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Dissertations / Theses on the topic 'The credit portfolio'

Author: Grafiati

Published: 30 May 2022

Last updated: 31 July 2025

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1

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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Carvalho, Luís Manuel Lopes. "Default correlation implied from portfolio credit derivatives." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1652.

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Mestrado em Finanças<br>Despite the absence of good theoretical models to cope with credit portfolio issues, the development of credit derivative markets and the popularity of portfolio credit derivatives have created the need of handling the issue of default correlations in some way. In that context the copula models emerged and became extremely popular within the industry. In recent studies copula models have been criticized for not being flexible enough and for being a static approach. The recent turmoil on the Asset Backed Security market and the failure of Lehman Brothers, Inc brought to

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12

Ji, Tingting. "Essays on consumer portfolio and credit risk." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1098981351.

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Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains ix, 99 p.; also includes graphics. Includes bibliographical references (p. 95-99).

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13

Hadziefendic, Adnan, and Kristian Ullakko-Haaraoja. "Managing a Credit Portfolio : A pilot study for Sandvik AB." Thesis, University of Gävle, Department of Business Administration and Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-4566.

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<p><p><strong>Background:</strong></p><p>If a company does not have an optimal model for credit portfolio management they can face difficulties if they cannot forecast how the credit portfolio will behave during recessions. It can be explained with the fact that the management for the company might ask how the department forecasts a probable default within the credit portfolio. The senior management might want to know how the management for the credit portfolio measures how big credit losses can become. They might also want to know how it is possible to reduce the risk of big credit losses. Th

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14

Clarke, Tanya M. "Financial markets, portfolio theory and the credit crunch." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.286964.

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15

Ortiz, Gracia Luis. "Haar Wavelets-Based Methods for Credit Risk Portfolio Modeling." Doctoral thesis, Universitat Politècnica de Catalunya, 2011. http://hdl.handle.net/10803/131054.

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In this dissertation we have investigated the credit risk measurement of a credit portfolio by means of the wavelets theory. Banks became subject to regulatory capital requirements under Basel Accords and also to the supervisory review process of capital adequacy, this is the economic capital. Concentration risks in credit portfolios arise from an unequal distribution of loans to single borrowers (name concentration) or different industry or regional sectors (sector concentration) and may lead banks to face bankruptcy. The Merton model is the basis of the Basel II approach, it is a Gaussia

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16

Hager, Svenja. "Pricing portfolio credit derivatives by means of evolutionary algorithms." Wiesbaden Gabler, 2007. http://d-nb.info/98714362X/04.

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17

Hager, Svenja. "Pricing portfolio credit derivatives by means of evolutionary algorithms." Wiesbaden : Gabler, 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016575308&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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18

Chang, Feng. "Modelling credit portfolio correlation skew and stochastic recovery rates." Thesis, Imperial College London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.445331.

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19

Fikri, Cem. "Valuation of synthetic CDOs and related portfolio credit derivatives." Thesis, Imperial College London, 2007. http://hdl.handle.net/10044/1/12014.

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20

Bär, Tobias. "Predicting and hedging credit portfolio risk with macroeconomic factors /." Hamburg : Kovac, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009735176&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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21

Bostock, Lee Anthony. "Modelling portfolio credit derivatives within the default-time copula framework." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413710.

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22

Moosbrucker, Thomas [Verfasser]. "Valuation of Portfolio Credit Derivatives : Theory and Application / Thomas Moosbrucker." Aachen : Shaker, 2007. http://d-nb.info/1170527256/34.

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23

De, Wet Albertus Hendrik. "A macroeconometric framework for credit portfolio modelling in South Africa." Thesis, University of Pretoria, 2009. http://hdl.handle.net/2263/30363.

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Driven by intense competition for market share, banks across the globe have allowed credit portfolios to become less diversified (across all dimensions  country, industry, sector and size) and have become willing to accept lesser quality assets on their books. As a result, even well capitalised banks could come under severe solvency pressure when global economic conditions turn. The banking industry has realised the need for more sophisticated loan origination and credit and capital management practices. To this end the reforms introduced by the Bank of International Settlement through the Ne

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24

Prestele, Clemens. "Credit portfolio modelling with elliptically contoured distributions - approximation, pricing, dynamisation." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-60938.

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25

Pavel, Christoph [Verfasser]. "Credit Portfolio Management An Analysis of Credit Risk Drivers, Models, and Risk Management Tools / Christoph Pavel." München : Verlag Dr. Hut, 2012. http://d-nb.info/1021072990/34.

