Active credit portfolio management

Bank Austria Creditanstalt

The department of Active Credit Portfolio Management (ACPM) of Bank Austria Creditanstalt AG is developing a concept for pricing individual loans mark-to-market. This will be based on credit default swaps (CDS) spreads. Using CDS the credit risk of loans can be replicated or hegded approximately. This can only be done for customersr with actively traded CDS. For the remaining customers synthetical CDS spreads have to be estimated. Based on these CDS spreads ACPM will price and manage the credit risk of its loan portfolio. In this project the Vienna University of Economics and Business Administration (WU Wien) supports the ACPM by providing the theoretical financal know-how for many promblems arising in the estimation of risk-adjusted credit spreads.