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Sample records for modeling credit risk

  1. MODELING CREDIT RISK THROUGH CREDIT SCORING

    OpenAIRE

    Adrian Cantemir CALIN; Oana Cristina POPOVICI

    2014-01-01

    Credit risk governs all financial transactions and it is defined as the risk of suffering a loss due to certain shifts in the credit quality of a counterpart. Credit risk literature gravitates around two main modeling approaches: the structural approach and the reduced form approach. In addition to these perspectives, credit risk assessment has been conducted through a series of techniques such as credit scoring models, which form the traditional approach. This paper examines the evolution of...

  2. Models of Credit Risk Measurement

    OpenAIRE

    Hagiu Alina

    2011-01-01

    Credit risk is defined as that risk of financial loss caused by failure by the counterparty. According to statistics, for financial institutions, credit risk is much important than market risk, reduced diversification of the credit risk is the main cause of bank failures. Just recently, the banking industry began to measure credit risk in the context of a portfolio along with the development of risk management started with models value at risk (VAR). Once measured, credit risk can be diversif...

  3. CREDIT RISK. DETERMINATION MODELS

    Directory of Open Access Journals (Sweden)

    MIHAELA GRUIESCU

    2012-01-01

    Full Text Available The internationalization of financial flows and banking and the rapid development of markets have changed the financial sector, causing him to respond with force and imagination. Under these conditions, the concerns of financial and banking institutions, rating institutions are increasingly turning to find the best solutions to hedge risks and maximize profits. This paper aims to present a number of advantages, but also limits the Merton model, the first structural model for modeling credit risk. Also, some are extensions of the model, some empirical research and performance known, others such as state-dependent models (SDM, which together with the liquidation process models (LPM, are two recent efforts in the structural models, show different phenomena in real life.

  4. Credit Risk Modeling

    DEFF Research Database (Denmark)

    Lando, David

    Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers...

  5. Credit Risk Modelling and Implementation of Credit Risk Models in China

    OpenAIRE

    Yu, Mengxiao

    2007-01-01

    Credit risk, or the risk of counterparty default, is an important factor in the valuation and risk management of financial assets. It has become increasingly important to financial institutions. A variety of credit risk models have been developed to measure credit risk. They are J.P. Morgan's CreditMetrics; KMV's PortfolioManager based on Merton (1974) option pricing model; macroeconomic model CreditPortfolio View developed by McKinsey; CSFB's Credit Risk+ Model based on actuarial science fra...

  6. A Network Model of Credit Risk Contagion

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    Ting-Qiang Chen

    2012-01-01

    Full Text Available A network model of credit risk contagion is presented, in which the effect of behaviors of credit risk holders and the financial market regulators and the network structure are considered. By introducing the stochastic dominance theory, we discussed, respectively, the effect mechanisms of the degree of individual relationship, individual attitude to credit risk contagion, the individual ability to resist credit risk contagion, the monitoring strength of the financial market regulators, and the network structure on credit risk contagion. Then some derived and proofed propositions were verified through numerical simulations.

  7. A neural network model for credit risk evaluation.

    Science.gov (United States)

    Khashman, Adnan

    2009-08-01

    Credit scoring is one of the key analytical techniques in credit risk evaluation which has been an active research area in financial risk management. This paper presents a credit risk evaluation system that uses a neural network model based on the back propagation learning algorithm. We train and implement the neural network to decide whether to approve or reject a credit application, using seven learning schemes and real world credit applications from the Australian credit approval datasets. A comparison of the system performance under the different learning schemes is provided, furthermore, we compare the performance of two neural networks; with one and two hidden layers following the ideal learning scheme. Experimental results suggest that neural networks can be effectively used in automatic processing of credit applications.

  8. A Soft Intelligent Risk Evaluation Model for Credit Scoring Classification

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    Mehdi Khashei

    2015-09-01

    Full Text Available Risk management is one of the most important branches of business and finance. Classification models are the most popular and widely used analytical group of data mining approaches that can greatly help financial decision makers and managers to tackle credit risk problems. However, the literature clearly indicates that, despite proposing numerous classification models, credit scoring is often a difficult task. On the other hand, there is no universal credit-scoring model in the literature that can be accurately and explanatorily used in all circumstances. Therefore, the research for improving the efficiency of credit-scoring models has never stopped. In this paper, a hybrid soft intelligent classification model is proposed for credit-scoring problems. In the proposed model, the unique advantages of the soft computing techniques are used in order to modify the performance of the traditional artificial neural networks in credit scoring. Empirical results of Australian credit card data classifications indicate that the proposed hybrid model outperforms its components, and also other classification models presented for credit scoring. Therefore, the proposed model can be considered as an appropriate alternative tool for binary decision making in business and finance, especially in high uncertainty conditions.

  9. An Empirical Analysis on Credit Risk Models and its Application

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    Joocheol Kim

    2014-08-01

    Full Text Available This study intends to focus on introducing credit default risk with widely used credit risk models in an effort to empirically test whether the models hold their validity, apply to financial institutions which usually are highly levered with various types of debts, and finally reinterpret the results in computing adequate collateral level in the over-the-counter derivatives market. By calculating the distance-to-default values using historical market data for South Korean banks and brokerage firms as suggested in Merton model and KMV’s EDF model, we find that the performance of the introduced models well reflect the credit quality of the sampled financial institutions. Moreover, we suggest that in addition to the given credit ratings of different financial institutions, their distance-to-default values can be utilized in determining the sufficient level of credit support. Our suggested “smoothened” collateral level allows both contractual parties to minimize their costs caused from provision of collateral without undertaking additional credit risk and achieve efficient collateral management.

  10. Empirical Analysis of Farm Credit Risk under the Structure Model

    Science.gov (United States)

    Yan, Yan

    2009-01-01

    The study measures farm credit risk by using farm records collected by Farm Business Farm Management (FBFM) during the period 1995-2004. The study addresses the following questions: (1) whether farm's financial position is fully described by the structure model, (2) what are the determinants of farm capital structure under the structure model, (3)…

  11. Empirical Analysis of Farm Credit Risk under the Structure Model

    Science.gov (United States)

    Yan, Yan

    2009-01-01

    The study measures farm credit risk by using farm records collected by Farm Business Farm Management (FBFM) during the period 1995-2004. The study addresses the following questions: (1) whether farm's financial position is fully described by the structure model, (2) what are the determinants of farm capital structure under the structure model, (3)…

  12. Modelling Counterparty Credit Risk in Czech Interest Rate Swaps

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    Lenka Křivánková

    2017-01-01

    Full Text Available According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults. Therefore, from 2015, the Third Basel Accord (EU, 2013a and (EU, 2013b instructed banks to calculate the capital requirement for the risk of credit valuation adjustment (CVA. Banks are trying to model CVA to hold the prescribed standards and also reach the lowest possible impact on their profit. In this paper, we try to model CVA using methods that are in compliance with the prescribed standards and also achieve the smallest possible impact on the bank’s earnings. To do so, a data set of interest rate swaps from 2015 is used. The interest rate term structure is simulated using the Hull-White one-factor model and Monte Carlo methods. Then, the probability of default for each counterparty is constructed. A safe level of CVA is reached in spite of the calculated the CVA achieving a lower level than CVA previously used by the bank. This allows a reduction of capital requirements for banks.

  13. Validation Techniques of the Intern Models for Credit Risk

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    Nicolae Dardac

    2006-09-01

    Provided the development of complex methodologies of risk measurement and management, on a large scale, by credit institutions, simple and static rules of the first accord have become less and less relevant during the last years. And so, the need of setting up a own funds adequacy framework which is much more risk sensitive and provides incentives to credit institutions on what concerns the improvement of risk measurement and management systems was met by approval of the Basel II Accord, which will, therefore, lead to the strengthening of financial stability. The revisal of the Accord was mainly focused on the increase of risk analysis and internal measurement and the changes made to their estimation allow banks to create their own methodological framework to calculate capital requirements (also considering each credit institution’ risk appetite.

  14. Optimal replenishment and credit policy in supply chain inventory model under two levels of trade credit with time- and credit-sensitive demand involving default risk

    Science.gov (United States)

    Mahata, Puspita; Mahata, Gour Chandra; Kumar De, Sujit

    2017-06-01

    Traditional supply chain inventory modes with trade credit usually only assumed that the up-stream suppliers offered the down-stream retailers a fixed credit period. However, in practice the retailers will also provide a credit period to customers to promote the market competition. In this paper, we formulate an optimal supply chain inventory model under two levels of trade credit policy with default risk consideration. Here, the demand is assumed to be credit-sensitive and increasing function of time. The major objective is to determine the retailer's optimal credit period and cycle time such that the total profit per unit time is maximized. The existence and uniqueness of the optimal solution to the presented model are examined, and an easy method is also shown to find the optimal inventory policies of the considered problem. Finally, numerical examples and sensitive analysis are presented to illustrate the developed model and to provide some managerial insights.

  15. An Entropy Model of Credit Risk Contagion in the CRT Market

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    Tingqiang Chen

    2015-01-01

    Full Text Available This paper reports the effect of the change in the credit status of debtors on investors as a result of the banks’ transferring of credit risk to investors in the credit risk transfer (CRT market. Thus, an entropy spatial model is introduced, in which the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of banks, and investor appetite for risk in the CRT network are considered. The contagion effects of the credit default of debtor on the default rates of investors in the CRT market are investigated using numerical simulation and sensitivity analysis.

  16. Credit Risk Assessment Model Based Using Principal component Analysis And Artificial Neural Network

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    Hamdy Abeer

    2016-01-01

    Full Text Available Credit risk assessment for bank customers has gained increasing attention in recent years. Several models for credit scoring have been proposed in the literature for this purpose. The accuracy of the model is crucial for any financial institution’s profitability. This paper provided a high accuracy credit scoring model that could be utilized with small and large datasets utilizing a principal component analysis (PCA based breakdown to the significance of the attributes commonly used in the credit scoring models. The proposed credit scoring model applied PCA to acquire the main attributes of the credit scoring data then an ANN classifier to determine the credit worthiness of an individual applicant. The performance of the proposed model was compared to other models in terms of accuracy and training time. Results, based on German dataset showed that the proposed model is superior to others and computationally cheaper. Thus it can be a potential candidate for future credit scoring systems.

  17. Validation Techniques of the Intern Models for Credit Risk

    Directory of Open Access Journals (Sweden)

    Bogdan Moinescu

    2006-11-01

    Full Text Available The new own funds adequacy device, officialy named “ International Convergence of Capital Measurement and Capital Standards”, describes the most important benchmark framework for micro-prudential supervision at the moment. The publication of the final text in June 2004, after five years of deliberations, represents the result of multiple analyses and comments provided by all interested parties, banking supervision authorities, associations and credit institutions. Provided the development of complex methodologies of risk measurement and management, on a large scale, by credit institutions, simple and static rules of the first accord have become less and less relevant during the last years. And so, the need of setting up a own funds adequacy framework which is much more risk sensitive and provides incentives to credit institutions on what concerns the improvement of risk measurement and management systems was met by approval of the Basel II Accord, which will, therefore, lead to the strengthening of financial stability. The revisal of the Accord was mainly focused on the increase of risk analysis and internal measurement and the changes made to their estimation allow banks to create their own methodological framework to calculate capital requirements (also considering each credit institution’ risk appetite.

  18. Credit Risk Management

    Directory of Open Access Journals (Sweden)

    Viorica IOAN

    2012-11-01

    Full Text Available The bank is exposed to credit risk, the risk of not being able to recuperate the debtor claims as a result of the activity of granting loans to the clientele. Also, credit risk may manifest due to investments in other local and foreign credit institutions. Credit risk may be minimized through the careful evaluation of credit solicitors, through their monitoring along the duration of the loan and through the establishing of risk exposure limits, of significant risk margins as well as the acceptable balance between risk and profit.

  19. Forecasting credit card portfolio losses in the Great Recession: a study in model risk

    OpenAIRE

    Canals-Cerda, Jose J.; Kerr, Sougata

    2014-01-01

    Credit card portfolios represent a significant component of the balance sheets of the largest US banks. The charge‐off rate in this asset class increased drastically during the Great Recession. The recent economic downturn offers a unique opportunity to analyze the performance of credit risk models applied to credit card portfolios under conditions of economic stress. Specifically, we evaluate three potential sources of model risk: model specification, sample selection, and stress scenario se...

  20. Dynamic Bayesian modeling for risk prediction in credit operations

    DEFF Research Database (Denmark)

    Borchani, Hanen; Martinez, Ana Maria; Masegosa, Andres

    2015-01-01

    Our goal is to do risk prediction in credit operations, and as data is collected continuously and reported on a monthly basis, this gives rise to a streaming data classification problem. Our analysis reveals some practical problems that have not previously been thoroughly analyzed in the context...... of streaming data analysis: the class labels are not immediately available and the relevant predictive features and entities under study (in this case the set of customers) may vary over time. In order to address these problems, we propose to use a dynamic classifier with a wrapper feature subset selection...

  1. Modelling local government unit credit risk in the Republic of Croatia

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    Petra Posedel

    2012-12-01

    Full Text Available The objective of this paper is to determine possible indicators that affect local unit credit risk and investigate their effect on default (credit risk of local government units in Croatia. No system for the estimation of local unit credit risk has been established in Croatia so far causing many practical problems in local unit borrowing. Because of the specific nature of the operations of local government units and legislation that does not allow local government units to go into bankruptcy, conventional methods for estimating credit risk are not applicable, and the set of standard potential determinants of credit risk has to be expanded with new indicators. Thus in the paper, in addition to the usual determinants of credit risk, the hypothesis of the influence of political factors on local unit credit risk in Croatia is also tested out, with the use of a Tobit model. Results of econometric analysis show that credit risk of local government units in Croatia is affected by the political structure of local government, the proportion of income tax and surtax in operating revenue, the ratio of net operating balance, net financial liabilities and direct debt to operating revenue, as well as the ratio of debt repayment and cash, and direct debt and operating revenue.

