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The credit portfolio management by structural models: A theoretical analysis

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  • Abdelkader Derbali

    (Institut Supérieur de Gestion Sousse, Université de Sousse)

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.

Suggested Citation

  • Abdelkader Derbali, 2018. "The credit portfolio management by structural models: A theoretical analysis," Working Papers hal-01696009, HAL.
    • Handle: RePEc:hal:wpaper:hal-01696009
    Note: View the original document on HAL open archive server: https://hal.science/hal-01696009
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    References listed on IDEAS

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    1. A. Bensoussan & M. Crouhy & D. Galai, 1995. "Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 43-60.
    2. Ali, Asghar & Daly, Kevin, 2010. "Macroeconomic determinants of credit risk: Recent evidence from a cross country study," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 165-171, June.
    3. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
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    Keywords

    Risk management; Credit risk; Default probability; Structural models; KMV model 2;
    All these keywords.

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