w11735.

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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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Trivelli, Carolina, Sergio Navajas, Mark D. Wenner, and Alvaro Tarazona. Managing Credit Risk in Rural Financial Institutions in Latin America. Inter-American Development Bank, 2007. http://dx.doi.org/10.18235/0008848.

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The purpose of this report is to review common credit risk management techniques used in a sample of Latin American financial institutions with agricultural portfolios, identify the factors that contribute to successful credit risk management as measured by several key financial performance indicators in order to assist donors, governments, and owners of financial institutions to promote and adopt the most efficient and robust techniques. This report also examines a sample of 42 financial institutions in Latin America that have agricultural portfolios, and identifies their principal perceived
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Thompson, Peter, Merrian Borgeson, Chris Kramer, Mark Zimring, and Charles Goldman. Selling an Energy Efficiency Loan Portfolio in Oregon: Resale of the Craft3 loan portfolio to Self-Help Credit Union. Office of Scientific and Technical Information (OSTI), 2014. http://dx.doi.org/10.2172/1136775.

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Andrade-Pardo, Laura, Oscar Mauricio Valencia-Arana, Diego Mauricio Vásquez, and Mauricio Villamizar-Villegas. Uncovering the portfolio balance channel with the use of sovereign credit ratings. Banco de la República, 2016. http://dx.doi.org/10.32468/be.941.

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Castro, Carlos, and Karen Garcia. Default Risk in Agricultural Lending: The Effects of Commodity Price Volatility and Climate. Inter-American Development Bank, 2014. http://dx.doi.org/10.18235/0006991.

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This paper proposes and estimates a default risk model for agricultural lenders that explicitly accounts for two risks that are endemic to agricultural activities: commodity price volatility and climate. The results indicate that both factors are relevant in explaining the occurrence of default in the portfolio of a rural bank. In addition, the paper illustrates how to integrate the default risk model into standard techniques of portfolio credit risk modeling. The portfolio credit risk model provides a quantitative tool to estimate the loss distribution and the economic capital for a rural ban
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Bahar Baziki, Selva, María J. Nieto, and Rima Turk-Ariss. Sovereign portfolio composition and bank risk: the case of European banks. Banco de España, 2023. http://dx.doi.org/10.53479/33599.

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We extend the literature on the sovereign-bank nexus by examining the composition effects of sovereign portfolios on banks’ risk profile, unlike previous studies which generally analyzed the determinants of banks’ sovereign portfolios or the size effects of these portfolios. We also differ from previous studies with respect to the measures of risk considered and by covering a sample period that goes well beyond the global financial crisis (2009-2018). Drawing on granular data from the European Banking Authority, we find that banks are riskier when their portfolio includes a higher proportion o
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Donnelly, Alan, Emily Houfe, and Temi Labinjo. Evaluation of the Global Citizenship Portfolio. Sheffield Hallam University, 2020. http://dx.doi.org/10.7190/steer/gcp.

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This evaluation measured the impact of the Global Citizenship Portfolio (GCP), which is a non-credit bearing module at Sheffield Hallam University that aims to support students to become ‘global citizens’. The GCP engages students in self-directed learning by combining: academic-run sessions; lectures; an intercultural experience which happens on campus, locally or abroad; and reflection. The evaluation was focused on the cohort of 78 students who started the module in October 2019 or January 2020 and completed it in May 2020. A mixed-methods project was conducted to provide quantitative and q
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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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Suarez, David, Ana Ramirez-Goldin, Juan Manuel Puerta, and Carlos Morales. Approach Paper: Comparative Evaluation of Three Green Lending Projects. Inter-American Development Bank, 2015. http://dx.doi.org/10.18235/0010616.

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This paper outlines an in-depth evaluation of three private sector green lending projects of the Bank. It complements the broader Evaluation of IDB Group's Work through Financial Intermediaries being done concurrently, which will review the broader portfolio of credit lines approved by all of the public and private sector windows of the Bank.
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