  2. Credit risk management in banks

    OpenAIRE

    Pětníková, Tereza

    2014-01-01

    The subject of this diploma thesis is managing credit risk in banks, as the most significant risk faced by banks. The aim of this work is to define the basic techniques, tools and methods that are used by banks to manage credit risk. The first part of this work focuses on defining these procedures and describes the entire process of credit risk management, from the definition of credit risk, describing credit strategy and policy, organizational structure, defining the most used credit risk mi...

  3. The Measurement and Control of Credit Risk in the Chinese Banking Sector and the Application of CreditMetrics Model

    OpenAIRE

    Guo, Xiaofei

    2006-01-01

    Financial globalization, increased volatility of financial markets and rapid developments in financial engineering has dramatically increased the risks of a bank's trading position. Of the major risks involved in banking management, credit risk is regarded as the major risk in terms of its influence on bank performance and bank failure. Credit risk can be most simply defined as the potential that a bank borrower or counterparty fail to meet its obligations in accordance with agreed terms....

  4. Credit Risk Evaluation Using a C-Variable Least Squares Support Vector Classification Model

    Science.gov (United States)

    Yu, Lean; Wang, Shouyang; Lai, K. K.

    Credit risk evaluation is one of the most important issues in financial risk management. In this paper, a C-variable least squares support vector classification (C-VLSSVC) model is proposed for credit risk analysis. The main idea of this model is based on the prior knowledge that different classes may have different importance for modeling and more weights should be given to those classes with more importance. The C-VLSSVC model can be constructed by a simple modification of the regularization parameter in LSSVC, whereby more weights are given to the lease squares classification errors with important classes than the lease squares classification errors with unimportant classes while keeping the regularized terms in its original form. For illustration purpose, a real-world credit dataset is used to test the effectiveness of the C-VLSSVC model.

  5. Two retailer-supplier supply chain models with default risk under trade credit policy.

    Science.gov (United States)

    Wu, Chengfeng; Zhao, Qiuhong

    2016-01-01

    The purpose of the paper is to formulate two uncooperative replenishment models with demand and default risk which are the functions of the trade credit period, i.e., a Nash equilibrium model and a supplier-Stackelberg model. Firstly, we present the optimal results of decentralized decision and centralized decision without trade credit. Secondly, we derive the existence and uniqueness conditions of the optimal solutions under the two games, respectively. Moreover, we present a set of theorems and corollary to determine the optimal solutions. Finally, we provide an example and sensitivity analysis to illustrate the proposed strategy and optimal solutions. Sensitivity analysis reveals that the total profits of supply chain under the two games both are better than the results under the centralized decision only if the optimal trade credit period isn't too short. It also reveals that the size of trade credit period, demand, retailer's profit and supplier's profit have strong relationship with the increasing demand coefficient, wholesale price, default risk coefficient and production cost. The major contribution of the paper is that we comprehensively compare between the results of decentralized decision and centralized decision without trade credit, Nash equilibrium and supplier-Stackelberg models with trade credit, and obtain some interesting managerial insights and practical implications.

  6. Study of Commercial Bank Risk Monitoring Model in Individual Consumption Credit

    Institute of Scientific and Technical Information of China (English)

    刘春红

    2003-01-01

    With the development of individual consumption credit (ICC) in China, commercial banks have been exposed to more and more risks. The loan failure has been an important problem that the banking must face and revolve. This paper develops a factor system to explain how the borrower's risk is affected, and then establishes a risk monitoring model with AHP to pre-warn the banks how much the risk is.

  7. Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes

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    Goran Klepac

    2008-12-01

    Full Text Available This paper proposes a new model for portfolio sensitivity analysis. The model is suitable for decision support in financial institutions, specifically for portfolio planning and portfolio management. The basic advantage of the model is the ability to create simulations for credit risk predictions in cases when we virtually change portfolio structure and/or macroeconomic factors. The model takes a holistic approach to portfolio management consolidating all organizational segments in the process such as marketing, retail and risk.

  8. ANALYSIS MODEL ON THE RELATION BETWEEN MACROECONOMICAL VARIABLE TENDENCIES AND COMERCIAL BANK’S CREDIT RISK

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    Benyovszki Anamaria

    2009-05-01

    Full Text Available The main goal of this study is to apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2008:2. Using the modeled and

  9. Using multi-state markov models to identify credit card risk

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    Daniel Evangelista Régis

    2016-06-01

    Full Text Available Abstract The main interest of this work is to analyze the application of multi-state Markov models to evaluate credit card risk by investigating the characteristics of different state transitions in client-institution relationships over time, thereby generating score models for various purposes. We also used logistic regression models to compare the results with those obtained using multi-state Markov models. The models were applied to an actual database of a Brazilian financial institution. In this application, multi-state Markov models performed better than logistic regression models in predicting default risk, and logistic regression models performed better in predicting cancellation risk.

  10. Credit derivatives and risk management

    OpenAIRE

    Michael S. Gibson

    2007-01-01

    The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A commercial bank can use credit derivatives to manage the risk of its loan portfolio. An investment bank can use credit derivatives to manage the risks it incurs when underwriting securities. An investor, such as an insurance company, asset manager, or hedge fund, can use credit derivatives to align its...

  11. A statistical modeling approach to build expert credit risk rating systems

    DEFF Research Database (Denmark)

    Waagepetersen, Rasmus

    2010-01-01

    This paper presents an efficient method for extracting expert knowledge when building a credit risk rating system. Experts are asked to rate a sample of counterparty cases according to creditworthiness. Next, a statistical model is used to capture the relation between the characteristics...

  12. Internal Model of Commercial Bank as an Instrument for Measuring Credit Risk of the Borrower in Relation to Financial Performance (Credit Scoring and Bankruptcy Models

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    Belás Jaroslav

    2011-12-01

    Full Text Available Commercial banks generally use different methods and procedures for managing credit risk. The internal rating method in which the client has an important position in the process of granting credit provides a comprehensive assessment of client creditworthiness. The aim of this article is to analyze selected theoretical, methodological and practical aspects of internal rating models of commercial banks within the context of models that measures financial performance and to make a comparison of results of real - rating models which are used in the Czech Republic and Slovakia. The results of the chosen credit scoring and bankruptcy methods on selected companies from segments of small and medium-sized companies are presented.

  13. Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model

    NARCIS (Netherlands)

    Cremers, K.J.M.; Driessen, J.; Maenhout, P.

    2008-01-01

    We study whether option-implied jump risk premia can explain the high observed level of credit spreads. We use a structural jump-diffusion firm value model to assess the level of credit spreads generated by option-implied jump risk premia. Prices and returns of equity index and individual options

  14. Credit risk assessment: Evidence from banking industry

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    Hassan Ghodrati

    2014-08-01

    Full Text Available Measuring different risk factors such as credit risk in banking industry has been an interesting area of studies. The artificial neural network is a nonparametric method developed to succeed for measuring credit risk and this method is applied to measure the credit risk. This research’s neural network follows back propagation paradigm, which enables it to use historical data for predicting future values with very good out of sample fitting. Macroeconomic variables including GDP, exchange rate, inflation rate, stock price index, and M2 are used to forecast credit risk for two Iranian banks; namely Saderat and Sarmayeh over the period 2007-2011. Research data are being tested for ADF and Causality Granger tests before entering the ANN to achieve the best lag structure for the research model. MSE and R values for the developed ANN in this research respectively are 86×〖10〗^(-4 and 0.9885, respectively. The results showed that ANN was able to predict banks’ credit risk with low error. Sensibility analyses which has accomplished on this research’s ANN corroborates that M2 has the highest effect on the ANN’s credit risk and should be considered as an additional leading indicator by Iran’s banking authorities. These matters confirm validation of macroeconomic notions in Iran’s credit systematic risk.

  15. Research on the Model of Household Credit Risk Evaluation of Rural Microfinance

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    Since rural microfinance is a credit which grants loans without collateral and guarantees to farmers,it is considerably important to evaluate and control the household credit risk.Through establishing the evaluation index system and then using catastrophe progression theory,three common types of catastrophe system and the normalization formula,we get the comprehensive evaluation.Finally,we take the empirical test and the result shows that this method is simpler and more objective which can be used by the credit cooperatives to decide whether to authorize the loans.

  16. Integration Of Company’s Financial Data In Credit Risk Assessment Using A Multidimensional Model

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    Maria – Monica Haralambie

    2015-12-01

    Full Text Available This paper is a detailed overview from theoretical and practical perspectives of a scoring system used by a financial institution in assessing the credit risk of a corporate client. The objective of this research was to demonstrate the importance of a scoring system for a credit institution when approving a loan application of a potential borrower. The complexity and importance of the topic makes it a subject of high interest for all type of credit institutions. We believe that through this work we were able to bring into discussion only a part of the specific issues related to credit risk management scoring systems and we believe that this work represents a support for future research

  17. Grading the probabilities of credit default risk for Malaysian listed companies by using the KMV-Merton model

    Science.gov (United States)

    Anuwar, Muhammad Hafidz; Jaffar, Maheran Mohd

    2017-08-01

    This paper provides an overview for the assessment of credit risk specific to the banks. In finance, risk is a term to reflect the potential of financial loss. The risk of default on loan may increase when a company does not make a payment on that loan when the time comes. Hence, this framework analyses the KMV-Merton model to estimate the probabilities of default for Malaysian listed companies. In this way, banks can verify the ability of companies to meet their loan commitments in order to overcome bad investments and financial losses. This model has been applied to all Malaysian listed companies in Bursa Malaysia for estimating the credit default probabilities of companies and compare with the rating given by the rating agency, which is RAM Holdings Berhad to conform to reality. Then, the significance of this study is a credit risk grade is proposed by using the KMV-Merton model for the Malaysian listed companies.

  18. Insurability of export credit risks

    NARCIS (Netherlands)

    Alsem, K.J.; Antufjew, J.; Huizingh, K.R.E.; Koning, Ruud H.; Sterken, E.; Woltil, M.

    2003-01-01

    Firms exporting their goods and services abroad face risks that are different from the risks faced by firms who do not engage in international trade. It is common practice to allow the receiving party to pay in instalments. The exporting firm faces credit risk, but as in most countries, Dutch firms

  19. Insurability of export credit risks

    NARCIS (Netherlands)

    Alsem, K.J.; Antufjew, J.; Huizingh, K.R.E.; Koning, Ruud H.; Sterken, E.; Woltil, M.

    2003-01-01

    Firms exporting their goods and services abroad face risks that are different from the risks faced by firms who do not engage in international trade. It is common practice to allow the receiving party to pay in instalments. The exporting firm faces credit risk, but as in most countries, Dutch firms

  20. Credit risk assessment model for Jordanian commercial banks: Neural scoring approach

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    Hussain Ali Bekhet

    2014-01-01

    Full Text Available Despite the increase in the number of non-performing loans and competition in the banking market, most of the Jordanian commercial banks are reluctant to use data mining tools to support credit decisions. Artificial neural networks represent a new family of statistical techniques and promising data mining tools that have been used successfully in classification problems in many domains. This paper proposes two credit scoring models using data mining techniques to support loan decisions for the Jordanian commercial banks. Loan application evaluation would improve credit decision effectiveness and control loan office tasks, as well as save analysis time and cost. Both accepted and rejected loan applications, from different Jordanian commercial banks, were used to build the credit scoring models. The results indicate that the logistic regression model performed slightly better than the radial basis function model in terms of the overall accuracy rate. However, the radial basis function was superior in identifying those customers who may default.

  1. Panel Random Analysis of Credit Risk in Business

    Institute of Scientific and Technical Information of China (English)

    LIU Wei; ZHOU Yue-mei; ZHOU Ke

    2005-01-01

    Market economy is a kind of credit economy.The survival and development of an individual in the society are closely related with his credit. Without credit, market economy can not continue, the society can hardly run in good order and good health. This paper defines the basic concept of trade credit risk with its manifestation and brings forward the basic mode quantitatively analyzing the credit risk. The data structure of information is analyzed, the decomposition model of credit risk is structured and with the aid of statistical analysis, including regression analysis, analysis of variance, test of hypothesized, the description, classification, certification and confirmation of credit risk model are completed, then, we can describe and control the credit risk with the model to provide basis when building credit support system in today's society.

  2. CREDIT RISK MINIMIZATION WAYS AND PRICING OF BANKING SERVICES

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    V. E. Gladkova

    2011-01-01

    Full Text Available Accurate accounting of own expenses on rendering banking services and forming reasonable prices for them make it possible for commercial banks to adequately react to market situation changes. Credit risk minimization comprises: credit rationing (in Russia according to RF Central Bank norms; credit diversification; credit structuring; and forming reserves to cover respective bank risks (also in accordance with RF CB documents. Effective is bank credit hedging (insuring through credit derivatives. Most advanced at international finance markets are such risk minimization systems as Basel-II and IRBA. Pricing models based on individual assessment of each borrower’s risk class (Risk Based Pricing approach are widely used.

  3. THE APPLICABILITY OF THE EDMISTER MODEL FOR THE ASSESSMENT OF CREDIT RISK IN CROATIAN SMEs

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    Danijela Milos Sprcic

    2013-06-01

    Full Text Available In this paper the applicability of the Edmister model for the assessment of credit risk in small and medium sized enterprises (SMEs was examined by testing the hypothesis that the Edmister model is applicable for predicting financial difficulties of SMEs in Croatia. Data from a data base of financial reports of SMEs in Croatia managed by FINA, as well as internal data and records of one of the major banks in Croatia were used. Data of 822 enterprises were collected and analysed. The Edmister Z-score was calculated for all 822 SMEs and finally only enterprises with the Edmister Z-score lower than 0.47 or higher than 0.53 (a total of 760 enterprises were selected to the final research sample. A method of classification analysis and compliance measurement Cohen’s Kappa were used for testing the research hypothesis. On the basis of the research results, it can be concluded that the Edmister model is not applicable for predicting financial difficulties of SMEs in Croatia.

