Contributions to Credit Portfolio Modeling and Optimization
Akwum Agwu Onwunta
Gebundenes Buch

Contributions to Credit Portfolio Modeling and Optimization

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The devastating impacts of the recent global financial crisis underscore the need for both financial institutions and banking supervision to develop more appropriate credit risk models to ensure the stability of the financial system. This work contributes to quantitative credit portfolio risk modeling in three ways. First, it introduces a general credit portfolio modeling concept that comprises specific credit risk management models as special cases. Second, analytical techniques are presented for specifying asset correlations in a credit portfolio through systematic factors. Finally, a new ap...