Graph-based Representations of Credit Portfolios and Their Analysis

European Journal of Economics and Management Sciences, 1, 2021, pp. 23-28

6 Pages Posted: 14 Apr 2021

See all articles by Mario Strassberger

Mario Strassberger

Zittau Goerlitz University of Applied Sciences

Abstract

Financial institutes have to be in a position to describe and to analyze the networks of obligors in their credit portfolios. If one obligor defaults who is numerously connected with other obligors in the portfolio there can be effects of credit contagion. We suggest a graph-based modeling of micro-structural relationships of obligors in credit portfolios. Analyzing the graph topology, we identify the most important obligors and the weightiest relations. In addition, information is provided on possible credit contagion and risk concentration. This may help to examine potential implications of defaults on the rest of the portfolio.

Keywords: credit portfolio, credit risk, graph, graph topology

JEL Classification: C10, C44, G21

Suggested Citation

Strassberger, Mario, Graph-based Representations of Credit Portfolios and Their Analysis. European Journal of Economics and Management Sciences, 1, 2021, pp. 23-28, Available at SSRN: https://ssrn.com/abstract=3817691

Mario Strassberger (Contact Author)

Zittau Goerlitz University of Applied Sciences ( email )

Theodor-Koerner-Allee 16
Zittau, DE-02763
Germany
+49 3583 612 4678 (Phone)
+49 3583 612 3809 (Fax)

HOME PAGE: http://www.hszg.de/strassberger

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