  4. Monitoring of Credit Risk through the Cycle: Risk Indicators

    OpenAIRE

    Yashkir, Olga; Yashkir, Yuriy

    2013-01-01

    The new Credit Risk Indicator (CRI) based on credit rating migration matrices is introduced. We demonstrate strong correlation between CRI and a number of defaults through several business cycles. The new model for the simulation of the annual number of defaults, based on the 1st quarter CRI data, is proposed.

  5. Theory and Method of Commercial Bank Credit Risk Measurement

    Institute of Scientific and Technical Information of China (English)

    BeimingXiao; JinlinLi

    2004-01-01

    Calculating and measuring credit risk is the key technique of commercial bank management. International relative achievements mainly include Z and ZETA modelof Altman, Standard&pool external rating system, Moody external rating system, KMV model, CreditMetrics model, CreditRisk model, McKinsey model and so on. Chinese relative achievements mainly includes: credit score method, comprehensive estimating method,discriminative analysis method, artificial neural network method etc. This paper analyzes the relative research achievements of credit risk measurement and the future research trend.

  6. Statistical methods in credit risk management

    Directory of Open Access Journals (Sweden)

    Ljiljanka Kvesić

    2012-12-01

    Full Text Available Successful banks base their operations on the principles of liquidity, profitability and safety. Therefore, the correct assessment of the ability of a loan applicant to carry out certain obligations is of crucial importance for the functioning of a bank. In the past few decades several credit scoring models have been developed to provide support to credit analysts in the assessment of a loan applicant. This paper presents three statistical methods that are used for this purpose in the area of credit risk management: logistical regression, discriminatory analysis and survival analysis. Their implementation in the banking sector was motivated to a great extent by the development and application of information and communication technologies. This paper aims to point out the most important theoretical aspects of these methods, but also to actualise the need for the development and application of the credit scoring model in Croatian banking practice.

  7. Credit Rationing Effects of Credit Value-at-Risk

    OpenAIRE

    Slijkerman, J.F.; Smant, David; Vries, Casper

    2004-01-01

    textabstractBanks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation distorts the operation of credit markets. We show that a binding CVaR constraint introduces credit rationing and lowers...

  8. 76 FR 24089 - Credit Risk Retention

    Science.gov (United States)

    2011-04-29

    ... Department of Housing and Urban Development 24 CFR Part 267 Credit Risk Retention; Proposed Rule #0;#0..., and HUD (the Agencies) are proposing rules to implement the credit risk retention requirements of... securitizer of asset-backed securities to retain not less than five percent of the credit risk of the...

  9. A Method for Forecasting Credit Risk of Global Device Purchasing

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    With the development of the Internet and E-commerce, enterprises can achieve global device purchasing with a good cost performance. But the credit risk is the key factor in selecting a device provider. Credit risk involves many qualitative and quantitative factors. We construct a multi-agent credit rating model system based on CSCW, which organically combines the people's aptitude and the capability of machines. Enterprises can use this credit rating system for forecasting and defeating the credit risk of global device purchasing.

  10. A Random Matrix Approach to Credit Risk

    Science.gov (United States)

    Guhr, Thomas

    2014-01-01

    We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the tails of the loss distribution considerably, even if their average is zero. Under the assumption of randomly fluctuating correlations, a lower bound for the estimation of the loss distribution is provided. PMID:24853864

  11. A random matrix approach to credit risk.

    Science.gov (United States)

    Münnix, Michael C; Schäfer, Rudi; Guhr, Thomas

    2014-01-01

    We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the tails of the loss distribution considerably, even if their average is zero. Under the assumption of randomly fluctuating correlations, a lower bound for the estimation of the loss distribution is provided.

  12. A random matrix approach to credit risk.

    Directory of Open Access Journals (Sweden)

    Michael C Münnix

    Full Text Available We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the tails of the loss distribution considerably, even if their average is zero. Under the assumption of randomly fluctuating correlations, a lower bound for the estimation of the loss distribution is provided.

  13. COMBINING CLASSIFIERS FOR CREDIT RISK PREDICTION

    Institute of Scientific and Technical Information of China (English)

    Bhekisipho TWALA

    2009-01-01

    Credit risk prediction models seek to predict quality factors such as whether an individual will default (bad applicant) on a loan or not (good applicant). This can be treated as a kind of machine learning (ML) problem. Recently, the use of ML algorithms has proven to be of great practical value in solving a variety of risk problems including credit risk prediction. One of the most active areas of recent research in ML has been the use of ensemble (combining) classifiers. Research indicates that ensemble individual classifiers lead to a significant improvement in classification performance by having them vote for the most popular class. This paper explores the predicted behaviour of five classifiers for different types of noise in terms of credit risk prediction accuracy, and how could such accuracy be improved by using pairs of classifier ensembles. Benchmarking results on five credit datasets and comparison with the performance of each individual classifier on predictive accuracy at various attribute noise levels are presented. The experimental evaluation shows that the ensemble of classifiers technique has the potential to improve prediction accuracy.

  14. Credit Rationing Effects of Credit Value-at-Risk

    NARCIS (Netherlands)

    J.F. Slijkerman; D.J.C. Smant (David); C.G. de Vries (Casper)

    2004-01-01

    textabstractBanks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem of low quality, i.e. high risk, loans and

  15. Stress Testing Credit Risk: A Survey of Authorities' Aproaches

    OpenAIRE

    Antonella Foglia

    2009-01-01

    This paper reviews the quantitative methods developed at selected authorities for stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank-specific measures of credit risk (macro stress test). Authorities with a mandate for financial stability are particularly interested in quantifying the macro-to-micro linkages and have developed specific modeling expertise in this field. Stress testing credit risk is also an essential element ...

  16. Credit Risk Transfer: To Sell or to Insure

    OpenAIRE

    James R Thompson

    2007-01-01

    This paper analyzes credit risk transfer in banking. Specifically, we model loan sales and loan insurance (e.g. credit default swaps) as the two instruments of risk transfer. Recent empirical evidence suggests that the adverse selection problem is as relevant in loan insurance as it is in loan sales. Contrary to previous literature, this paper allows for informational asymmetries in both markets. We show how credit risk transfer can achieve optimal investment and minimize the social costs ass...

  17. Credit Risk Transfer and Crunches

    DEFF Research Database (Denmark)

    Wigan, Duncan

    2010-01-01

    banks as risk navigators and generated a competitive hierarchy within the global banking industry determined on a gauge of this capacity. This private regulatory regime promoted market inflation and rendered institutional liquidity and risk transfer definitive of market power. In turn, a ballooning...... credit derivatives market broke the limits of financial production and defined state actions in the face of crisis. A shift from a central concern with solvency to that of liquidity thinly masks a profound redistribution of power from the public to the private. By swapping private assets of uncertain...... value for government bonds, central banks have effectively recognised that the products of innovation in the private sphere are global money. The state is in a curious bind. It takes on limitless exposure to private liabilities while its reform agenda is constrained to calling for greater levels...

  18. A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling

    CERN Document Server

    Cirillo, Pasquale; Muliere, Pietro

    2010-01-01

    In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main purpose when studying a FS is to calculate the probability of default and the distribution of the number of failures that may occur during the observation period. A model used to study a failing system is defined default model. In particular, we present a general recursive model constructed by the means of inter- acting urns. After introducing the theoretical model and its properties we show a first application to credit risk modeling, showing how to assess the idiosyncratic probability of default of an obligor and the joint probability of failure of a set of obligors in a portfolio of risks, that are divided into reliability classes.

  19. Determining threshold default risk criterion for trade credit granting

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    To solve the problem of setting threshold default risk criterion to select retailer eligible for trade credit granting, a novel method of solving simultaneous equations is proposed. This method is based on the bilevel programming modeling of trade credit decisions as an interaction between supplier and retailer. First, the bilevel programming is set up where the supplier decides on credit terms at the top level considering a retailer's default risk, and the retailer determines the order quantity at the lowe...

  20. Predicting China’s SME Credit Risk in Supply Chain Financing by Logistic Regression, Artificial Neural Network and Hybrid Models

    Directory of Open Access Journals (Sweden)

    You Zhu

    2016-05-01

    Full Text Available Based on logistic regression (LR and artificial neural network (ANN methods, we construct an LR model, an ANN model and three types of a two-stage hybrid model. The two-stage hybrid model is integrated by the LR and ANN approaches. We predict the credit risk of China’s small and medium-sized enterprises (SMEs for financial institutions (FIs in the supply chain financing (SCF by applying the above models. In the empirical analysis, the quarterly financial and non-financial data of 77 listed SMEs and 11 listed core enterprises (CEs in the period of 2012–2013 are chosen as the samples. The empirical results show that: (i the “negative signal” prediction accuracy ratio of the ANN model is better than that of LR model; (ii the two-stage hybrid model type I has a better performance of predicting “positive signals” than that of the ANN model; (iii the two-stage hybrid model type II has a stronger ability both in aspects of predicting “positive signals” and “negative signals” than that of the two-stage hybrid model type I; and (iv “negative signal” predictive power of the two-stage hybrid model type III is stronger than that of the two-stage hybrid model type II. In summary, the two-stage hybrid model III has the best classification capability to forecast SMEs credit risk in SCF, which can be a useful prediction tool for China’s FIs.

  1. Modelling the predictive performance of credit scoring

    Directory of Open Access Journals (Sweden)

    Shi-Wei Shen

    2013-02-01

    Full Text Available Orientation: The article discussed the importance of rigour in credit risk assessment.Research purpose: The purpose of this empirical paper was to examine the predictive performance of credit scoring systems in Taiwan.Motivation for the study: Corporate lending remains a major business line for financial institutions. However, in light of the recent global financial crises, it has become extremely important for financial institutions to implement rigorous means of assessing clients seeking access to credit facilities.Research design, approach and method: Using a data sample of 10 349 observations drawn between 1992 and 2010, logistic regression models were utilised to examine the predictive performance of credit scoring systems.Main findings: A test of Goodness of fit demonstrated that credit scoring models that incorporated the Taiwan Corporate Credit Risk Index (TCRI, micro- and also macroeconomic variables possessed greater predictive power. This suggests that macroeconomic variables do have explanatory power for default credit risk.Practical/managerial implications: The originality in the study was that three models were developed to predict corporate firms’ defaults based on different microeconomic and macroeconomic factors such as the TCRI, asset growth rates, stock index and gross domestic product.Contribution/value-add: The study utilises different goodness of fits and receiver operator characteristics during the examination of the robustness of the predictive power of these factors.

  2. Time-varying credit risk and liquidity premia in bond and CDS markets

    OpenAIRE

    Bühler, Wolfgang; Trapp, Monika

    2009-01-01

    We develop a reduced-form model that allows us to decompose bond spreads and CDS premia into a pure credit risk component, a pure liquidity component, and a component measuring the relation between credit risk and liquidity. CDS liquidity has important consequences for the bond credit risk and liquidity components. Besides the credit risk link, we document a liquidity link between the bond and the CDS market. Liquidity in both markets dries up as credit risk increases, and higher bond market ...

  3. THE CREDIT AND CREDIT RISK MANAGEMENT DURING THE CRISIS

    Directory of Open Access Journals (Sweden)

    Chitan Gheorghe

    2012-03-01

    Full Text Available Considering the importance of credit risk management to ensure the financial system stability,the paper presents financial and real sector interaction highlighting that credit growth based on increase of creditdemand, of income, of assets prices, of currency availability, the interest rate differential between countries andrelaxation of regulatory framework, leaves banks more vulnerable to subsequent downturn in economic activity andasset prices. It also outlines the steps taken or those I think that should be implemented in terms of improving creditrisk management, implementation of regulatory measures to limit credit expansion, enforcing the regulatoryrequirements for covering the expected and unexpected losses, introduction of new surveillance tools aimed to leadto a more resilient financial system.

  4. Sovereign Credit Risk, Liquidity and ECB Intervention

    DEFF Research Database (Denmark)

    Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide

    This paper explores the interaction between credit risk and liquidity, in the context of the intervention by the European Central Bank (ECB), during the Euro-zone crisis. The laboratory for our investigation is the Italian sovereign bond market, the largest in the Euro-zone. We use a unique data...... break following the announcement of the implementation of the Long-Term Re nancing Operations (LTRO) by the European Central Bank (ECB) on December 8, 2012. The improvement in liquidity in the Italian government bond market strongly attenuated the dynamic relationship between credit risk and market...... between changes in Italian sovereign credit risk and liquidity in the secondary bond market, conditional on the level of credit risk, measured by the Italian sovereign credit default swap (CDS) spread. We demonstrate the existence of a threshold of 500 basis points (bp) in the CDS spread, above which...

  5. Long-range Ising model for credit portfolios with heterogeneous credit exposures

    Science.gov (United States)

    Kato, Kensuke

    2016-11-01

    We propose the finite-size long-range Ising model as a model for heterogeneous credit portfolios held by a financial institution in the view of econophysics. The model expresses the heterogeneity of the default probability and the default correlation by dividing a credit portfolio into multiple sectors characterized by credit rating and industry. The model also expresses the heterogeneity of the credit exposure, which is difficult to evaluate analytically, by applying the replica exchange Monte Carlo method to numerically calculate the loss distribution. To analyze the characteristics of the loss distribution for credit portfolios with heterogeneous credit exposures, we apply this model to various credit portfolios and evaluate credit risk. As a result, we show that the tail of the loss distribution calculated by this model has characteristics that are different from the tail of the loss distribution of the standard models used in credit risk modeling. We also show that there is a possibility of different evaluations of credit risk according to the pattern of heterogeneity.

