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The credit portfolio management by the econometric models: A theoretical analysis

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  • Abdelkader Derbali

    (Institut Supérieur de Gestion Sousse, USO - جامعة سوسة = Université de Sousse = University of Sousse)

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.

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  • Abdelkader Derbali, 2018. "The credit portfolio management by the econometric models: A theoretical analysis," Working Papers hal-01696010, HAL.
    • Handle: RePEc:hal:wpaper:hal-01696010
    Note: View the original document on HAL open archive server: https://hal.science/hal-01696010v1
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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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