Pfister, Tamara and Utz, Sebastian and Wimmer, Maximilian (2015) Capital allocation in credit portfolios in a multi-period setting: a literature review and practical guidelines. REVIEW OF MANAGERIAL SCIENCE, 9 (1). pp. 1-32. ISSN 1863-6683, 1863-6691
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This article reviews the literature on techniques of credit risk models, multi-period risk measurement, and capital allocation, and gives a tutorial on applying these techniques to credit portfolios with a focus on practical aspects. The effects of the choice of considered loss process concerning the handling of write-offs and matured assets or rating migration are displayed, and the impact on portfolio optimization decisions is discussed. We highlight the trade-off between short-term and long-term profitability and allude to the practical challenges of an application of multi-period risk measurement.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CONVEX RISK MEASURES; COHERENT RISK; TERM STRUCTURES; OPTIMIZATION; INFORMATION; VALUATION; MODELS; SUBJECT; SPREADS; BONDS; Risk capital; Credit risk; Multi-period risk; Conditionally independent defaults; Copula models; Capital allocation; Risk contribution |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 02 Aug 2019 13:05 |
| Last Modified: | 02 Aug 2019 13:05 |
| URI: | https://pred.uni-regensburg.de/id/eprint/6365 |
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