  6. 12 CFR 704.6 - Credit risk management.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Credit risk management. 704.6 Section 704.6... CREDIT UNIONS § 704.6 Credit risk management. (a) Policies. A corporate credit union must operate according to a credit risk management policy that is commensurate with the investment risks and...

  7. Use of Modern Methods of Credit Portfolio Risk Management in Commercial Banks of Russian Federation

    National Research Council Canada - National Science Library

    Dmitrii S. Melnyk

    2013-01-01

    The article deals with the structure and factors of credit portfolio risk, analyses existing models of portfolio risk assessment and develops recommendations on the implementation of risk management...

  8. Modeling Cycle Dependence in Credit Insurance

    Directory of Open Access Journals (Sweden)

    Anisa Caja

    2014-03-01

    Full Text Available Business and credit cycles have an impact on credit insurance, as they do on other businesses. Nevertheless, in credit insurance, the impact of the systemic risk is even more important and can lead to major losses during a crisis. Because of this, the insurer surveils and manages policies almost continuously. The management actions it takes limit the consequences of a downturning cycle. However, the traditional modeling of economic capital does not take into account this important feature of credit insurance. This paper proposes a model aiming to estimate future losses of a credit insurance portfolio, while taking into account the insurer’s management actions. The model considers the capacity of the credit insurer to take on less risk in the case of a cycle downturn, but also the inverse, in the case of a cycle upturn; so, losses are predicted with a more dynamic perspective. According to our results, the economic capital is over-estimated when not considering the management actions of the insurer.

  9. Theoretical concept of credit risk management

    Directory of Open Access Journals (Sweden)

    Dragosavac Miloš

    2014-01-01

    Full Text Available With the development of the banking business and the economy, exposure to different types of risk becomes greater. Identifying all risks and adequate measures have become an extremely important factor in business success in the increasingly complex economic conditions. Risks in business, in the last ten years have become the burning issue in debates among the scientific experts. With the aim of stable development of its business and equal participation in a large competitive market, primarily in order to protect its depositors and preserve system stability and liquidity, banks have to incorporate into their strategic goals the strategies of banking risks. Credit risk is of great value within the overall risks that accompany the business activity of banks, economy, and other forms of business organization. Its nature and presence in all segments of the business activities speak enough about its importance and the need for its management. Permanently growing trend of credit risk is a reality faced by not only the banking organization, but also the subjects in the economic and non-economic sector, which makes the issue of credit risk extremely important and relevant. The subject of this paper is a theoretical analysis of credit risk in banking business. Banking operations are increasingly exposed to credit risk, which indicates the inability of banks to settle their claims based on previously approved loans, and this is the case-in-point for this specific research subject.

  10. Effects of Economic Interactions on Credit Risk

    CERN Document Server

    Hatchett, J P L

    2005-01-01

    We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive, business relations is taken into account. We provide an analytic solution of the model in a limit where the number of business relations of each company is large, but the overall fraction of the economy with which a given company interacts may be small. While the effects of economic interactions are relatively weak in typical (most probable) scenarios, they are pronounced in situations of economic stress, and thus lead to a substantial fattening of the tails of loss distributions in large loan portfolios. This manifests itself in a pronounced enhancement of the Value at Risk computed for interacting economies in comparison with their non-interacting counterparts.

  11. Sovereign Credit Risk, Liquidity, and ECB Intervention

    DEFF Research Database (Denmark)

    Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide

    This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using comprehensive set of liquidity measures obtained from a detailed, quote-level dataset for the largest interdealer market...... for Italian government bonds, we show that changes in credit risk, as measured by the credit default swap (CDS) spread, generally drive the liquidity of the market. The relationship is stronger and tighter when the CDS spread is above 500 basis points. This threshold was estimated endogenously and can...... be ascribed mainly to changes in margins and collateral. Moreover, we show that the long-term refinancing operations (LTRO) intervention by the ECB weakened the sensitivity of the liquidity provision by the market makers to changes in the Italian government's credit risk, by providing them with vastly...

  12. Sovereign Risk and the Pricing of Corporate Credit Default Swaps

    OpenAIRE

    Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone

    2015-01-01

    Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact in-creases throughout the sovereign debt crisis in 2010-2011 and is more distinctive for Euro-zone countries that were more exposed...

  13. Credit risk enhancement in a network of interdependent firms

    Science.gov (United States)

    Neu, Peter; Kühn, Reimer

    2004-11-01

    We generalize existing structural models for credit risk to capture the impact of counterparty defaults on economic capital allocated to banks’ loan portfolios. Exploring the analogy to a lattice gas model from physics, correlations between sequential defaults are modeled as due to functionally defined, heterogeneous couplings between mutually dependent counterparties. We show that-already for moderate micro-economic dependencies-counterparty risk results in a fattening of the tails in the portfolio loss distribution. In particular, for stronger mutually supportive relationship between the firms, collective phenomena such as bursts and avalanches of defaults can be observed in the model. In this context, traditional credit risk models are inadequate because they underestimate the required capital buffer. Our model setting is particularly applicable for doing stress analyses of credit risk in loan portfolios.

  14. Credit risk evaluation based on social media.

    Science.gov (United States)

    Yang, Yang; Gu, Jing; Zhou, Zongfang

    2016-07-01

    Social media has been playing an increasingly important role in the sharing of individuals' opinions on many financial issues, including credit risk in investment decisions. This paper analyzes whether these opinions, which are transmitted through social media, can accurately predict enterprises' future credit risk. We consider financial statements oriented evaluation results based on logit and probit approaches as the benchmarks. We then conduct textual analysis to retrieve both posts and their corresponding commentaries published on two of the most popular social media platforms for financial investors in China. Professional advice from financial analysts is also investigated in this paper. We surprisingly find that the opinions extracted from both posts and commentaries surpass opinions of analysts in terms of credit risk prediction.

  15. Consumer Credit Risk Management in an Emerging Market: The Case of China

    Institute of Scientific and Technical Information of China (English)

    Xiaoqing Eleanor Xu; Jiong Liu

    2006-01-01

    With the liberalization of the financial service sector mandated by China 's access to the WTO, China 's credit card market has received a great deal of attention from global financial institutions. This paper examines the enormous growth opportunities and key barriers facing the development of the credit card industry in China, and discusses the importance and tools of consumer credit risk management. In the process of rapid expansion of China's consumer credit card industry, credit risk management should be treated as a top priority to avoid a pile up of bad debt in credit card receivables. This requires the development of an updated and comprehensive national consumer credit database and the use of credit risk modeling and scoring in predicting consumer behavior. As structured finance develops in China, the securitization of credit card receivables into asset-backed securities might also serve as an alternative to traditional credit risk management.

  16. Modelling of and empirical studies on portfolio choice, option pricing, and credit risk

    NARCIS (Netherlands)

    Polbennikov, S.Y.

    2005-01-01

    This thesis develops and applies a statistical spanning test for mean-coherent regular risk portfolios. Similarly in spirt to Huberman and Kandel (1987), this test can be implemented by means of a simple semi-parametric instrumental variable regression, where instruments have a direct link with a st

  17. Modelling of and empirical studies on portfolio choice, option pricing, and credit risk

    NARCIS (Netherlands)

    Polbennikov, S.Y.

    2005-01-01

    This thesis develops and applies a statistical spanning test for mean-coherent regular risk portfolios. Similarly in spirt to Huberman and Kandel (1987), this test can be implemented by means of a simple semi-parametric instrumental variable regression, where instruments have a direct link with a

  18. 12 CFR 702.108 - Risk mitigation credit.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Risk mitigation credit. 702.108 Section 702.108... CORRECTIVE ACTION Net Worth Classification § 702.108 Risk mitigation credit. (a) Who may apply. A credit union may apply for a risk mitigation credit if on any of the current or three preceding effective dates...

  19. 25 CFR 140.23 - Credit at trader's risk.

    Science.gov (United States)

    2010-04-01

    ... 25 Indians 1 2010-04-01 2010-04-01 false Credit at trader's risk. 140.23 Section 140.23 Indians....23 Credit at trader's risk. Credit given Indians will be at the trader's own risk, as no assistance... accept pawns or pledges of personal property by Indians to obtain credit or loans. ...

  20. Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets

    DEFF Research Database (Denmark)

    Feldhütter, Peter; Nielsen, Mads Stenbo

    2012-01-01

    We present a new estimation approach that allows us to extract from spreads in synthetic credit markets the contribution of systematic and idiosyncratic default risk to total default risk. Using an extensive dataset of 90,600 credit default swap and collateralized debt obligation (CDO) tranche...... spreads on the North American Investment Grade CDX index, we conduct an empirical analysis of an intensity-based model for correlated defaults. Our results show that systematic default risk is an explosive process with low volatility, while idiosyncratic default risk is more volatile but less explosive...

  1. Credit risk constraint mechanisms in rural financial reform

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    To research the operating mechanisms of rural financial reform, through setting up a contract model, the constraint roles of reputation and legal intervention on the default risk arising in the operating of the credit union funds are inspected. Analysis indicates that the increase in reputation cost can reduce the probability of union member default behavior and the probability of turning to the law for the credit union funds. Meanwhile, the amount of loans and the interest rates can increase the probabilit...

  2. Credit Scoring Modeling

    Directory of Open Access Journals (Sweden)

    Siana Halim

    2014-01-01

    Full Text Available It is generally easier to predict defaults accurately if a large data set (including defaults is available for estimating the prediction model. This puts not only small banks, which tend to have smaller data sets, at disadvantage. It can also pose a problem for large banks that began to collect their own historical data only recently, or banks that recently introduced a new rating system. We used a Bayesian methodology that enables banks with small data sets to improve their default probability. Another advantage of the Bayesian method is that it provides a natural way for dealing with structural differences between a bank’s internal data and additional, external data. In practice, the true scoring function may differ across the data sets, the small internal data set may contain information that is missing in the larger external data set, or the variables in the two data sets are not exactly the same but related. Bayesian method can handle such kind of problem.

  3. Overrated credit risk: three essays on credit risk in turbulent times

    NARCIS (Netherlands)

    Bongaerts, D.G.J.

    2010-01-01

    Credit markets have shown a dramatic development at the start of the 21st century. Increased regulatory pressure on financial institutions has spurred the development of innovative products that allow for transfer of credit risk. These developments lay at the base of the largest financial crisis

  4. Overrated credit risk: three essays on credit risk in turbulent times

    NARCIS (Netherlands)

    Bongaerts, D.G.J.

    2010-01-01

    Credit markets have shown a dramatic development at the start of the 21st century. Increased regulatory pressure on financial institutions has spurred the development of innovative products that allow for transfer of credit risk. These developments lay at the base of the largest financial crisis sin

  5. CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK

    Directory of Open Access Journals (Sweden)

    O. Solodka

    2015-03-01

    Full Text Available In the article the economic nature and the functioning of CDS in terms of efficient redistribution of credit risk. The features of the dynamics of the nominal volume of the world market CDS, the gross market value and net market value of the CDS. Proved that more objective indicators of total credit risk shenerovanoho financial institutions are gross market value of the CDS and the net market value of CDS. We consider the variety and scope of CDS. Studied objectivity CDS valuation depending on the basis for valuation of CDS. In the mechanism of functioning CDS credit event as defined default “subject matter”, the features of conventional and technical default. Noted that a credit event for the use of CDS may also restructuring the company, bankruptcy or downgrade economic entity. In the article the types of CDS, including Basket Default Swap and First-of- Basket-to-Default Swap. We consider the application of CDS, namely hedge the credit risk of the underlying asset, which issued CDS; hedging credit risk of other assets by CDS; speculative trading in CDS. Depending on the particular basis for valuation of CDS, investigated objective valuation based on the value of CDS hedging; valuation CDS, based on the intensity of default; CDS valuation based on credit rating; valuation CDS, based on the value of the company. Proved that hedging through CDS will be effective only for the low correlation between the default of the underlying asset and counterparty default on swaps. It is proved that the accuracy and redutsyrovanyh structural models strongly depends on the “a long history of trading” underlying assets, asset must have a long history of trading, be the subject of in-depth analysis of a wide range of analysts and traders.

  6. How much of bank credit risk is sovereign risk? Evidence from the eurozone

    OpenAIRE

    Junye Li; Gabriele Zinna

    2014-01-01

    We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign-specific defaults (country risk). Then, we quantify individual banks' exposures to each type of sovereign risk, as well as bank-specific credit risk. Banks� sovereign risk exposures vary with banks� size, their holdings of sovereign debt, and expected governme...

