How the Default Probability is Defined by the Credit Portfolio Models: A Comparative Analysis Between the Theoretical Structural Models?

Dr. Abdelkader Derbali; Slaheddine Hallara

How the Default Probability is Defined by the Credit Portfolio Models: A Comparative Analysis Between the Theoretical Structural Models?

Dr. Abdelkader Derbali * §

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Slaheddine Hallara

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University of Sousse, Tunisia.

How the Default Probability is Defined by the Credit Portfolio Models: A Comparative Analysis Between the Theoretical Structural Models?

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Abstract

This paper is elaborate of which the main is to present a theoretical analysis between the structural models. There are currently three types of models to consider the risk of credit: the structural models (The KMV Moody’s model and the CreditMetrics model) also defined by the models of the value of the firm, reduced form models also defined by models with intensity (actuarial models) and the econometric models (The macro-factors models). The development of its three types of models is based on a theoretical basis developed by several researchers and many financial institutions. These models are dedicated to measurement the default probability of credit portfolio. The evaluation of their default frequencies and the size of the credit portfolio are expressed as functions of macro-economic and micro-economic conditions as well as unobservable credit risk factors, which explained by other factors. We developed three sections to explain the different characteristics of the structural models of credit portfolio management. The purpose of all its models is to express the probability of default.

References

23 Cites in Article

Reference Format

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Dr. Abdelkader Derbali, Slaheddine Hallara. 1970. "How the Default Probability is Defined by the Credit Portfolio Models: A Comparative Analysis Between the Theoretical Structural Models?". Global Journal of Management and Business Research GJMBR Volume 13 (GJMBR Volume 13 Issue 1).

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GJMBR Volume 13 Issue 1

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

credit risk creditmetrics model default probability kmv model sk management structural models

Classification

GJMBR Classification JEL Code: 150205

Submission ReceivedNovember 29, 2012
Peer Review Double Blind
Handling Editor
Accepted December 22, 2012
Published January 4, 2013

Version of record

v1.2

Language

English

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Article Matrices

Total Score: 154

Country: Tunisia

Subject: Global Journal of Management and Business Research

Authors: Dr. Abdelkader Derbali, Slaheddine Hallara (PhD/Dr. count: 1)

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Publish Date: 2013 01, Fri

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