Analysis of Default Probability: A Comparative Theoretical Approach between the Credit Portfolio View Model and the Creditrisk Model

International Journal of Business Management & Research (IJBMR), Vol. 3, Issue 1, March 2013, 157-170

14 Pages Posted: 21 Dec 2014

See all articles by Abdelkader Mohamed Sghaier Derbali

Abdelkader Mohamed Sghaier Derbali

Department of Administrative and Financial Sciences and Techniques, Applied College, Taibah University, Saudi Arabia

Slaheddine Hallara

University of Tunis - Institut Supérieur de Gestion (ISG), Tunis

Date Written: March 1, 2013

Abstract

The main idea of this paper is to study theoretically the different ones from the credit portfolio models mainly two models: the macro-factors models and the actuarial models. There are currently three types of models to consider the risk of credit: the structural models also defined by the models of the value of the firm, the intensity models and the econometric models. In the financial literature, the development of those three types of models is based on a theoretical basis developed by many researchers mainly in the last decade of the twentieth century. The evolution of their default frequencies and the size of the loan portfolio are modeled as functions of macroeconomic and microeconomic conditions as well as unobservable credit risk factors, which explained by other factors. We developed two sections to explain the different characteristics of the macro-factors models and the CreditRisk models.

Keywords: Risk Management, Credit Risk, Default Probability, Structural Models, CreditRisk, Credit Portfolio View

Suggested Citation

Derbali, Abdelkader Mohamed Sghaier and Hallara, Slaheddine, Analysis of Default Probability: A Comparative Theoretical Approach between the Credit Portfolio View Model and the Creditrisk Model (March 1, 2013). International Journal of Business Management & Research (IJBMR), Vol. 3, Issue 1, March 2013, 157-170, Available at SSRN: https://ssrn.com/abstract=2540838

Abdelkader Mohamed Sghaier Derbali (Contact Author)

Department of Administrative and Financial Sciences and Techniques, Applied College, Taibah University, Saudi Arabia ( email )

Slaheddine Hallara

University of Tunis - Institut Supérieur de Gestion (ISG), Tunis

Sousse
Tunisia

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
426
Abstract Views
1,296
Rank
125,748
PlumX Metrics