  7. Understanding Credit Risk: A Classroom Experiment

    Science.gov (United States)

    Servatka, Maros; Theocharides, George

    2011-01-01

    This classroom experiment introduces students to the notion of credit risk and expected return, by allowing them to trade on comparable corporate bond issues from two types of markets: investment-grade and high-yield markets. Investment-grade issues have a lower probability of default than high-yield issues and thus provide a lower yield.…

  8. Understanding Credit Risk: A Classroom Experiment

    Science.gov (United States)

    Servatka, Maros; Theocharides, George

    2011-01-01

    This classroom experiment introduces students to the notion of credit risk and expected return, by allowing them to trade on comparable corporate bond issues from two types of markets: investment-grade and high-yield markets. Investment-grade issues have a lower probability of default than high-yield issues and thus provide a lower yield.…

  9. Internal controls and credit risk relationship among banks in Europe

    Directory of Open Access Journals (Sweden)

    Ellis Kofi Akwaa-Sekyi

    2017-01-01

    Full Text Available Purpose: The study purport to investigate the effectiveness of internal control mechanisms, investigate whether evidence of agency problem is found among banks in Europe and determine how internal controls affect credit risk. Design/methodology/approach: Panel data from 91 banks from 23 European Union countries were studied from 2008-2014. Hausman’s specification test suggest the use of fixed effects estimation technique of GLS. Quantitatively modelled data on 15 variables covering elements of internal controls, objectives of internal controls, agency problem, bank and country specific variables were used. Findings: There is still high credit risk in spite of measures being implemented by the European Central Bank. Banks have individual entity factors that increase or decrease credit risk. The study finds effective internal control systems because objectives of internal controls are achieved and significantly determine credit risk. Agency problem is confirmed due to significant positive relation with credit risk. There is significant effect of internal controls on credit risk with specific variables as risk assessment, return on average risk weighted assets, institutional ownership, bank size, inflation, interest rate and GDP. Research limitations/implications: Missing data prevented the use of strongly balanced panel. The lack of flexibility with using quantitative approach did not allow further scrutiny of the nature of variables. However, statistical tests were acceptable for the model used. The study has implications for management and owners of banks to be warry of agency problem because that provides incentive for reckless high risk transactions that may benefit the agent than the principal. Management must engage in actions that profile the company better and enhances value maximization. Rising default risk has tendency to impair corporate image leading to loss of reputational capital. Originality/value: The study provides the use of

  10. Portfolio Allocation Subject to Credit Risk

    Directory of Open Access Journals (Sweden)

    Rogerio de Deus Oliveira

    2003-12-01

    Full Text Available 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 highly costly Monte Carlo simulations which consider different stochastic factors driving the uncertainly associated to the borrowers liabilities. In this paper, under some restrictions, we drive closed form formulas for the probability distributions of default rates of bank loans products involving a big number of clients. This allows us to quickly obtain the credit risk of such products. Moreover, using these probability distributions, we solve the problem of optimal portfolio allocation under default risk.

  11. 银行信贷风险评估的数学建模仿真分析%Mathematical Modeling and Simulation Analysis of Bank Credit Risk Assessment

    Institute of Scientific and Technical Information of China (English)

    刘洋

    2015-01-01

    The special features in our country's economic development bring many risks and difficulties to china's banks’ development, among which the most typical one is bank credit risk, it has seriously hindered the normal development of China's bank enterprises, meanwhile aggravates enterprises’difficulty in implementing bank credit. Therefore, it is of great significance to strengthen risk assessment of bank credit. Setting bank credit risk assessment as the research back⁃ground, the article puts forward the mathematical simulation model analysis combining with the practical situation of actu⁃al market, so as to provide reliable basis for the operation and management of bank credit risk assessment.%我国经济特殊发展性质决定我国银行发展面临诸多风险困难,尤其是银行信贷风险问题表现最突出,严重阻碍我国银行企业正常发展,同时也加剧各大企业向银行施行贷款困难性。因此,加强银行信贷风险评估,具有重大意义。本文以银行信贷风险评估为研究背景,结合实际市场实际情况提出数学仿真模型分析,便于为银行信贷风险评估操作、管理提供可靠依据。

  12. The impact of credit risk assessment on credit activity of commercial banks

    Directory of Open Access Journals (Sweden)

    Ljubić Marijana

    2015-01-01

    Full Text Available As banks have great social responsibility and are a subject to a specific and extensive regulations, one of the being Basel, the authors of this paper focus on the impact of credit risk assessment on credit activity of commercial banks. The authors of this paper provide a standard for risk management and an insight into directions on how to manage credit risk in the most efficient way and how to assess credit rating of a borrower.

  13. Credit Monitoring – a Core of Credit Risk Management: Theory and Experience

    Directory of Open Access Journals (Sweden)

    Daiva Jurevičienė

    2013-11-01

    Full Text Available Purpose of the article: Purpose of the article is to identify credit monitoring as a keystone of credit risk management in banks. CRM is widely discussed in scientific literature and in reports of institutions undertaking credit risk or supervisory bodies. However majority of such investigations are based on implementation of numerous quantitative or qualitative methods used for credit risk assessment before granting a loan or for credit portfolio risk management. There is a lack of information or investigations made on estimation of the need of credit monitoring in credit risk management process. Scientific aim: Scientific aim is to structure the early warning signs that reflect the condition of credits. Methodology/methods: The paper is based on analysis and resumption of various scientific and professional articles related to organization of credit process in banks. It combines results of assessments of credit monitoring importance in credit risk management process made by theoretical studies as well as investigation of experts. Findings: Finding of the article is presentation of credit monitoring tools that should be applied for corporate (and individual clients via modification of original credit agreement. Conclusions: (limits, implications etc Conclusion of the article is that credit monitoring is a keystone in credit risk management process. The purpose of credit monitoring is to detect in time possible worsening of the loan and to react (make changes in loan agreement. The simplest tool for credit monitoring is to identify early warning signs in time that could be assorted into four groups: EWS of business environment; EWS with regard to management, EWS regarding collateral, EWS in financial analysis. Limitation of investigation is impossibility of evaluation of importance of monitoring process in practice except investigation of experts (employees directly responsible for credit business.

  14. Prepayment risk, impact on credit products

    Directory of Open Access Journals (Sweden)

    Dan Costin NIŢESCU

    2012-08-01

    Full Text Available Credit pricing is always an important aspect of operations of banks, as loans are generally two thirds of bank assets. Therefore, the study of factors influencing a bank customer behavior and their impact on early repayment of loans may have a significant influence in reducing the risk assumed by such unexpected operations.Objective analysis of prepayment risk is to estimate the probability of repayment to better manage its manifestation. The existence of potential customers that use this option exposes the bank to a number of risks, such as interest rate risk, the maturity mismatch risk and liquidity risk.Proper evaluation and forecasting the evolution of this risk can bring great benefits for a credit institution in the management of loan products and customer relationship: lower risk of over-ensure against fixed rate mortgage, a better management of short-term and long term liquidity needs (thus reducing the risk of over-financing can offer customers more competitive pricing (achieved by reducing funding costs due to better assessment and management of risks involved early repayment.

  15. Customer Credit Risk Assessment using Artificial Neural Networks

    National Research Council Canada - National Science Library

    Nasser Mohammadi; Maryam Zangeneh

    2016-01-01

    Since the granting of banking facilities in recent years has faced problems such as customer credit risk and affects the profitability directly, customer credit risk assessment has become imperative...

  16. Customer Credit Risk Assessment using Artificial Neural Networks

    Directory of Open Access Journals (Sweden)

    Nasser Mohammadi

    2016-03-01

    Full Text Available Since the granting of banking facilities in recent years has faced problems such as customer credit risk and affects the profitability directly, customer credit risk assessment has become imperative for banks and it is used to distinguish good applicants from those who will probably default on repayments. In credit risk assessment, a score is assigned to each customer then by comparing it with the cut-off point score which distinguishes two classes of the applicants, customers are classified into two credit statuses either a good or bad applicant. Regarding good performance and their ability of classification, generalization and learning patterns, Multilayer Perceptron Neural Network model trained using various Back-Propagation (BP algorithms considered in designing an evaluation model in this study. The BP algorithms, Levenberg-Marquardt (LM, Gradient descent, Conjugate gradient, Resilient, BFGS Quasinewton, and One-step secant were utilized. Each of these six networks runs and trains for different numbers of neurons within their hidden layer. Mean squared error (MSE is used as a criterion to specify optimum number of neurons in the hidden layer. The results showed that LM algorithm converges faster to the network and achieves better performance than the other algorithms. At last, by comparing classification performance of neural network with a number of classification algorithms such as Logistic Regression and Decision Tree, the neural network model outperformed the others in customer credit risk assessment. In credit models, because the cost that Type II error rate imposes to the model is too high, therefore, Receiver Operating Characteristic curve is used to find appropriate cut-off point for a model that in addition to high Accuracy, has lower Type II error rate.

  17. Study on the Credit Risk in Societies with Agricultural Profile

    Directory of Open Access Journals (Sweden)

    Jenica POPESCU

    2015-09-01

    Full Text Available The credit risk is one of the most important risks the banks face in their daily work and it has a direct impact on bank performance. In the current context, a bank has available a variety of options to determine capital requirements, to decrease the credit risk. This study aims to analyze the correlation of the main indicators of creditworthiness of firms and the credit risk, that a bank will take giving credit to these firms.

  18. 49 CFR 260.15 - Credit risk premium.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 4 2010-10-01 2010-10-01 false Credit risk premium. 260.15 Section 260.15... REHABILITATION AND IMPROVEMENT FINANCING PROGRAM Overview § 260.15 Credit risk premium. (a) Where available... pay to the Administrator a Credit Risk Premium adequate to cover that portion of the subsidy cost not...

  19. Credit risk estimate using internal explicit knowledge

    Directory of Open Access Journals (Sweden)

    Abdallah Al-Shawabkeh

    2017-03-01

    Full Text Available Jordanian banks traditionally use a set of indicators, based on their internal explicit knowledge to examine the credit risk caused by default loans of individual borrowers. The banks are reliant on the personal and financial information of the borrowers, obtained by knowing them, often referred as internal explicit knowledge. Internal explicit knowledge characterizes both financial and non-financial indicators of individual borrowers, such as; loan amount, educational level, occupation, income, marital status, age, and gender. The authors studied 2755 default or non-performing personal loan profiles obtained from Jordanian Banks over a period of 1999 to 2014. The results show that low earning unemployed borrowers are very likely to default and contribute to non-performing loans by increasing the chances of credit risk. In addition, it is found that the unmarried, younger borrowers and moderate loan amount increase the probability of non-performing loans. On the contrary, borrowers employed in private sector and at least educated to a degree level are most likely to mitigate the credit risk. The study suggests improving the decision making process of Jordanian banks by making it more quantitative and dependable, instead of using only subjective or judgemental based understanding of borrowers.

  20. Credit decision model and mechanisms under default risk%违约风险下的信贷决策模型与机制

    Institute of Scientific and Technical Information of China (English)

    庞素琳

    2012-01-01

    This article studies credit decision model and mechanisms under default risk. By taking individual rationality of a bank and incentive compatibility as constraint conditions, we propose a credit decision model with consideration of both default risk and success probability of a project. We give the credit decision mechanisms based on the strategies of the loan on mortgage and the credit loan respectively. We discuss the design methods of the mechanisms with both credit rationing and non-rationing. We get the conditions when the bank will make a credit loan or a loan on mortgage when there is credit rationing. At last, we use an example to analyse and discuss what effects the success probability of the project will have on the expectation return of the bank. We give the critical loan values of the bank and the maximum acceptable default probability for the bank with different success probabilities of the project.%研究了违约风险下的信贷决策模型与机制,通过以银行个体合理性和激励相容性作为约束条件,建立了在考虑违约风险和项目成功概率条件下的信贷决策模型,分别给出了基于抵质押贷款和信用贷款策略下的信贷决策机制,探讨了信贷配给机制与无配给机制的设计方法,给出了在信贷出现配给时银行发放信用贷款和有抵质押贷款的条件.最后运用实例详细分析并讨论了不同违约概率条件下企业项目成功概率对银行期望收益的影响,得到了银行相应的贷款临界值和在不同项目成功概率条件下银行最大可接受的违约概率.

  1. Use of Modern Methods of Credit Portfolio Risk Management in Commercial Banks of Russian Federation

    Directory of Open Access Journals (Sweden)

    Dmitrii S. Melnyk

    2013-01-01

    Full Text Available The article deals with the structure and factors of credit portfolio risk, analyses existing models of portfolio risk assessment and develops recommendations on the implementation of risk management adapted methods, presents recommendations on the optimization of the approach to credit risk minimization in Russian banking system.

  2. Use of Modern Methods of Credit Portfolio Risk Management in Commercial Banks of Russian Federation

    OpenAIRE

    Dmitrii S. Melnyk

    2013-01-01

    The article deals with the structure and factors of credit portfolio risk, analyses existing models of portfolio risk assessment and develops recommendations on the implementation of risk management adapted methods, presents recommendations on the optimization of the approach to credit risk minimization in Russian banking system.

  3. THE CREDIT RISK-COMPONENT OF THE BANKING RISKS

    Directory of Open Access Journals (Sweden)

    Tirlea Rodica

    2011-12-01

    Full Text Available The risk management means the risk identification, evaluation, quantification and the strategy to counter and to find solutions and levers which can abate or even eliminate the possibility to appear of the probable consequences if they have place. The credit generates risks. The inadequate financial state of the companies plus the economic conjuncture and the absence of the surveillance are the principal causes of the risks. From the bank perspective, the effects are materialized in total or partial looses of the borrowed capital. As consequence, to avoid these risks or to diminish it, the banks proceed to the carefully analyze of the authorized limits to offer credits, to create immobile and mobile guaranties, the carefully surveillance of the clients activity during all the time of the credit.

  4. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Niels; Wagner, Christian; Zechner, Josef

    We explore the link between a firm's stock returns and its credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent...... with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or by risk-neutral default probabilities alone. This sheds new light on the "distress puzzle", i.e. the lack of a positive relation...

  5. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Nils; Wagner, Christian; Zechner, Josef

    2014-01-01

    We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory......, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or risk-neutral default probabilities alone. This sheds new light on the “distress puzzle”—the lack of a positive relation between equity...... returns and default probabilities—reported in previous studies....

  6. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Niels; Wagner, Christian; Zechner, Josef

    We explore the link between a firm's stock returns and its credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent...... with theory, we find that firms' stock returns increase with credit risk premia estimated from CDS spreads. Credit risk premia contain information not captured by physical or by risk-neutral default probabilities alone. This sheds new light on the "distress puzzle", i.e. the lack of a positive relation...... between equity returns and default probabilities reported in previous studies....