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26

Makhuvha, Vuyo. "Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27103.

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Skilled construction workers play a vital role in the delivery of construction projects. However, there has been report off their shortage within the Nigerian construction industry. The commitment of the few available ones to their organisation is therefore important as this is bound to influence the service delivery of these organisations. It is based on this knowledge that this study assessed the commitment of skilled construction workers in Abuja, Nigeria. The study adopted a survey design and quantitative data were gathered from skilled construction workers in registered construction compa

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27

Grundke, Peter. "Integrated market and credit portfolio models : risk measurement and computational aspects /." Wiesbaden : Gabler, 2008. http://d-nb.info/987215159/04.

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Grundke, Peter. "Integrated market and credit portfolio models risk measurement and computational aspects." Wiesbaden Gabler, 2006. http://d-nb.info/987215159/04.

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29

Wang, Zhi. "Essays in quantitative finance on risk management and credit portfolio optimisation." Thesis, University of Essex, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.572845.

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This thesis discusses three topics in the area of quantitative finance in relation to risk and credit portfolio management. Chapter 2 investigates the issue of estimating and testing the goodness-of-fit of a model for a dependence break. The dependence is modelled by copulas and an unknown break of dependence structure is allowed for by including a dummy variable in the copula. The model is selected by minimizing the Akaike Information Criterion (AIC) of each candidate breaking point. The candidate models are estimated by a well-established two-step Maximum Likelihood (ML) approach, namely "In

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30

Lennon, Marie Claire. "Intensity based modelling with dynamic correlation applied to portfolio credit risk." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613660.

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31

Mwembe, Yolam [Verfasser]. "Credit management and loan portfolio performance in Pride Microfinance Ltd / Yolam Mwembe." München : GRIN Verlag, 2019. http://d-nb.info/118803037X/34.

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32

Stresna, Cristina. "Household portfolio allocation, risk attitudes and credit constraints : evidence from the eurozone." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/11658.

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Mestrado em Economia Monetária e Financeira<br>Esta dissertação investiga o efeito que as restrições de crédito e os outros fatores têm sobre a decisão das pessoas, com idade igual ou superior a 50 anos, de participar no mercado de títulos e de ações. Para as restrições de crédito, usámos como proxy a disponibilidade de crédito conforme indicado pelos bancos, usando o inquérito Bank Lending Survey (BLS). Na nossa análise, usámos também micro dados de 2007 e 2011 das duas ondas do inquérito Survey of Health, Ageing and Retirement in Europe (SHARE). A base de dados construída tem dados sobre o m

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33

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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34

Vashkevich, Aliaksandra, and Dong Wei Hu. "Credit Default Swap in a financial portfolio: angel or devil? : A study of the diversification effect of CDS during 2005-2010." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-39410.

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Credit derivative market has experienced an exponential growth during the last 10 years with credit default swap (CDS) as an undoubted leader within this group. CDS contract is a bilateral agreement where the seller of the financial instrument provides the buyer the right to get reimbursed in case of the default in exchange for a continuous payment expressed as a CDS spread multiplied by the notional amount of the underlying debt. Originally invented to transfer the credit risk from the risk-averse investor to that one who is more prone to take on an additional risk, recently the instrument ha

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35

Ilerisoy, Mahmut. "Hedging out the mark-to market volatility for structured credit portfolios." Thesis, University of Iowa, 2009. https://ir.uiowa.edu/etd/381.

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Credit derivatives are among the most criticized financial instruments in the current credit crises. Given their short history, finance professionals are still researching to discover effective ways to reduce the mark-to-market (MTM) volatility in credit derivatives, especially in turbulent market conditions. Many credit portfolios have been struggling to find out appropriate tools and techniques to help them navigate the current credit crises and hedge mark-to-market volatility in their portfolios. In this study we provide a tool kit to help reduce the pricing fluctuations in structured credi

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36

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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37

Lindgren, Joacim. "The Credit Risk in a Stock Portfolio : A Method to Evaluate the Credit Risk from the Perspective of an Investor." Thesis, Umeå universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-91777.

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38

Kroužková, Michaela. "Hodnocení rizik při financování retailové bankovní klientely." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224628.

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The theoretical part of thesis covers consumer credit, particular parts of credit process and credit registers. Analysis of credit risk management in a bank of concern, quality of credit portfolio and suggestion of changes in rating of retail receivables are dealt with in the practical part.

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39

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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40

Dalne, Katja. "Validation Techniques for Credit Risk Models - Applying New Methods on Nordea’s Corporate Portfolio." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129067.

