Output details
15 - General Engineering
City University London
A Control Systems approach for Credit Risk Simulation and Control of a loan portfolio
The study of credit risk in a loan portfolio is a dynamic, evolving in time problem with control variables. The problem is formulated as an Optimal Control problem and this allows use of control methodology for the study of behaviour of loan portfolios. The control approach reveals different aspects of the evolution of the loan portfolio when compared with traditional approaches and provides the means for portfolio planning and budgeting through simulations or via determination of an open/closed loop policy using optimality criteria. It has been used in predicting the state of banking portfolios for decision making purposes.