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Firman Pribadi,Susanto Susanto
Pág. 393 - 404
This research attempts to use Black-Schole-Merton (BSM) model based on market approach to predict default probability of publishing bank in Indonesia. This is done by using stock prices and financial report. In this effort, this study estimates the neutr...
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Rogerio de Deus Oliveira,Caio Ibsen Rodrgues de Almeida
Pág. pp. 301 - 339
Credit Risk is an important dimension to be considered in the risk management procedures of financial institutions. Is a particularly useful in emerging markets where default rates on bank loan products are usually high. It is usually calculated through ...
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Muhamad Jumaa, Mohammed Saqib, Arif Attar
Pág. 85 - 92
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Nomaphelo Soga,Lawrence Obokoh,Darlington P. Onojaefe,Wilfred Isioma Ukpere
Pág. 76 - 90
The risk that a borrower may not fulfill his/her borrowing obligation presents the credit owner (lender) a default risk management opportunity to maximize the risk-adjusted rate of return and to maintain minimum exposure to default associated cost. ...
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Nomaphelo Soga,Lawrence Obokoh,Darlington P. Onojaefe,Wilfred Isioma Ukpere
Pág. 76 - 90
The risk that a borrower may not fulfill his/her borrowing obligation presents the credit owner (lender) a default risk management opportunity to maximize the risk-adjusted rate of return and to maintain minimum exposure to default associated cost. ...
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Daniela Rybárová, Helena Majdúchová, Peter ?tetka and Darina Lu?cíková
The aim of this paper is to assess the reliability of alternative default prediction models in local conditions, with subsequent comparison with other generally known and globally disseminated default prediction models, such as Altman?s Z-score, Quick Te...
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Adithi Ramesh,C.B Senthil Kumar
Pág. 609 - 612
Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major fro...
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Mariya Georgieva Paskaleva
Pág. 81 - 113
This study represents the increasing significance of credit default swaps for European capital markets, namely Germany, France, Belgium, Ireland, Italy, Portugal, Spain, Greece, Bulgaria and Romania. The period of analysis is between 2003- 2016 years. Af...
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Zhijian (James) Huang and Yuchen Luo
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Shanuka Senarath, Pelma Rajapakse, Jan Job de Vries Robbé, Naveen Wickremeratne and Maduka Subasinghage
A credit default swap (CDS) is a derivative financial instrument that provides insurance against credit risk. CDSs on subprime Asset Backed Securities (ABSs) paved the way for securitizers to hedge the credit risk of the underlying subprime loans during ...
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Laxmi Koju, Ram Koju and Shouyang Wang
This study investigated the impact of banking management on credit risk using a sample of Indian commercial banks. The study employed dynamic panel estimations to evaluate the link between banking management variables and credit risk. The empirical resul...
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 415 - 425
The asset correlation is a key regulatory parameter in the calculation of the capital charge for credit risk under the second Baselagreement. This parameter has been set in a uniform manner for all banking institutions wishing to integrate the Baselframe...
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Giuseppe Orlando and Roberta Pelosi
Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance....
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Michael Jacobs, Jr.
In this study, we consider the construction of through-the-cycle (?TTC?) PD models designed for credit underwriting uses and point-in-time (?PIT?) PD models suitable for early warning uses, considering which validation elements should be emphasized in ea...
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Eymen Errais
Pág. 145 - 153
Several debates and concerns about local elections focus on whether local governance can take root in an environment where people have a very low trust in their rulers, and deliver the economic goods: a higher rate of investment, more growth and more job...
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Khaldoun Maddallah Al-Qaisi,Rafat Mohd Soudki Al-Batayneh
Pág. 697 - 700
The recent global economic downturn that erupted in the mid 2007 saw an increase of the Credit Default Swaps (CDS) by hundred basis points and severe liquidity crunch in the financial sector of the United States. The recession phase highlighted the impor...
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Alexander S. Ksenofontov,Igor V. Savon,Vladimir Y. Serba,Dmitry V. Shkurkin
Pág. 14 - 18
The paper has developed a set of evaluation models of the probability of corporate borrowers? default, taking into account the macroeconomic and institutional factors on the example of the Russian construction industry companies. At the beginning of 2014...
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Muhsin Kar, Tayfur Bayat and Selim Kayhan
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change am...
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Franklin de O. Gonçalves,Luiz Otavio Calôba
Pág. pp. 89 - 112
Brady bond securities represent a substantial fraction of emerging markets countries internationally tradable sovereign debt. The credit risk spread above and beyond the U.S. treasury curve for these securities is usually large in size and volatility. Mo...
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Josephat Lotto
This paper principally aims at examining the impact of capital requirements regulation on bank operating efficiency in Tanzania. The study employs bank level data for the period between 2009 and 2015. The findings show a positive and significant relation...
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