Acta Universitatis Danubius. Œconomica, Vol 14, No 5 (2018)

The Current models of credit portfolio management: A comparative theoretical analysis

Abdelkader Derbali


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 explain 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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