Output details
15 - General Engineering
City University London
Article title
A Control Systems approach for Credit Risk Simulation and Control of a loan portfolio
Type
D - Journal article
DOI
-
Title of journal
Journal of Computational Optimization in Economics and Finance
Article number
-
Volume number
3
Issue number
1
First page of article
13
ISSN of journal
1941-3971
Year of publication
2011
Number of additional authors
-
Additional information
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.
Interdisciplinary
-
Cross-referral requested
-
Research group
D - Systems & Control
Proposed double-weighted
No
Double-weighted statement
-
Reserve for a double-weighted output
No
Non-English
No
English abstract
-
