Portfolio Stratification
From Open Risk Manual
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Definition
Portfolio Stratification (also Pool Stratification) is the practice of segmenting and analyzing a portfolio using characteristics perceived as significant in a given context.
Usage
Stratification involves the production of summaries of pool characteristics (stratification tables) as they relate to attributes such as
- asset type
- vintage (origination period)
- size (amounts)
- geographical distribution and
- a variety of risk characteristics (credit scores, delinquency status etc.)
Issues and Challenges
- Skillful manipulation of the stratification segments can potentially help produce a misleading impression as to the actual nature of the portfolio
