DEFAULT RISK ANALYSIS IN MANAGEMENT OF BANK CREDIT PORTFOLIOS: ALTERNATIVE METHOD SUGGESTION BASED ON KALMAN FILTER

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The risk of default affects bank credits and credit portfolios of the banks. Therefore the analysing and the measuring of default risk has received much attention both from bank managers and regulatory authorities. In this study is analized default risk by based on Duffee (1999) and Bohn and Stein’s (2009). Default risk that modeling in state-space approach as an unobservable variable is estimated by Kalman filter method. Estimation findings are quite successful.

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Portfolio management , credit portfolio , default risk , state , space models , Kalman filter

Journal Of Financial Researches an‎d Studies

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Journal Of Financial Researches an‎d Studies