  7. Risk of Credit Cooperatives: An analysis based on the profile of the cooperated

    Directory of Open Access Journals (Sweden)

    José Roberto de Souza Francisco

    2012-12-01

    Full Text Available This work has as purpose to analyze among the credit operations, those that generate larger breach of contract risk for the cooperative, with base in the profile of the cooperated, and to identify which the strategies can be pointed to avoid possible flaws in the next credit analyses. The work was divided in three stages. The first stage refers to the National Financial System, with the objective of demonstrating as in him the Cooperatives of Credit are inserted. The second stage approaches the System of Cooperative Credit, it presents that form is structured and his/her hierarchical level. The third stage treats of the System of Risk of Credit, in the which the risk, administration and the models of credit evaluation will be analyzed. It was verified that the most appropriate models for analysis of the Cooperatives of Credit are Credit Scoring Models and Credit Bureau, us which, through statistical techniques as the analysis discriminante and regression logistics, the characteristics of considered credits of larger breach of contract risk were demonstrated. The analysis based on identifying the "worse customer", because this generates larger breach of contract risk and it influences in the financial administration. It was ended that the most relevant variables to identify the breach of contract risk were the rude monthly income and the value liberated in the credit concession, because the largest concentration of breach of contract risk.

  8. Assessment of credit risk based on fuzzy relations

    Science.gov (United States)

    Tsabadze, Teimuraz

    2017-06-01

    The purpose of this paper is to develop a new approach for an assessment of the credit risk to corporate borrowers. There are different models for borrowers' risk assessment. These models are divided into two groups: statistical and theoretical. When assessing the credit risk for corporate borrowers, statistical model is unacceptable due to the lack of sufficiently large history of defaults. At the same time, we cannot use some theoretical models due to the lack of stock exchange. In those cases, when studying a particular borrower given that statistical base does not exist, the decision-making process is always of expert nature. The paper describes a new approach that may be used in group decision-making. An example of the application of the proposed approach is given.

  9. The Research about Collective Risk Model which is Applied in the Credit Risk of Commercial Bank%聚合风险模型在商业银行信用风险中的研究

    Institute of Scientific and Technical Information of China (English)

    王平

    2013-01-01

      This paper has defined the collective risk model of credit risk , researched the distribution situation of credit risk event of default “N” , illustrated the distribution situation of total defaults “S” in the credit combination , and summarized tow characters of it — renewability and decomposability .%  给出了信用风险聚合模型的定义,并研究了关于信用风险违约事件 N 的分布情况,同时也给出了信贷组合中总的违约金额 S 的分布情况和它的两个性质可再生性和分解性。

  10. CREDIT RISK MANAGEMENT IN THE COMMERCIAL BANKS IN ROMANIA

    Directory of Open Access Journals (Sweden)

    Mihaela SUDACEVSCHI

    2014-04-01

    Full Text Available Credit risk is one of the main risks faced by a bank. This kind of risk is generated by the crediting activity of the clients. To manage the credit risk, banks should identify the sources of the risk and to monitor their exposures. These activities mean a better knowledge of the existing and potential clients and their financial situations, by implementing new scoring methods. Also, to avoid the credit risk or to reduce losses, the banks could increase the value of guarantees required in regular credit activities, their periodically reassessment and the periodical analysis of the ability of customers to generate cash flows (for corporate clients and get constant income (for retail customers to provide repayment of credits. This paper aims to prevent and to analyze several measures of credit risk management and it assume that banks on the Romanian banking market and to identify some indices used for customers analysis.

  11. Credit Default Swaps networks and systemic risk.

    Science.gov (United States)

    Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

    2014-11-04

    Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

  12. Credit Default Swaps networks and systemic risk

    Science.gov (United States)

    Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

    2014-11-01

    Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

  13. Value at risk, bank equity and credit risk

    OpenAIRE

    Broll, Udo; Wahl, Jack E.

    2003-01-01

    We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously by bank managers.

  14. Multivariate Semi-Markov Process for Counterparty Credit Risk

    CERN Document Server

    D'Amico, Guglielmo; Salvi, Giovanni

    2011-01-01

    In this work we define a multivariate semi-Markov process. We derive an explicit expression for the transition probability of this multivariate semi-Markov process in the discrete time case. We apply this multivariate model to the study of the counterparty credit risk, with regard to correlation in a CDS contract. The financial crisis has stressed the importance of the study of the correlation in the financial market. In this regard, the study of the risk of default of the counterparty in any financial contract has become crucial in the credit risk. Many works has been done to trying to describe the counterparty risk in a CDS contract, but all this work are based on the Markovian approach to risk. In the our opinion this kind of model are too restrictive, because they require that the distribuction function of the waiting times has to be exponential or geometric, for discrete time. In the our model, we describe the evolution of credit rating of the financial subjects like a multivariate semi-Markov model, so ...

  15. Bank's Self-learning Process in a Gray System of Credit Risk

    Institute of Scientific and Technical Information of China (English)

    CHAO Jian-xiong

    2001-01-01

    A bank had better ration its credit if it first enters a gray system of credit information where it cannot distinguish between the low- and high-risk borrowers. As the bank keeps a long-term relationship with its borrowers the bank learns about the borrowers through time. With the help of logit model and Bayes rule, a bank can process customer's credit information and build a better credit term it gives.

  16. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Nils; Wagner, Christian; Zechner, Josef

    2014-01-01

    We explore the link between a firm's stock returns and credit risk using a simple insight from structural models following Merton (1974): risk premia on equity and credit instruments are related because all claims on assets must earn the same compensation per unit of risk. Consistent with theory...

  17. Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS Market

    Directory of Open Access Journals (Sweden)

    Zhijian (James Huang

    2016-05-01

    Full Text Available The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm, do not perform well empirically. We argue that the ability to accurately compute and dynamically update hedge ratios to facilitate a capital structure arbitrage is a distinctive strength of the Black-Scholes-Merton’s modeling paradigm which could be utilized in credit risk models as well. Our evidence is economically significant: We improve the implementation of a simple structural model so that it is more suitable for our application and then devise a simple capital structure arbitrage strategy based on the model. We show that the trading strategy persistently produced substantial risk-adjusted profit.

  18. A Study on a Programming Model for Bank Asset and Liability Management Based on CreditRisk+%基于CreditRisk+的银行全面资产负债管理目标规划模型研究

    Institute of Scientific and Technical Information of China (English)

    张海明; 马永开

    2006-01-01

    商业银行风险管理决策本身是个多目标决策过程.在以往运用多目标线性规划模型进行资产负债管理的研究中,大都局限于资产负债表内业务和利率风险控制,本文将目标规划模型的应用拓展至表外业务,以衡量贷款损失的CSFP CreditRisk+(信用风险附加法)计算的贷款损失充足率为约束,以法律,法规和经营管理为条件,建立了基于CreditRisk+的银行全面资产负债管理目标规划模型并分析了该模型的有效性和敏感性,为银行风险管理提供了决策依据.

  19. Credit Risk Analysis of Real Estate Industry Based on KMV Model%应用KMV模型分析房地产行业信用风险

    Institute of Scientific and Technical Information of China (English)

    李国香; 朱正萱

    2015-01-01

    信用风险一直以来都是金融机构及其监管部门风险管理的主要对象和核心内容.房地产行业是国民经济的支柱行业,其最为典型的特征就是资金密集性.从我国房地产行业发展的实际情况出发,旨在通过应用KMV模型比较得出绩优类和绩差类上市公司风险状况,度量我国房地产行业的信用风险水平.%Credit risk has always been the main problem of risk management in financial institutions and their regulators.The real estate industry is the pillar industry of national economy,which is a typical capital- intensive-industry.In this paper,we choose KMV model to measure the credit risk of China's real estate industry by comparing the different risk level of the two group:good-performance group and bad-performance group.

  20. New Values in Credit Risk Management

    Directory of Open Access Journals (Sweden)

    Ioan Trenca

    2006-05-01

    Full Text Available Taking into account the high importance of the banking activity for the economic system of any country - due to its functions as a payment mechanism, credit allocation or transmission vehicle of the monetary policy - its supervision on a prudential basis becomes an essential condition for enhancing the economic and financial health of any country. The Basel I Acord proposals gave special attention to the calculus of an optimum level of banking capitalization which was to be determined as a function of the aggregate level of risks to which each institution was exposing, in exercising its activities as financial intermediary. The objective of the Basel II new regulations was actually intended to improve the risk management of the banking system in order for it to take account of the new realities characterizing the present financial world: the uncertainty dominating this world as well as and the volatility of the flow of capitals.

  1. New Values in Credit Risk Management

    Directory of Open Access Journals (Sweden)

    Ioan Trenca

    2006-03-01

    Full Text Available Taking into account the high importance of the banking activity for the economic system of any country - due to its functions as a payment mechanism, credit allocation or transmission vehicle of the monetary policy - its supervision on a prudential basis becomes an essential condition for enhancing the economic and financial health of any country. The Basel I Acord proposals gave special attention to the calculus of an optimum level of banking capitalization which was to be determined as a function of the aggregate level of risks to which each institution was exposing, in exercising its activities as financial intermediary. The objective of the Basel II new regulations was actually intended to improve the risk management of the banking system in order for it to take account of the new realities characterizing the present financial world: the uncertainty dominating this world as well as and the volatility of the flow of capitals.

  2. Relationship between Lithuanian Sovereign Credit Risk and Equity Market

    Directory of Open Access Journals (Sweden)

    Aistė Abazoriūtė

    2015-12-01

    Full Text Available We analyse relationship between Lithuanian sovereign credit risk and equity market. The aim of the paper is to find the impact of the sovereign credit risk, which is expressed in the terms of Credit Default Swaps (CDS, on the movements of stocks prices of Lithuania. We use VAR (vector autoregression model in order to find the relationship between Lithuanian CDS spread and OMX Vilnius index. We use impulse reaction method to investigate the impact of CDS spreads on the OMX Vilnius index. After analysis of equity index OMX Vilnius and Lithuanian CDS price relationship it was found out that there exists an opposite relationship between these two variables. When the CDS prices are rising, the equity prices decrease and vice versa. The main finding is that Lithuanian capital market returns reacts immediately to the changes of credit risk of Lithuania which is set by the global capital market and expressed by the CDS prices and Lithuanian capital market is under the great foreign pressure.

  3. Analysis on Risk Prevention Mechanism for Farmers’ Default in Small Amount Credit

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    Through analysis, it is believed that major reasons for default risks in operation of small amount credit include low management level and vacancy of normative system, vacancy of risk sharing mechanism, rating distortion due to imperfect credit investigation system, and uncertainty of borrower’s credit. On the basis of these, static and dynamic models are established to analyze the prevention mechanism for default risk in small amount credit. It is concluded that we must establish a restriction mechanism during operation of small amount credit as long as three values increase, namely, N (potential loss of bad credit record due to farmers’ default), Q (probability of successful recovery by small amount credit institution), and S (cost of small amount credit institution punishing farmers after successful recovery). Finally, following countermeasures and suggestions are put forward: perfect laws and regulations and credit reward and punishment mechanism for risk management of small amount credit; bring into play proper function of loan officer in small amount credit practice; widely promote rural "Group Credit Union" system.

  4. The Analysis of Credit Using and Rationing under Farmer ’s Risk Attitudes Difference

    Institute of Scientific and Technical Information of China (English)

    Xinjun; PANG; Yunwu; KUANG; Xiaohong; GONG

    2015-01-01

    This paper conducts a survey of 237 rural households in Zhangjiagang City,identifies farmers’ risk attitude through ELCE method and problem design and empirically studies the relationship between risk attitudes and credit rationing by utilizing Probit and Logit model. The results show that farmers’ risk attitude and credit rationing are in a significant positive correlation. The stronger farmers’ risk aversion is,the more serious the demanded credit rationing becomes. Such risk attitude determines the risk cost and risk premium,thus affecting the credit behavior and credit rationing degree. In addition,distance between farmers’ residence far the city and their land amount have a positive significant influence on credit rationing,while farmers’ education level,income,family labor force have a negative significant effect on credit rationing. Based on these findings,the paper further analyzes the relationship between farmers’ credit using and credit rationing as to farmers with different risk attitudes. Measures to relieve the farmer’s credit rationing must be taken from government,financial institutions and farmers,respectively.

  5. Impact of Placement Choices and Governance Issues on Credit Risk in Banking: Nonparametric Evidence from an Emerging Market

    Directory of Open Access Journals (Sweden)

    Erol Muzir

    2013-08-01

    Full Text Available This paper is intended to develop some conditional credit risk models through a cursory approach in which any quality deteriorations in banks’ cash credit portfolios, measured as unfavourable changes in the ratio of delinquent credits to total credits, are considered to be a signal for an increase in overall credit risk and the weights of credit segments in entire portfolio are used as predictors. In modelling, two separate studies with consolidated and non- consolidated financial statement data covering the time period between March 2003 and March 2009 have been carried out. Our models based on Neural Networks and Multivariate Adaptive Regression Splines provide significant evidence that dynamic structure of credit portfolios are among the important determinants of credit risk. Furthermore, there exist some findings supporting the active role of macroeconomic conditions and our network models yield sound proofs suggesting that corporate governance concerns are influential on credit risk and quality.

  6. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Nils; Wagner, Christian; Zechner, Josef

    Structural models a la Merton (1974) imply that rms' risk premia in equity and credit markets are related. We explore this relation, using the joint crosssection of stock returns and risk premia estimated from forward credit default swap (CDS) spreads. Consistent with structural models, we nd...... that rms' equity returns and Sharpe ratios increase with estimated credit risk premia and that the returns of buying high and selling low credit risk premium rms cannot be explained by traditional risk factors. Credit risk premia contain equity-relevant information neither captured by risk-neutral nor...... by actual default probabilities. This sheds new light on the distress puzzle, i.e. the lack of a positive relation between equity returns and default probabilities reported in previous studies. Our results are robust across pre-crisis and crisis sub-samples, return weighting schemes, full- and out...

