Optimizing the bank's credit portfolio based on the credit assessment method

Document Type : Original Article

Authors
Farrokh Pourbijan 1
Reza Gholami-Jamkarani 2
Mirfeiz Fallah shams 3
Hamid Reza Kordlouie 4
Hosein Jahangirnia 2
1 Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran
2 Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran
3 Department of Finance, Central Tehran Branch, Islamic Azad University, Tehran, Iran
4 Department of Finance, Eslamshahr Branch, Islamic Azad University, Tehran, Iran
10.22034/jik.2026.23999
Abstract
Today, banks as loaners, due to having a diverse granted Loan portfolio, are facing credit risk, which due to the continuous change in economic systems, the dimensions of credit risk are getting wider, which shows the need of the banking industry to the new methods to calculate the credit risk in order to manage the credit risk and finally reduce the default of Borrowers and prevent the bankruptcy of banks. The purpose of this research is to optimize the bank's credit portfolio based on the CreditMetrics method, the goal of credit portfolio management is to optimize credit portfolio that is a guide for the bank to achieve the highest return from granting Loans with risk, the statistical population of this study is stock exchange companies .And The time period of this study is from 2013 to 2018.
in order to optimize the bank's credit portfolio, using the Markov switching model (MS), the factors affecting the probability of customer default were estimated, and the risk transfer matrix was calculated, and then the correlation between the time series of the probability of default has been calculated with the value at Risk method (VAR) and finally, by using the estimation of marginal expected shotfall (MES) and the expected return on the Loan received by the borrowers, the optimized Portfolio of the bank's credit portfolio has been chosen.
Keywords
Risk Management
Credit portfolio
Credit risk
VAR
EMS

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