Financial Institutions and Services


  • Collective Authors


The main purpose of this paper is to examine theoretically the current models of credit
portfolio management. There are currently three types of models to evaluate the risk of credit portfolio;
the structural models (Moody’s KMV model and CreditMetrics model) also defined as the models of
the value of the firm, the actuarial models and the econometric models (the Macro-factors model). The
development of these models is based on a theoretical analysis developed by several researchers. Then,
the evaluation of the default frequencies and the size of the loan portfolio are defined by credit risk
factors which are conditioned by macroeconomic and microeconomic circumstances. Also, we
sundeexplain the different characteristics of these models. Additionally, the purpose of these models is
to assess the default probability of credit portfolios.


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