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The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis

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  • Abdelkader Derbali

    (University of Sousse)

Abstract

The main purpose of this paper is to examine theoretically the current models of credit portfolio management. There are currently three types of models to evaluate the risk of credit portfolio; the structural models (Moody’s KMV model and CreditMetrics model) also defined as the models of the value of the firm, the actuarial models and the econometric models (the Macro-factors model). The development of these models is based on a theoretical analysis developed by several researchers. Then, the evaluation of the default frequencies and the size of the loan portfolio are defined by credit risk factors which are conditioned by macroeconomic and microeconomic circumstances. Also, we sundeexplain the different characteristics of these models. Additionally, the purpose of these models is to assess the default probability of credit portfolios.

Suggested Citation

  • Abdelkader Derbali, 2018. "The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 14(5), pages 184-216, OCTOBER.
    • Handle: RePEc:dug:actaec:y:2018:i:5:p:184-216
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    File URL: http://journals.univ-danubius.ro/index.php/oeconomica/article/view/4673/4591
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    References listed on IDEAS

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    1. A. Bensoussan & M. Crouhy & D. Galai, 1995. "Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 43-60.
    2. Ali, Asghar & Daly, Kevin, 2010. "Macroeconomic determinants of credit risk: Recent evidence from a cross country study," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 165-171, June.
    3. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
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    Cited by:

    1. Andreea Costea, 2017. "A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(63), pages 157-186, March.

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