International Journal of Global Energy Markets and Finance
ISSN (Print): ISSN Pending ISSN (Online): ISSN Pending Website: http://www.sciepub.com/journal/ijgefm Editor-in-chief: Abdelkader Derbali
Open Access
Journal Browser
Go
International Journal of Global Energy Markets and Finance. 2018, 1(1), 1-3
DOI: 10.12691/ijgefm-1-1-1
Open AccessReview Article

The Credit Portfolio Management by the Econometric Models: A Theoretical Analysis

Abdelkader Derbali1,

1Higher Institute of Management of Sousse, Sousse University, Tunisia

Pub. Date: April 17, 2018

Cite this paper:
Abdelkader Derbali. The Credit Portfolio Management by the Econometric Models: A Theoretical Analysis. International Journal of Global Energy Markets and Finance. 2018; 1(1):1-3. doi: 10.12691/ijgefm-1-1-1

Abstract

This main idea of this paper is to examine theoretically the current model of credit portfolio management. We employ the credit portfolio view to examine the default probability measurement. The development of this type of model is based on a theoretical basis developed by several researchers. The evolution of their default frequencies and the size of the loan portfolio are expressed as functions of macroeconomic and microeconomic conditions as well as unobservable credit risk factors, which explained by other factors. We developed three sections to explain the different characteristics of this model. The purpose of this model is to assess the default probability of credit portfolio.

Keywords:
risk management credit risk default probability credit portfolio view

Creative CommonsThis work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/

References:

[1]  Hickman, A. and Koyluoglu, H.U. (1998). A Generalized Framework Credit Risk Models. Working paper; an abridged version appeared as “Reconcilable Differences” Risk, vol. 11, no. 10, October 1998.
 
[2]  Crouhy, M., Galai, D. and Mark, R. (2000). A comparative analysis of current credit risk models. Journal of Banking & Finance, (24): 59-117.
 
[3]  Wilson, T.C. (1997a). Portfolio credit risk (I), Risk, (10-9), 111-17.
 
[4]  Wilson, T.C., (1997b). Portfolio credit risk (II), Risk, (10-10), 56-61.
 
[5]  Smithson, C. (2003). Credit Portfolio Management. John Wiley & Sons.
 
[6]  Hamisultane, H. (2008). Modèles de gestion du risque de crédit. Investment System R&D, Document n°1.