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Nordea, being the largest corporate group of its kind in Northern Europe, has a great need of evaluating its customers ability to repay a debt as well as the probability of bankruptcy. The evaluation is done by different statistically derived internal rating models, based on logistic regression. The models have been developed by the use of historical data and attain good predictiveness when a lot of observational data is provided for each specific customer. In order to ameliorate the rating models, Nordea wants to implement two new validation methods, recommended by the reputable credit rating

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41

Cedeno, Yaxum, and Rebecca Jansson. "Modelling Credit Risk: Estimation of Asset and Default Correlation for an SME Portfolio." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149281.

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When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). This formula is part of the Basel Accords and it is implemented in the legal system of all European Union member states. The key parameters of the RWA formula are probability of default, loss given default and asset correlation. Banks today have the option to

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42

Laureano, Graziella Lage. "Sale of credit portfolio and risk: the case of financial institutions in Brazil." reponame:Repositório Institucional do FGV, 2009. http://hdl.handle.net/10438/4671.

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Made available in DSpace on 2010-04-20T20:14:33Z (GMT). No. of bitstreams: 1 61070100623.pdf: 435548 bytes, checksum: b66651487a8f6639fd39ff2b9bf5d7ad (MD5) Previous issue date: 2009-04-17T00:00:00Z<br>This study examines whether the sale of credit portfolios are used by financial institutions for risk management, according to Stanton (1998) and Murray (2001) or to capture resources, as indicated in Cebenoyan and Strahan (2001) and Dionne and Harchaoui (2003). Two hypotheses on credit portfolio sales were tested: 1) promote rating improvement to the remaining portfolio, or 2) drive to fina

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43

Qu, Jing. "Market and Credit Risk Models and Management Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/649.

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This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Va

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Kornmann, Lauren. "Evaluating financial risk with investment guidelines." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/34149.

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Master of Agribusiness<br>Department of Agricultural Economics<br>Allen M. Featherstone<br>Cash management practices for corporate treasurers are in a state of instability in recent years. Events during the credit crisis of 2008 have had an impact on how organization’s cash positions are managed. This has led corporate treasurers to juggle unprecedented amounts of cash across multiple bank counterparties and invest these funds based on previous investment policies with potentially inflexible limits. Many regulations have been passed to strengthen domestic and global financial systems, yet

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45

Маслова, А. Ю. "Кредитна політика як важливий елемент оптимізації кредитного портфеля банків". Thesis, Українська академія банківської справи Національного банку України, 2010. http://essuir.sumdu.edu.ua/handle/123456789/62061.

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Події в сучасній банківській галузі підтверджують, що минулі роки не вирішили проблем управління ризиком незбалансованої ліквідності, надання довгострокових активів за рахунок короткострокових пасивів у необхідній валюті, а проведення банками високоризикової кредитної політики призвели до збільшення рівня проблемних активів.

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Ткаченко, Н. В. "До питання управління кредитними ризиками в банківських установах". Thesis, Українська академія банківської справи Національного банку України, 2012. http://essuir.sumdu.edu.ua/handle/123456789/63285.

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Незважаючи на те, що останнім часом спостерігаються ознаки ста- білізації, все ж таки фінансовий сектор України є досить слабким. З од- ного боку, поліпшення показників ліквідності і приплив роздрібних де- позитів в результаті відновлення довіри клієнтів сприяють поступовому відновленню банків.

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47

Ilerisoy, Mahmut Sa-Aadu Jarjisu. "Hedging out the mark-to market volatility for structured credit portfolios." Iowa City : University of Iowa, 2009. http://ir.uiowa.edu/etd/381.

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48

Martin, Lionel. "Analysis of the IRB asset correlation coefficient with an application to a credit portfolio." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-211641.

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Kima, Richard. "Portfolio Market and Credit Risks Aggregaton using Economic Scenarios Generators and student t-copulae." Thesis, Umeå universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-91806.

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50

Antonsson, Hermina. "Macroeconomic factors in Probability of Default : A study applied to a Swedish credit portfolio." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-239403.

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Macroeconomic conditions can impact the payment capacity of individual mortgage holders' household loans. If the clients of a bank's retail credit portfolio experience deteriorating paymentcapacity it will reflect on the probability of default of the overall portfolio. With IFRS 9, banks are expected to sophisticate their calculations of expected credit loss, demanding forward-looking estimates of probability of default by incorporation of macroeconomic forecasts. Finding what macroeconomic factors have a statistical significant relationship to the actual default frequency of a portfolio can a

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