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Bücher Englische Bücher Wissen & Bildung Sozialwissenschaft, Recht, Wirtschaft Wirtschaft Betriebswirtschaft Multi-period credit portfolio selection
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Multi-period credit portfolio selection
Christian Schmieder (Broschiert, Englisch)
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Beschreibung
Since the establishment of credit risk portfolio models in the financial industry in the 1990s, the focus of interest of both academics and practitioners is directed more and more towards active credit portfolio management. Active portfolio management related to Markowitz’ (1952) seminal work is, however, primarily directed at finding optimal portfolios for single periods. For traditional… hold-to-maturity credit loan portfolios, Markowitz-type portfolio optimization may therefore not be an appropriate methodology, as within a multi-period context an adequate decision criterion to capture time preferences has to be in place. It may, however, be difficult to determine a proper multi-period utility function. Moreover, utility theory faces other shortages, e.g. when it comes to define a common group preference. Therefore, the author suggests referring to growth-oriented portfolio selection (GOPS) in order to circumvent the utility theory framework. Ultimately, this methodology may be regarded as a promising alternative approach for practical purposes. This work offers a broad overview on techniques to measure and manage credit risk, comprising the presentation of the state-of-the-art techniques for single periods. The GOPS model is presented in an illustrative way based on simple examples that allow the reader to get an insight on the specific properties of the model in order to use the GOPS model for a specific credit portfolio problem. Another major advantage of the GOPS model is that it neatly fits into a bank-wide performance measurement concept. Dieses Produkt haben wir gerade leider nicht auf Lager.
Handgeprüfte Gebrauchtware
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Technische Daten
Erscheinungsdatum
01.02.2006
Sprache
Englisch
EAN
9783828889842
Herausgeber
Tectum Wissenschaftsverlag
Sonderedition
Nein
Autor
Christian Schmieder
Seitenanzahl
424
Auflage
1
Einbandart
Broschiert
Schlagwörter
Kredit, Wirtschaft, Optimierung, Banken, Portfolio
Höhe
210 mm
Breite
14.8 cm
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