Acta Universitatis Danubius. Œconomica, Vol 14, No 4 (2018)

The credit portfolio management by the econometric models: A theoretical analysis

Abdelkader Derbali


This main idea of this paper is to examine theoretically the current model of credit portfolio management. We employ the credit portfolio view to examine the default probability measurement. The development of this type of model is based on a theoretical basis developed by several researchers. The evolution of their default frequencies and the size of the loan portfolio are expressed as functions of macroeconomic and microeconomic conditions as well as unobservable credit risk factors, which explained by other factors. We developed three sections to explain the different characteristics of this model. ¶The purpose of this model is to assess the default probability of credit portfolio. ¶


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