I'm interested in papers which consider mathematical models of risks of different portfolios of retail credit. This is not my area of research, so I may be misusing some terms. The idea is simple: I have different sets of credit portfolios with aggregate information known (no personal level detail of each borrower) and want to decide which portfolios to keep and which to sell.

  • 1
    $\begingroup$ What do you mean when you said "... and I want to decide which portfolios to keep and which to sell". I assumed you already own the portfolio with the corresponding exposures, so, how can you sell a loan in that case? or are you referring to a securitization process? $\endgroup$ – Quantopik Apr 23 '15 at 0:29
  • $\begingroup$ @Quantopic sorry, this is not exactly my area, so things like "corresponding exposure" does not ring any bell to me. So by saying "... and I want to decide which portfolios to keep and which to sell" I meant exactly that. For given portfolio we want to estimate it future value and decide whether we are going to keep it or not. $\endgroup$ – Moonwalker Apr 23 '15 at 0:41
  • $\begingroup$ Do not worry about using the right words, I understand that it is difficult since it is not your field. $\endgroup$ – Quantopik Apr 23 '15 at 10:06

The retail credit risk management is generally based on models that try to discriminate between good (people that probably will be able to pay back the debt) and bad customers (people that probably will not).

Particularly, as the question explicitly asks for, you want to some references to allow to decide which customers, already acquired, to keep and which not keep in portfolio; this field in retail risk management refers to LGD (loss given default) models and you should focus your studies in this kind of model to deepen the field (try to google "LGD model", to look something for).

As regards you questions particularly, I suggest you to read:

Anolli, M., Beccalli, E., Giordani, T., 2013, Credit Risk Management, Palgrave Macmillan (Studies in Banking and Financial Institutions)

It is a good recent book about retail credit risk management and examine pretty in depth the models you need for.

  • $\begingroup$ Thank you very much, this is exactly that I'm been searching for. $\endgroup$ – Moonwalker Apr 23 '15 at 10:40
  • $\begingroup$ You're welcome @Moonwalker! $\endgroup$ – Quantopik Apr 23 '15 at 10:47

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.