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

Abdelkader Derbali ()
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Abdelkader Derbali: University of Sousse

Acta Universitatis Danubius. OEconomica, 2018, issue 14(5), 184-216

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.

Keywords: Risk management; Credit risk; Default probability; Structural models; KMV model (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:dug:actaec:y:2018:i:5:p:184-216

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