The credit portfolio management by structural models: A theoretical analysis

Abdelkader Derbali ()
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Abdelkader Derbali: Institut Supérieur de Gestion Sousse, Université de Sousse

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Abstract: The purpose of this paper is to study the credit portfolio management by the structural models (Moody's KMV model and CreditMetrics model) also defined by the models of the value of the firm. The development of this type of models 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 develop two sections to explain the different characteristics of those two models. The purpose of all its models is to express the default probability of credit portfolio.

Keywords: Risk management; Credit risk; Default probability; Structural models; KMV model 2 (search for similar items in EconPapers)
Date: 2018-01-30
New Economics Papers: this item is included in nep-rmg
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