The quantitative loan
portfolio management process begins by segmenting the loan portfolio
into homogeneous sub-portfolios, customers and loans with similar risk
characteristics. The loan portfolio should be managed the same as an
investment portfolio, with the objective of creating a risk efficient
portfolio…maximizing the portfolio return at a given level of risk.
Supporting Solutions:
Economic Capital
Application supports the
segmentation of allowance for loan and lease losses and economic
capital by industry, line of business and geographic concentration.
Risk & Return application
supports the segmentation of numerous homogeneous sub-portfolios to
identify and trend sub-portfolio risk and risk-adjusted returns.
Risk Migration application
supports the segmentation of numerous homogeneous sub-portfolios to
identify and trend sub-portfolio risk migration patterns and
correlation coefficients.
