20. Application of Portfolio Approaches

  1. John B. Caouette,
  2. Edward I. Altman,
  3. Paul Narayanan and
  4. Robert Nimmo

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266236.ch20

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

How to Cite

Caouette, J. B., Altman, E. I., Narayanan, P. and Nimmo, R. (2008) Application of Portfolio Approaches, in Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266236.ch20

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 2 MAY 2008

ISBN Information

Print ISBN: 9780470118726

Online ISBN: 9781118266236

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Keywords:

  • credit decision;
  • portfolio;
  • corporate credits;
  • capital requirements;
  • market prices

Summary

This chapter contains sections titled:

  • MKMV's Portfolio Manager

  • Optimal Portfolio and the Efficient Frontier

  • Risk-Neutral Pricing for Credit Valuation

  • Factors Driving Asset Value

  • Creditmetrics (1997)

  • Treatment of Default Correlation

  • Creditmetrics Implementation—Creditmanager

  • Comments on Creditmetrics

  • Creditrisk+ (1996)

  • Mckinsey & Co./Wilson Model (1997)

  • Kamakura Corporation's Default and Probability Models

  • Altman's (1997) Optimization Approach

  • Portfolio Risk and Efficient Frontiers using Unexpected Loss

  • Portfolio Risk using Unexpected Losses

  • Empirical Results of Altman's Alternative Approach

  • Bank Regulations (BIS II) and Portfolio Modeling

  • The Future of Credit Portfolio Techniques