Risk analysis of a debt portfolio.

Summary This doctoral thesis starts from the observation that a credit portfolio is subject to several risks that come mainly from the credit quality of the borrower and its drawing and prepayment behavior on its credit lines. It turns out that the observed risks are dynamic and depend on various factors, both micro and macro-economic. We wanted to understand the articulation of these risks to have an effective management of them in the present, but also a prospective vision if the economic conditions change, for a proactive management. To address this issue, we have structured our research around three axes that have resulted in three chapters in the form of articles.(i) Analysis of changes in credit ratings as a function of risk factors.The use of multi-factor migration models has allowed us to reproduce stylized facts cited in the literature and to identify others. We also reconstruct the business cycle between 2006 and 2014 which manages to capture the 2008 and 2012 crises.(ii) Design of a cash flow model that accounts for the evolution of borrowers' behaviors under the influence of their micro and macroeconomic environments.We prove the influence of credit rating, business cycle, estimated recovery rate and short term interest rate on utilization rates. This model also allows us to obtain risk measures such as Cash Flow-at-Risk and Stressed Cash Flow-at-Risk on credit portfolios through Monte Carlo simulations.(iii) Reflecting on the Disposition-to-Pay (DTP) of an ambiguity-neutral decision maker to reduce risk in the presence of uncertainty on probabilities. We show that the presence of multiple (possibly correlated) sources of ambiguity changes the welfare of a risk-averse decision maker even though the decision maker is ambiguity neutral.