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Analyse des risques sur un portefeuille de dettes

Abstract : This thesis starts from the observation that a credit portfolio is subject to several risks, mainly due to the credit quality of the borrower and his behavior toward his credit lines (drawdown or prepayment). It turns out that the observed risks are dynamic and depend on various factors, both micro and macroeconomic. Our goal in one hand is to understand the articulation of these risks in order to efficiently manage them in the current time, in the other hand, we want to have a forward looking vision of these risks with respect to the changes in the economic conditions in order to have a pro-active management. To address our objectives, we have articulated our research on three axes that have resulted in three chapters in the form of articles.(i) Analysis of changes in the credit ratings with respect to risk factors. The use of factor migration models allowed us to reproduce some stylized facts mentioned in academic literature and to identify some others. We have also estimated the business cycle between2006 and 2014, which manages to capture the crises of 2008 and 2012.(ii) Design of a cash-_ow model that considers the changes in borrowers' behavior under the influence of their micro and macroeconomic environments. We prove the influence of the credit ratings, business cycle, estimated recovery rates and short-term interest rates on the utilization rates of a credit line. This model also provides risk measures such as Cash Flow-at-Risk and Stressed Cash Flow-at-Risk on credit portfolio using Monte Carlo simulations.(iii) Discussion on the Willingness-to-Pay (WTP) of an ambiguity neutral decision maker (DM) in order to reduce the risk in presence of ambiguity over probabilities. We show that the introduction of ambiguity through several ambiguity sources modifies the welfare level of all ambiguity-neutral and risk-averse DM when ambiguity and risk interact
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Submitted on : Tuesday, January 29, 2019 - 12:32:26 PM
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  • HAL Id : tel-01997951, version 1


Mohamed Reda Kheliouen. Analyse des risques sur un portefeuille de dettes. Gestion et management. Université de Lyon, 2018. Français. ⟨NNT : 2018LYSE1145⟩. ⟨tel-01997951⟩



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