### Abstract

We propose a model for determining the spread of a credit portfolio based on the actuarial principle. In this model the spread is a function of the recovery rate and of the probability of default. In an application to data, from a consumer credit portfolio of a Cape Verde bank, we estimate the recovery rate by a beta regression and the probability of default by a logistic regression, both regressions using as independent variables sociodemographic information and consumer credit contract variables in the data set. We show that the data support the possibility of defining a spread for each client - the borrower - that is coherent with the portfolio spread given by the model.

Original language | English |
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Title of host publication | AIP Conference Proceedings |

Pages | 1-4 |

Number of pages | 4 |

Publication status | Published - 2015 |

Event | International Conference on Numerical Analysis and Applied Mathematics 2014, ICNAAM 2014 - Rhodes, Greece Duration: 22 Sep 2014 → 28 Sep 2014 |

### Conference

Conference | International Conference on Numerical Analysis and Applied Mathematics 2014, ICNAAM 2014 |
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Country | Greece |

City | Rhodes |

Period | 22/09/14 → 28/09/14 |

### Keywords

- Mathematics
- Physics, Applied
- Credit Portfolio
- Beta Regression
- Logistic Regression
- Actuarial Principle

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## Cite this

Guerreiro, G. R. D., Esquível, M. L., Fernandes, J. M., & Silva, A. F. (2015). On a spread model for portfolio credit risk modeling. In

*AIP Conference Proceedings*(pp. 1-4). [1648]