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Contributions to Credit Portfolio Modeling and Optimization: 18 (Schriften Zur Empirischen Wirtschaftsforschung) - Hardcover
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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 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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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.
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Contributions to Credit Portfolio Modeling and Optimization
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Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9783631611715
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Contributions to Credit Portfolio Modeling and Optimization
Verlag:
Peter Lang, Peter Lang Mär 2011, 2011
ISBN 10: 3631611714
ISBN 13: 9783631611715
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Hardcover
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
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Buch. Zustand: Neu. 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. Artikel-Nr. 9783631611715
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