  7. Credit risk determinants analysis: Empirical evidence from Chinese commercial banks

    OpenAIRE

    LU, ZONGQI

    2013-01-01

    Abstract In order to investigate the potential determinants of credit risk in Chinese commercial banks, a panel dataset includes 342 bank-year observations from 2003 to 2012 in Chinese commercial banks are used to quantify the relationship between the selected variables and Chinese bank’s credit risk. Based on several robust test, the empirical results suggest the inflation rate and loan loss provision is significantly positive to Chinese commercial banks’ credit risk, on the other hand, m...

  8. Improving Credit Scorecard Modeling Through Applying Text Analysis

    Directory of Open Access Journals (Sweden)

    Omar Ghailan

    2016-04-01

    Full Text Available In the credit card scoring and loans management, the prediction of the applicant’s future behavior is an important decision support tool and a key factor in reducing the risk of Loan Default. A lot of data mining and classification approaches have been developed for the credit scoring purpose. For the best of our knowledge, building a credit scorecard by analyzing the textual data in the application form has not been explored so far. This paper proposes a comprehensive credit scorecard model technique that improves credit scorecard modeling though employing textual data analysis. This study uses a sample of loan application forms of a financial institution providing loan services in Yemen, which represents a real-world situation of the credit scoring and loan management. The sample contains a set of Arabic textual data attributes defining the applicants. The credit scoring model based on the text mining pre-processing and logistic regression techniques is proposed and evaluated through a comparison with a group of credit scorecard modeling techniques that use only the numeric attributes in the application form. The results show that adding the textual attributes analysis achieves higher classification effectiveness and outperforms the other traditional numerical data analysis techniques.

  9. A Study of Chinese Commercial Banks’ Credit Risk Assessment

    National Research Council Canada - National Science Library

    Xiaosong Zheng

    2016-01-01

    .... In practice, the existing credit risk assessment and management policies cannot adapt to the requirements of SMEs, which means that developing new mechanisms and management policies is necessary...

  10. 12 CFR 932.4 - Credit risk capital requirement.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Credit risk capital requirement. 932.4 Section 932.4 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND CAPITAL STANDARDS FEDERAL HOME LOAN BANK CAPITAL REQUIREMENTS § 932.4 Credit risk capital requirement....

  11. A Study of Chinese Commercial Banks’ Credit Risk Assessment

    Directory of Open Access Journals (Sweden)

    Xiaosong Zheng

    2016-01-01

    Full Text Available It has been a long time that Chinese small and medium-sized enterprises (SMEs have difficulties in dealing with financial problems. As a result of the imperfect financial environment in China, SMEs cannot find the effective way to obtain the funding, especially from Chinese commercial banks. In practice, the existing credit risk assessment and management policies cannot adapt to the requirements of SMEs, which means that developing new mechanisms and management policies is necessary. Based on the previous studies and the economic realities, this paper analyzes the credit status of commercial banks and sorts out the complex background to make a valuable conclusion. In the section of credit risk assessment mechanisms for SMEs, the author compares three classical models and introduces a parameter selection method which measures the financial and non-financial factors together. Besides the theoretical section, a case of Agricultural Bank of China will be studied and the paper will focus on the credit rating system and explore the innovative service for SMEs.

  12. Credit scores, cardiovascular disease risk, and human capital.

    Science.gov (United States)

    Israel, Salomon; Caspi, Avshalom; Belsky, Daniel W; Harrington, HonaLee; Hogan, Sean; Houts, Renate; Ramrakha, Sandhya; Sanders, Seth; Poulton, Richie; Moffitt, Terrie E

    2014-12-02

    Credit scores are the most widely used instruments to assess whether or not a person is a financial risk. Credit scoring has been so successful that it has expanded beyond lending and into our everyday lives, even to inform how insurers evaluate our health. The pervasive application of credit scoring has outpaced knowledge about why credit scores are such useful indicators of individual behavior. Here we test if the same factors that lead to poor credit scores also lead to poor health. Following the Dunedin (New Zealand) Longitudinal Study cohort of 1,037 study members, we examined the association between credit scores and cardiovascular disease risk and the underlying factors that account for this association. We find that credit scores are negatively correlated with cardiovascular disease risk. Variation in household income was not sufficient to account for this association. Rather, individual differences in human capital factors—educational attainment, cognitive ability, and self-control—predicted both credit scores and cardiovascular disease risk and accounted for ∼45% of the correlation between credit scores and cardiovascular disease risk. Tracing human capital factors back to their childhood antecedents revealed that the characteristic attitudes, behaviors, and competencies children develop in their first decade of life account for a significant portion (∼22%) of the link between credit scores and cardiovascular disease risk at midlife. We discuss the implications of these findings for policy debates about data privacy, financial literacy, and early childhood interventions.

  13. Credit scores, cardiovascular disease risk, and human capital

    Science.gov (United States)

    Israel, Salomon; Caspi, Avshalom; Belsky, Daniel W.; Harrington, HonaLee; Hogan, Sean; Houts, Renate; Ramrakha, Sandhya; Sanders, Seth; Poulton, Richie; Moffitt, Terrie E.

    2014-01-01

    Credit scores are the most widely used instruments to assess whether or not a person is a financial risk. Credit scoring has been so successful that it has expanded beyond lending and into our everyday lives, even to inform how insurers evaluate our health. The pervasive application of credit scoring has outpaced knowledge about why credit scores are such useful indicators of individual behavior. Here we test if the same factors that lead to poor credit scores also lead to poor health. Following the Dunedin (New Zealand) Longitudinal Study cohort of 1,037 study members, we examined the association between credit scores and cardiovascular disease risk and the underlying factors that account for this association. We find that credit scores are negatively correlated with cardiovascular disease risk. Variation in household income was not sufficient to account for this association. Rather, individual differences in human capital factors—educational attainment, cognitive ability, and self-control—predicted both credit scores and cardiovascular disease risk and accounted for ∼45% of the correlation between credit scores and cardiovascular disease risk. Tracing human capital factors back to their childhood antecedents revealed that the characteristic attitudes, behaviors, and competencies children develop in their first decade of life account for a significant portion (∼22%) of the link between credit scores and cardiovascular disease risk at midlife. We discuss the implications of these findings for policy debates about data privacy, financial literacy, and early childhood interventions. PMID:25404329

  14. Geographically Weighted Logistic Regression Applied to Credit Scoring Models

    Directory of Open Access Journals (Sweden)

    Pedro Henrique Melo Albuquerque

    Full Text Available Abstract This study used real data from a Brazilian financial institution on transactions involving Consumer Direct Credit (CDC, granted to clients residing in the Distrito Federal (DF, to construct credit scoring models via Logistic Regression and Geographically Weighted Logistic Regression (GWLR techniques. The aims were: to verify whether the factors that influence credit risk differ according to the borrower’s geographic location; to compare the set of models estimated via GWLR with the global model estimated via Logistic Regression, in terms of predictive power and financial losses for the institution; and to verify the viability of using the GWLR technique to develop credit scoring models. The metrics used to compare the models developed via the two techniques were the AICc informational criterion, the accuracy of the models, the percentage of false positives, the sum of the value of false positive debt, and the expected monetary value of portfolio default compared with the monetary value of defaults observed. The models estimated for each region in the DF were distinct in their variables and coefficients (parameters, with it being concluded that credit risk was influenced differently in each region in the study. The Logistic Regression and GWLR methodologies presented very close results, in terms of predictive power and financial losses for the institution, and the study demonstrated viability in using the GWLR technique to develop credit scoring models for the target population in the study.

  15. Farmer credit loan decision model and application based on bank credit risk losing ratio%基于贷款风险损失比的农户信贷模型与应用

    Institute of Scientific and Technical Information of China (English)

    庞素琳

    2012-01-01

    The article studies the farmer credit loan decision model based on the bank loan risk losing ratio and the corresponding interest rate mechanism on the bank fiduciary loan. Assuming two different cases; One being that the successful probability of the fanner' s project affects only the expected return of the bank and the other being that the successful probability of the farmer' s project affects on both the expected return of the bank and the expected return of the farmer respectively, it proposes two farmer credit loan decision models and gives two different optimal loan interest rate mechanisms on the bank by taking both individual rationality of the farmer and loan risk losing ratio the bank can tolerate the most as constraint conditions. It also gives an example. Aiming at the fanner' s different credit grades and he got the bank credit in the course of the five levels of classification, it designs 4 groups of different combinatorial data. It discusses the changes of both the optimal project successful probability of the farmer and the optimal loan interest rate of the bank based on the changes of the loan fund, the farmer' s self-wealth, the loan risk losing ratio the bank can tolerate the most and the expected yield of the farmer. It also discusses the changes of both the net expected yield and the reasonable interval of the expected yield for the farmer project.%在农户信用评级基础上,研究基于银行贷款风险损失比的农户信用贷款决策模型以及银行相应的信用贷款利率机制.通过以农户个体合理性和银行最大可接受的贷款风险损失比作为约束条件,分别在农户项目成功概率对银行期望收益的影响以及农户项目成功概率同时对银行期望收益和农户期望收益都产生影响两种不同情形的假设下,建立了相应的农户信用贷款决策模型,给出了两种不同的银行最优贷款利率机制.本文还举出实例,针对5级分类中农户不同的信用等级

  16. Companies Credit Risk Assessment Methods for Investment Decision Making

    Directory of Open Access Journals (Sweden)

    Dovilė Peškauskaitė

    2017-06-01

    Full Text Available As the banks have tightened lending requirements, companies look for alternative sources of external funding. One of such is bonds issue. Unfortunately, corporate bonds issue as a source of funding is rare in Lithuania. This occurs because companies face with a lack of information, investors fear to take on credit risk. Credit risk is defined as a borrower’s failure to meet its obligation. Investors, in order to avoid credit risk, have to assess the state of the companies. The goal of the article is to determine the most informative methods of credit risk assessment. The article summarizes corporate lending sources, analyzes corporate default causes and credit risk assessment methods. The study based on the SWOT analysis shows that investors before making an investment decision should evaluate both the business risk,using qualitative method CAMPARI, and the financial risk, using financial ratio analysis.

  17. DOES FRAMING AFFECT RISK ATTITUDE? EXPERIMENTAL EVIDENCE FROM CREDIT MARKET

    Directory of Open Access Journals (Sweden)

    Dmitry Vladimirovich Burakov

    2014-01-01

    Full Text Available In this article we study the effect of framing on the attitude of lenders toward risk over a credit cycle and also review potential causes of negative framing when making decisions. Using an experimental setting, we present evidence of frame of losses’ significant impact on willingness to accept credit risk: In comparison with frame of gains, willingness to accept credit risk increases from 29% in frame of gains up to 77% in frame of losses. Among the main reasons leading to a shift in frames, changes in bargaining power and conflict of interests are proposed. Admitting the existence of negative framing in credit market helps explaining duration of credit crunches and excessive risk taking during the upward phases of credit cycle.

  18. Sovereign Credit Risk, Liquidity, and European Central Bank Intervention

    DEFF Research Database (Denmark)

    Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide

    2016-01-01

    We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the eurozone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity of the market. A 10% change in the credit default swap (CDS) spread leads...... to a 13% change in the bid-ask spread, the relation being stronger when the CDS spread exceeds 500 basis points. The Long-Term Refinancing Operations of the ECB weakened the sensitivity of market makers’ liquidity provision to credit risk, highlighting the importance of funding liquidity measures...... as determinants of market liquidity....

  19. Current Credit Risk Management Practices in Chinese Banking Industry

    OpenAIRE

    Zheng, Hao

    2008-01-01

    ABSTRACT Bank loans can be characterized as the engine of the Chinese economy as the economy is almost financed by bank loans. As a result, Credit risk management in Chinese banks is not only the issue to those banks, but it is also essential to the stability of the whole economy. Inadequate credit risk management practices can create an unforeseeable disaster to China in the future, especially with a significant increase in credit expansion. In the last decade, the government has tried ha...

  20. Agent-based mapping of credit risk for sustainable microfinance.

    Science.gov (United States)

    Lee, Joung-Hun; Jusup, Marko; Podobnik, Boris; Iwasa, Yoh

    2015-01-01

    By drawing analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk--a major obstacle to the sustainability of lenders outreaching to the poor. Specifically, using the elements of network theory, we constructed an agent-based model that obeys the stylized rules of microfinance industry. We found that in a deteriorating economic environment confounded with adverse selection, a form of latent moral hazard may cause a regime shift from a high to a low loan payment probability. An after-the-fact recovery, when possible, required the economic environment to improve beyond that which led to the shift in the first place. These findings suggest a small set of measurable quantities for mapping microfinance credit risk and, consequently, for balancing the requirements to reasonably price loans and to operate on a fully self-financed basis. We illustrate how the proposed mapping works using a 10-year monthly data set from one of the best-known microfinance representatives, Grameen Bank in Bangladesh. Finally, we discuss an entirely new perspective for managing microfinance credit risk based on enticing spontaneous cooperation by building social capital.

  1. Agent-based mapping of credit risk for sustainable microfinance.

    Directory of Open Access Journals (Sweden)

    Joung-Hun Lee

    Full Text Available By drawing analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk--a major obstacle to the sustainability of lenders outreaching to the poor. Specifically, using the elements of network theory, we constructed an agent-based model that obeys the stylized rules of microfinance industry. We found that in a deteriorating economic environment confounded with adverse selection, a form of latent moral hazard may cause a regime shift from a high to a low loan payment probability. An after-the-fact recovery, when possible, required the economic environment to improve beyond that which led to the shift in the first place. These findings suggest a small set of measurable quantities for mapping microfinance credit risk and, consequently, for balancing the requirements to reasonably price loans and to operate on a fully self-financed basis. We illustrate how the proposed mapping works using a 10-year monthly data set from one of the best-known microfinance representatives, Grameen Bank in Bangladesh. Finally, we discuss an entirely new perspective for managing microfinance credit risk based on enticing spontaneous cooperation by building social capital.

