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Active Management of Non-Granular Loan Portfolios

Almqvist, Martin (2015) In Master's Theses in Mathematical Sciences FMS820 20151
Mathematical 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.
Please use this url to cite or link to this publication:
author
Almqvist, Martin
supervisor
organization
course
FMS820 20151
year
type
H2 - Master's Degree (Two Years)
subject
publication/series
Master's Theses in Mathematical Sciences
report number
LUTFMS-3275-2015
ISSN
1404-6342
other publication id
2015:E10
language
English
id
5276931
date added to LUP
2015-04-21 11:21:24
date last changed
2024-10-11 10:31:27
@misc{5276931,
  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.}},
  author       = {{Almqvist, Martin}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master's Theses in Mathematical Sciences}},
  title        = {{Active Management of Non-Granular Loan Portfolios}},
  year         = {{2015}},
}