Active Credit Portfolio Management - Bringing the Capital Market Perspective into Bank Lending

Driven by profound and sustainable changes in credit markets, banks that are engaged in the lending business have recently felt strong pressure to rethink and improve their business model. As a consequence, the concept of implementing a portfolio view on loan exposures and actively managing the credit portfolio, mainly by means of capital market transactions, has emerged. The goal of this active credit portfolio management (ACPM) approach is to achieve a risk-return optimal portfolio composition instead of pursuing the conventional transaction-oriented approach, whereby bank loans are statically held until maturity or default. Based on the results of a comprehensive empirical study on ACPM, conducted among the largest and most significant European financial institutions, this book describes in detail how the ACPM approach has been implemented in practice so far. Furthermore, the question regarding the optimal ACPM business model to be established, depending on specific determining factors, is discussed in depth.

Autorentext

The Author: Jochen Dürr is a project manager and a member of the Financial Institutions Group of a leading global top management consultancy. The focus of his work is risk management, capital markets, and corporate finance. Jochen Dürr studied Economics majoring in finance and capital markets at the University of St. Gallen, Switzerland, Stern School of Business (NYU), USA, and Warwick University, UK. He holds a Ph.D. from Rostock University, Germany.

Inhalt

Contents: The ACPM approach: Development, principles, and practical implementation - Secondary credit market instruments to actively manage credit portfolio - Theoretical foundation and value creation potential - Empirical study on ACPM - Methodology to obtain and analyze empirical information - Empirical evidence on ACPM business models - Optimal ACPM business model - Critical evaluation, and further research requirements.