Active Management of Non-Granular Loan Portfolios

University essay from Lunds universitet/Matematisk statistik

Author: Martin Almqvist; [2015]

Keywords: Mathematics and Statistics;

Abstract: This thesis considers quantitative tools for assessing concentration risks in credit portfolios that may underlie decision making in an active portfolio management setting. The study incorporates a literature review, which considers analytical and simulation based credit risk models in a Merton-type framework as well as aspects of credit portfolio management. The literature review is followed by a numerical analysis in which the credit risk models are evaluated with respect to accuracy and computational efficiency and the results suggests that the simulations based models are suitable for being incorporated into an active portfolio management framework in the setting tested.

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