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Books > Business & Economics > Finance & accounting > Finance > Credit & credit institutions
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Multi-period Credit Portfolio Selection (Paperback)
Loot Price: R1,214
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Multi-period Credit Portfolio Selection (Paperback)
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Since the establishment of credit risk portfolio models in the
financial industry in the 1990s, the focus of interest of both
academics and practitioners is directed more and more towards
active credit portfolio management. Active portfolio management
related to Markowitz' (1952) seminal work is, however, primarily
directed at finding optimal portfolios for single periods. For
traditional hold-to-maturity credit loan portfolios, Markowitz-type
portfolio optimization may therefore not be an appropriate
methodology, as within a multi-period context an adequate decision
criterion to capture time preferences has to be in place. It may,
however, be difficult to determine a proper multi-period utility
function. Moreover, utility theory faces other shortages, e.g. when
it comes to define a common group preference. Therefore, the author
suggests referring to growth-oriented portfolio selection (GOPS) in
order to circumvent the utility theory framework. Ultimately, this
methodology may be regarded as a promising alternative approach for
practical purposes. This work offers a broad overview on techniques
to measure and manage credit risk, comprising the presentation of
the state-of-the-art techniques for single periods. The GOPS model
is presented in an illustrative way based on simple examples that
allow the reader to get an insight on the specific properties of
the model in order to use the GOPS model for a specific credit
portfolio problem. Another major advantage of the GOPS model is
that it neatly fits into a bank-wide performance measurement
concept.
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