Dynamic Credit Portfolio Management: Linking Credit Risk Systems, Securitization and Standardised Credit Indices

2008 ◽  
Author(s):  
Joao Garcia ◽  
Serge Goossens ◽  
Jeroen Lamoot
Keyword(s):  
Credit Risk ◽  
Portfolio Management ◽  
Credit Portfolio ◽  
Credit Portfolio Management

scholarly journals Optimization strategies in credit portfolio management

2007 ◽  
Vol 43 (2-3) ◽  
pp. 415-427 ◽  
Author(s):  
Benjamin Ivorra ◽  
Bijan Mohammadi ◽  
Angel Manuel Ramos
Keyword(s):  
Portfolio Management ◽  
Credit Portfolio ◽  
Credit Portfolio Management

The Case for Credit Portfolio Management

2013 ◽  
pp. 3-17
Author(s):  
Michael Hünseler
Keyword(s):  
Portfolio Management ◽  
Credit Portfolio ◽  
Credit Portfolio Management

From insurance risk to credit portfolio management: a new approach to pricing CDOs

2016 ◽  
Vol 16 (10) ◽  
pp. 1495-1510 ◽  
Author(s):  
Alessandro Andreoli ◽  
Luca Vincenzo Ballestra ◽  
Graziella Pacelli
Keyword(s):  
Portfolio Management ◽  
Insurance Risk ◽  
New Approach ◽  
Credit Portfolio ◽  
Credit Portfolio Management

scholarly journals Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management

2015 ◽  
Vol 50 (2) ◽  
pp. 243-273 ◽  
Author(s):  
Peter Miu ◽  
Bogie Ozdemir ◽  
Evren Cubukgil ◽  
Michael Giesinger
Keyword(s):  
Portfolio Management ◽  
Capital Allocation ◽  
Hurdle Rate ◽  
Credit Portfolio ◽  
Credit Portfolio Management

scholarly journals Evaluating the Processes of Management of Credit Portfolio of JSC CB «PrivatBank»

2020 ◽  
Vol 10 (513) ◽  
pp. 325-332
Author(s):  
N. P. Pohorelenko ◽  
◽  
A. Y. Yurchenko ◽  
Keyword(s):  
Portfolio Management ◽  
Banking Sector ◽  
Analytical Data ◽  
Bank Lending ◽  
Financial Indicators ◽  
The Status ◽  
Credit Portfolio ◽  
Research Period ◽  
Credit Portfolio Management

The article is aimed at studying the status and structure of the credit portfolio of JSC CB «PrivatBank», also evaluating the processes of management of the bank’s credit portfolio through the computation of the coefficient of credit portfolio management efficiency. While analyzing financial indicators, a consideration and a research of the status of bank lending in modern conditions of the national economy of Ukraine were carried out. The reasons for reducing the proportion of the credit portfolio in the GDP structure during the research period are summarized. The fundamental principles of the credit portfolio management of JSC CB «PrivatBank» were analyzed in accordance with the «Regulation on credit policy». As a result of the research, the analysis of the main analytical indicators of credit portfolio management was accomplished, the structure of the credit portfolio and the structure of the bank’s portfolio credit quality during 2016-2019 were determined. On the basis of analytical data, the coefficient of efficiency of management of the bank’s credit portfolio was computed. Actual problems affecting the process of management of the bank’s credit portfolio were considered. The indicators of the efficiency of credit portfolio management of JSC CB «PrivatBank» for 2016-2019 are computed. It is determined that the key challenges for both the researched bank in particular and the banking sector in general remain a high proportion of non-performing loans. Decisive actions on the part of the management of JSC CB «PrivatBank» will help to improve the structure of the credit portfolio and reduce the amount of troubled debts of the bank. Ways to solve problems of improvement and enhancing the quality of credit activity of the bank are prospects for further research.

Mechanism and model of credit portfolio diversification

2020 ◽  
Vol 17 (1) ◽  
pp. 78-89
Author(s):  
E. V. Orlova
Keyword(s):  
Credit Risk ◽  
Portfolio Management ◽  
System Analysis ◽  
Statistical Data ◽  
Empirical Studies ◽  
Practical Importance ◽  
Maximum Yield ◽  
Credit Risks ◽  
Credit Portfolio

Under conditions of demand for credit resources growing in Russian economy the importance of credit risks assessment and their influence on the credit organizations efficiency is increased. Empirical studies show that credit risks in the banking today are increasing nonlinearly relative to the main characteristics of the credit — the level of credit risk, credit terms, interest rate. Therefore, the formation of the most acceptable from the point of view of risk reducing of the bank’s credit portfolio is a scientifically based and practically important problem. The aim of the work is to justify the need for and develop a new mechanism for managing the bank's credit portfolio, ensuring its diversification and reduction of credit risks. The materials of the study were the statistical data of the Bank of Russia and Rosstat. Methods used in the work are: system analysis, control theory, statistical data processing and operational research. A mechanism for managing the quality of a bank credit portfolio is proposed, featuring a combination of quantitative and qualitative criteria for assessing the quality of the credit portfolio and allow to monitor of the credit portfolio, to make decisions on approving or rejecting a credit application in accordance with the permissible values of risk factors. A model has been developed for optimizing the structure of the credit portfolio, which makes it possible to form an optimal ratio of long-term and short-term credits, ensuring the maximum yield of the credit portfolio taking into account credit risk in the context of various credit policy types. A practical importance of the investigation are the positive results of the implementation of the proposed mechanism and model of credit portfolio management into the credit organization, ensuring the growth of its profitability and promoting an increase in competitiveness.

Stepping Up to the Liquidity Challenge: The Changing Role of Credit Portfolio Management

2013 ◽  
Vol 03 (01) ◽  
pp. 71-76
Author(s):  
Som-lok Leung ◽  
Marcia Banks ◽  
Rob Kiernan
Keyword(s):  
Portfolio Management ◽  
Credit Portfolio ◽  
Changing Role ◽  
Credit Portfolio Management

scholarly journals Credit portfolio management in a turning rates environment

2013 ◽  
Vol 3 (1) ◽  
pp. 123-142
Author(s):  
Arthur M. Berd ◽  
Elena Ranguelova ◽  
Antonio Baldaque da Silva
Keyword(s):  
Portfolio Management ◽  
Credit Portfolio ◽  
Credit Portfolio Management
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