Contributions to Credit Portfolio Modeling and Optimization

Akwum Agwu Onwunta

ISBN 10: 3631611714 / ISBN 13: 9783631611715

Published by Peter Lang, Peter Lang Mär 2011, 2011

About this Item

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.

Seller Inventory # 9783631611715

Bibliographic Details

• Title: Contributions to Credit Portfolio Modeling and Optimization
• Publisher: Peter Lang, Peter Lang Mär 2011
• Publication Date: 2011
• Language: English
• ISBN 10: 3631611714
• ISBN 13: 9783631611715
• Binding: Buch
• Condition: Neu
• Dimensions: 216W x 153H x 10D millimeters 216 millimeters width by 153 millimeters height by 10 millimeters depth
• Weight: 280 grams

About this title

Synopsis

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.

About the Author

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.