Search Results - subject:"Credit portfolio model"

Fast approximation methods for credit portfolio risk calculations

Jakob, Kevin; Churt, Johannes; Fischer, Matthias; Nolte, Kim - In: Digital Finance 5 (2023) 3, pp. 689-716

. However, especially for non-homogenous and non-granular portfolios, a full simulation of a credit portfolio model is still … (AI) can be helpful to approximate a credit portfolio model. We compare the performance of AI-based methods within three …

Persistent link: https://www.econbiz.de/10015191392

Fast approximation methods for credit portfolio risk calculations

Jakob, Kevin; Churt, Johannes; Fischer, Matthias; Nolte, Kim - In: Digital finance : smart data analytics, investment … 5 (2023) 3/4, pp. 689-716

Persistent link: https://www.econbiz.de/10014451940

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - 2012

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

Persistent link: https://www.econbiz.de/10010308726

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - Deutsche Bundesbank - 2012

Persistent link: https://www.econbiz.de/10010984712