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Contributions to Credit Portfolio Modeling and Optimization: Schriften Zur Empirischen Wirtschaftsforschung, cartea 18

Autor Akwum Onwunta
en Limba Engleză Hardback – 28 feb 2011
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.
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Specificații

ISBN-13: 9783631611715
ISBN-10: 3631611714
Pagini: 105
Dimensiuni: 217 x 156 x 13 mm
Greutate: 0 kg
Editura: Peter Lang Gmbh, Internationaler Verlag Der W
Seria Schriften Zur Empirischen Wirtschaftsforschung


Notă biografică

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.

Cuprins

Contents: Credit portfolio risk ¿ Maximum likelihood estimator ¿ Moment estimator ¿ Asset correlation ¿ Threshold accepting.