The Credit Portfolio Management by Structural Models: A Theoretical Analysis

Abdelkader Derbali^1,

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

Cite this paper:
Abdelkader Derbali. The Credit Portfolio Management by Structural Models: A Theoretical Analysis. International Journal of Global Energy Markets and Finance. 2018; 1(1):11-20. doi: 10.12691/ijgefm-1-1-3

Abstract

The purpose of this paper is to study the credit portfolio management by the structural models (Moody's KMV model and Credit Metrics model) also defined by the models of the value of the firm. The development of this type of models 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 develop two sections to explain the different characteristics of those two models. The purpose of all its models is to express the default probability of credit portfolio.

Keywords:
risk management credit risk default probability structural models KMV model

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