Contributions to Credit Portfolio Modeling and Optimization

Akwum Agwu Onwunta

ISBN 10: 3631611714 / ISBN 13: 9783631611715

Verlag: Peter Lang Mrz 2011, 2011

Beschreibung

This item is printed on demand - it takes 3-4 days longer - Neuware -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 approach for clustering of obligors in a credit portfolio is proposed using threshold accepting, a stochastic optimization technique. In particular, a computationally tractable technique to validate ex-post the precision of the clustering system is suggested and applied to a real world retail credit portfolio. The contributions of this book should provide benefit to practitioners, academics and graduate students in the field of financial risk management. 122 pp. Englisch.

Bestandsnummer des Verkäufers 9783631611715

Bibliografische Details

• Titel: Contributions to Credit Portfolio Modeling and Optimization
• Verlag: Peter Lang Mrz 2011
• Erscheinungsjahr: 2011
• Sprache: Englisch
• ISBN-10: 3631611714
• ISBN-13: 9783631611715
• Einband: Buch
• Zustand: Neu
• Abmessungen: 216B x 153 H x 10 T Millimeter Breite: 216 mm, Höhe: 153 mm, Tiefe: 10 mm
• Gewicht: 280 Gramm

Über diesen Titel

Inhaltsangabe

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 approach for clustering of obligors in a credit portfolio is proposed using threshold accepting, a stochastic optimization technique. In particular, a computationally tractable technique to validate ex-post the precision of the clustering system is suggested and applied to a real world retail credit portfolio. The contributions of this book should provide benefit to practitioners, academics and graduate students in the field of financial risk management.

Über die Autorin bzw. den Autor

Akwum Onwunta holds a B.Sc. in Mathematics, an M.Sc. in Mathematical and Physical Analysis, and a PhD in Economics. He worked for over three years as Marie Curie research fellow at a bank in Germany in the area of credit portfolio modeling under the umbrella of Computational Optimization Methods in Statistics, Econometrics and Finance (COMISEF) project. In general, the author is interested in mathematical modeling of real-world problems with financial and economic relevance, as well as in scientific computing. His current research is focused on quantitative portfolio risk modeling.