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
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: Suggested Citation