Forecasting Retail Portfolio Credit Risk

Portfolio Credit Risk

Portfolio credit-risk optimization

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it difficult to accurately compute Value-at-Risk (VaR) and expected shortfall (ES) at the extreme quantiles tha...

Portfolio Risk Forecasting

This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series’ interdependence is estimated via a Copula approach rather than the correlation matrix. This allows to capture tightening dependence during market turmoils and loose dependen...

KeyCredit risk, Portfolio credit risk model, Portfolio optimisation, Genetic

This paper proposes a new combination of quantitative models and Genetic Algorithms for the task of optimising credit portfolios. Currently, quantitative portfolio credit risk models are used to calculate portfolio risk figures, e. g. expected losses, unexpected losses and risk contributions. Usually, this information is used for optimising the risk-return profile of the portfolio. We show that...

Forecasting Credit Risk in Banks Listed on Tehran Stock Exchange

The present study aim is to offer a systematic method of assessing the credit risk of banks and also to identify key indicators using Decision Making Trial and Evaluation Laboratory (DEMATEL) technique as well as using Logit Regression in order to predict the credit risk of listed banks. The population of the study consists of the legal clients of the bank (Ansar Bank, Bank Saderat Iran, Bank M...