A credit value adjustment scheme for bank loan portfolios

Dror Parnes

Journal of Credit Risk

Abstract: ABSTRACT In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs) for the unilateral default risk exposures of lending institutions both at the individual loan level and at the entire portfolio level. They compose a practical framework for CVAs of bank loan portfolios based on several extensions of ordinary techniques in probability theory that acquire the marginal, conditional and total probabilities of default for each bank loan. They validate the model through a hypothetical yet highly realistic numerical example and further demonstrate the model's forecasting capabilities over various time horizons.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-credit-risk/234955 ... bank-loan-portfolios (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ1:2349556

Access Statistics for this article

More articles in Journal of Credit Risk from Journal of Credit Risk
Bibliographic data for series maintained by Thomas Paine ().