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1、AdvancedCreditRiskAnalysisandManagement.CibyJoseph.©2013CibyJoseph.Published2013byJohnWiley&Sons,Ltd.13CreditPortfolioFundamentalsThemoderndaycreditexecutive–banker,financemanager,financier,forexample–cannotdojusticetotheirprofessionunlesstheyknowPortfolioCreditRisks.Ignori
2、ngportfoliocreditriskscanhavecatastrophicimpact,evenresultinginbankruptcies.Thefailureofmanybanksandfinancialinstitutionsacrosstheworldcanoftenbetracedalsotopoorcreditportfolios.Thecreditportfolioiscriticaltoallbusinessenterpriseshavingsizeablecreditexposures.Mostmoderndayb
3、usinessescannotexistwithoutacreditportfolio.Properunderstandingofcreditportfolioriskisakeysuccessfactorinenterpriseswithsignificantcreditassets.13.1CREDITPORTFOLIOVS.EQUITYPORTFOLIOMostoftheportfoliomanagementtechniquesevolvedintheequityarenafirst,andwerethenadaptedbyothera
4、reaslikecommodities,foreignexchangeandcreditmarkets.Portfolioman-agementtechniquessuchasportfoliotheorem,swaps,options,etc.aresomeoftheprominentexamples.Largefinancialinstitutionsaredevotingconsiderableresourcestodevelopingnewmodelsforportfoliomanagement.Withadvancesintechn
5、ology,theeffortsofmanybrilliantresearchersinlargefinancialinstitutions,andtheaccumulationofsignificantbodiesofknowl-edgeoncreditexperienceandanalysis,creditportfoliomanagementtoolsarelikelytobecomemoresophisticatedinyearstocome.Sinceportfoliotechniqueshavemostlyoriginatedin
6、thecontextofequity,itisbettertomakethedistinctionbetweenequityportfolioandcreditport-folioandproceed.Themajorsimilaritiesare(i)thatcreditandequityaretwopopularformsofcapitaland(ii)thatbothportfoliosareimpactedbybothsystematicandunsystematicrisks.Themajordifferencesaregivenb
7、elow:(a)Whilstconcentrationoftheequityportfolio1inafewnamesmaybeanacceptablerisk,suchactionisnotrecommendedforthecreditportfolio.Aswewillseelaterinthebookeveryeffortmustbemadetoavoidanysortofconcentrationinacreditportfolio.Thereasonisthat,unliketheequityportfolio,concentrat
8、ionisexpensiveforcreditportfoliosbecauseofthesmallupsideandlargedownsiderisk.Hence