  2. Pricing of Credit Default Swaps Based on Credit Metrics Model%基于Credit Metrics模型的CDS定价研究

    Institute of Scientific and Technical Information of China (English)

    李玉强; 张能福

    2011-01-01

    信用违约互换(Credit Default Swaps,CDS)作为当今国际上最流行的的信用衍生工具,被广泛应用于商业银行的信用风险管理中。Credit Metrics模型被广泛运用于度量信用风险的大小,在应用Credit Metrics模型计算商业银行贷款的VaR基础上探讨CDS的定价问题。以单笔贷款为例来说明该模型探讨CDS定价实际运用过程,对我国商业银行信用风险管理的提高有一定指导作用。%CDS as the most popular international credit derivatives,is widely used in commercial bank credit risk management.Credit Metrics model has been widely used in measuring the size of the credit risk in application,this will calculate the VaR of commercial bank loans and discuss the CDS pricing issues.In this paper,a single loan as an example illustrates the model discuss CDS pricing practical application process,which may provide certain guidances for the improvement of our credit risk management.

  3. Pricing Chinese Convertible Bonds with Dynamic Credit Risk

    Directory of Open Access Journals (Sweden)

    Ping Li

    2014-01-01

    Full Text Available To price convertible bonds more precisely, least squares Monte Carlo (LSM method is used in this paper for its advantage in handling the dependence of derivatives on the path, and dynamic credit risk is used to replace the fixed one to make the value of convertible bonds reflect the real credit risk. In the empirical study, we price convertible bonds based on static credit risk and dynamic credit risk, respectively. Empirical results indicate that the ICBC convertible bond has been overpriced, resulting from the underestimation of credit risk. In addition, when there is an issue of dividend, the conversion price will change in China's convertible bonds, while it does not change in the international convertible bonds. So we also empirically study the difference between the convertible bond's prices by assuming whether the conversion price changes or not.

  4. 基于因子分析与聚类分析的我国传媒类上市公司信用评级模型%Credit Risk Rating Model of China's Media Industry Listed Company

    Institute of Scientific and Technical Information of China (English)

    孙瑞丽

    2014-01-01

    The credit rating model established in listed companies is an important means to prevent financial risks especially credit risk. In this paper , based on the financial data of Shanghai and Shenzhen exchanges' 26 A-share listed companies in the media industry in 2012, using SPSS through methods of factor analysis and cluster analysis to establish the credit risk rating models. The four and five-level credit risk models based on factor scores and composite score were assessed with a strong guiding role to measure the credit risk of listed companies.%上市公司信用评级模型的建立是防范金融风险特别是信用风险的重要手段。本文以沪、深两家交易所A股传媒行业26家上市公司2012年年度财务数据为样本,运用SPSS统计分析软件采用因子分析和聚类分析相结合的方法建立企业信用风险评级模型。经检验分别基于因子得分和综合得分所建立的四级和五级信用风险模型对上市公司进行信用风险评估具备较强的指导作用。

  5. AVOIDING RISK IN WORKING CAPITAL CREDIT DISTRIBUTION IN INDONESIA

    Directory of Open Access Journals (Sweden)

    Aloysius Deno Hervino

    2011-09-01

    Full Text Available This research analyzes risk avoidance behaviour of banking institutions in distributing working capital loan in Indonesia. Using Autoregressive Distributed Lag Error Correction Model, this paper uncovers three findings. First, in the short run, risk avoidance in working capital loan distribution depends on inter-call banking money market and Sertifikat Bank Indonesia. Second, following banking regulation after 1997 crisis, banks have become more careful in distributing credits, with SBI as a substitution instrument and inter-call banking money market as a complement instrument to spread the risk. Third, all explanatory variables take an average of 6 days or 1 week to influence bank’s risk avoidance behaviour.Keywords:     Risk avoidance, working capital distribution, banking institutions JEL classification numbers: C32, C52, D81, E51

  6. Credit Risk and Commercial Banks' Performance in Vietnam

    OpenAIRE

    Lan, Tianjing

    2014-01-01

    Commercial banks may suffer losses caused by risk. For modern commercial banks, the potential risk is likely to bring economic losses or reducing the banks’ profitability. Contemporaries, credit risk has become the most significant problem banks facing and is a fatal threat for the healthy operation of commercial banks. Hence, bank credit risk management has got important academic value and practical significance. Vietnam’s economic reform and opening up especially from 2007 to the WTO ent...

  7. Credit Risk Management and Interest Income of Banks in Nigeria

    Directory of Open Access Journals (Sweden)

    Fapetu, Oladapo

    2017-06-01

    Full Text Available This study examines the impact of credit risk on the interest income of banks in Nigeria between the period of 2000 and 2014. Unbalanced panel data analysis was used to estimate the model with unit root test, Breusch Pagan test, trend analysis, descriptive statistics, Perasan CD Test, heteroskedasticity test, heterogeneity test, serial correlation test, Jarquebera, F-statistics, random effect, fixed effect, time effect, Prob value, Hausman test and rho as the estimation parameters. The study discovered that NPL, LLP and LA are statistically significant in explaining the variation in interest income across banks in Nigeria, while LA/TD is not statistically significant in explaining the variation in interest income across banks in Nigeria. Based on this, the study recommends that regular update of credit policy and adequate measures to monitor loans should be put in place by banks in Nigeria, as these measures will reduce bad loans and ultimately cause a reduction in loan loss provisions.

  8. Estimation of Credit Risk for Business Firms of Nationalized Bank by Neural Network Approach

    Directory of Open Access Journals (Sweden)

    Ms. A. R. Ghatge

    2013-06-01

    Full Text Available Financial credit risk assessment has gained a great deal of attention. Many different parties have an interest in credit risk assessment. Banking authorities are interested because it helps them to determine the overall strength of the banking system and its ability to handle adverse conditions. Due to the importance of credit risk analysis, many methods were widely applied to credit risk measurement tasks, from that Artificial Neural Network plays an important role for analyzing the credit default problem. Artificial neural networks represent an easily customizable tool for modeling learning behavior of agents and for studying a lot of problems very difficult to analyze with standard economic models ANN has many advantages over conventional methods of analysis. According to Shachmurove (2002, they have the ability to analyze complex patterns quickly and with a high degree of accuracy.The focus of this paper is to determine that a neural network is a suitable modelling technique for predicting the business firm loan is satisfactory or not. This paper shows that an ANN approach will classify the applicant as a default or not and predict a credit default allowance amount more closely aligned with the credit default expenseincurred during the fiscal period than traditional management approaches to estimating the allowance. The results show that credit risk evaluation using Back propagation neural network and expert evaluation have the very good consistency

  9. Research on China's Commercial Bank Credit Risk Macro Stress Testing:Based on Improved Credit Portfolio View Model%我国商业银行信用风险宏观压力测试研究--基于改进的 Credit Portfolio View 模型

    Institute of Scientific and Technical Information of China (English)

    苏为华; 郭远爱

    2014-01-01

    This paper uses the quarterly data from year of 2004 to year of 2013, conducts macro stress-testing of China commercial banks credit risk based on improved Credit Portfolio View Model. And then it adopts the Monte-Carlo simulation skill to simulate the root change of the Non-performing Loan Ratio of commercial banks under different stress shocks. The results show that the Non-performing Loan Ratio of commercial banks suffers a rising phenomenon with different magnitudes under different stress shocks, especially under the extreme stress scenarios, the Non-performing Ratio of China's commercial banks suffers a sharp increasing. The risk assessment results of macro stress testing show that, the system of China's commercial banks against the risk is relatively strong.%本文利用2004-2013年的季度数据,基于改进的 Credit Portfolio View 模型,对我国商业银行的信用风险进行宏观压力测试,并利用蒙特卡罗模拟技术,模拟了不同压力冲击下商业银行不良贷款率的路径变化。研究结果表明,在不同的压力冲击下,商业银行的不良贷款率都出现不同幅度的上升,尤其是在极端压力情形下,我国商业银行的不良贷款率将急剧上升。最终宏观压力测试风险评估的结果显示,目前我国商业银行体系抵御风险的能力整体较强。

  10. Modelo de classificação de risco de crédito de empresas A model for the classification of companies credit risk

    Directory of Open Access Journals (Sweden)

    Giovani Antonio Silva Brito

    2008-04-01

    Full Text Available O processo de gerenciamento de risco de crédito em instituições financeiras vem passando por uma revisão ao longo dos últimos anos. Nesse contexto, diversas novas técnicas de mensuração de risco de crédito e tomadores têm sido desenvolvidas e implementadas por grandes Bancos. O objetivo desta pesquisa é desenvolver um modelo de classificação de risco para avaliar o risco de crédito de empresas no mercado brasileiro. O modelo foi construído com base em uma amostra de empresas de capital aberto classificadas como solventes ou insolventes no período entre 1994 e 2004. A técnica estatística utilizada no desenvolvimento do modelo foi a regressão logística. As variáveis independentes são índices financeiros calculados a partir das demonstrações contábeis e utilizados para representar a situação econômico-financeira das empresas. A validação do modelo foi efetuada utilizando o método Jackknife e uma Curva ROC. Os resultados do estudo indicam que o modelo de classificação de risco desenvolvido prevê eventos de default com um ano de antecedência com bom nível de acurácia. Os resultados, também, indicam que as demonstrações contábeis contêm informações que possibilitam a classificação das empresas como prováveis solventes ou prováveis insolventes.The process of credit risk management in financial institutions has been revised in recent years. In this context, large banks have developed and implemented several new techniques for measuring borrowers credit risk. This research aims to develop a risk classification model to assess the credit risk of companies in the Brazilian market. The model was built based on a sample of publicly traded companies classified as solvent or insolvent during the period from 1994 to 2004. Logistic regression was used to develop the model. The independent variables of the model are financial ratios, calculated from the financial statements and used as proxies of companies economic

  11. UNIVERSAL BANKING AND CREDIT RISK: EVIDENCE FROM TUNISIA

    Directory of Open Access Journals (Sweden)

    HAKIMI Abdelaziz

    2012-01-01

    Full Text Available The aim of this paper is to study the effect of universal banking on the Tunisian banking credit risk. By using a sample of Tunisian banks over the period 1980-2010 and based on the panel data analysis method, results show that the universal banking increases significantly the credit risk. However, the level of competition is positively correlated but not significantly with the dependant variable. For the macro variables, we find that only the GDP exerts a positive and significant effect on the credit risk, but the effect of the inflation variable is not significant.

  12. Exit and Failure of Credit Unions in Brazil: A Risk Analysis

    Directory of Open Access Journals (Sweden)

    Flávio Leonel de Carvalho

    2015-04-01

    Full Text Available This study aims to investigate the factors that affect the market exit of Brazilian singular credit unions from 1995 to 2009; it also identifies and lists the determinants of various types of market exits and analyzes whether profitability is a significant factor for credit union survival. This study was conducted with accounting data provided by the Central Bank of Brazil, which derives only from individual cooperatives, i.e. singular credit unions. Quarterly financial statements from these credit unions that were active from 1995 to the second quarter of 2009 were employed, totaling 71,325 observations for 1,929 credit unions. Based on survival and the model of competing risks (such as the Cox, Exponential, Weibull, Gompertz, and Competing Risk models, the results show that there is no statistical evidence to ensure a correlation between profitability and credit union survival. The results also suggest that the size of credit unions plays a key role in their survival and longevity and that their funding and investment management are related to their survival and risk of market exit. In conclusion, the results confirm the initial idea that the duality inherent to credit unions - cooperative principles versus economic efficiency - might influence the stability, survival, and longevity of these institutions. Such results may also imply that a credit union embracing the rationale of a private bank will become more estranged from its members, something which will hinder its future operations and increase the likelihood of its exit from the market.

  13. KMV模型与Copula理论在信用风险的度量%The Measurement Method of Joint Credit Risk with the KMV Model and the Copula Theory

    Institute of Scientific and Technical Information of China (English)

    李洪明

    2012-01-01

    At present, credit risk measurement of the commercial banks in China, which mainly relies on the qualitative analysis of the financial report, is still at the stage of subjective analysis. However, quantitatively analyzing the credit risk by means of mathematical model has also made great progress, and different research results can be seen both in the single variable credit risk measurement and the joint credit risk measurement. This thesis discusses the measurement method of joint credit risk, and gives a mathematical model which can measure it. What has to be mentioned is that it integrates the KMV model in the single variable analysis with the Copula theory in the joint credit risk analysis so as to do some correlation analysis about the joint default probability between enterprises. Mainly to the use of business data in different periods of financial market obtained value of corporate assets, and estimated the value of these assets, then obtained the edge distribution of the data, get the related default correlation under the Copula functions.%给出了度量组合信用风险的一个数学模型,综合了单变量分析中的KMV模型和组合信用风险分析中的Copula理论,对企业之间的联合违约概率做了相关性分析,主要是采取了利用企业不同时期的金融市场数据得出企业资产价值数据,估计这些资产价值数据的边缘分布情况,再根据Copula函数进行相关的违约相关性研究.

  14. Credit Risk Management. A study on risk integration in the bank lending process.

    NARCIS (Netherlands)

    Sleddens, Linda Elsa Wilhelmina

    2011-01-01

    Credit risk management has been a topic much written about in the last decade. Substantial credit risk losses can undermine the stability of the bank. Both banks and national bank supervisors have realized the need to invest in credit risk management. Partly driven by regulations such as the Basel

  15. Credit risk management: a study on risk integration in the bank lending process

    NARCIS (Netherlands)

    Sleddens, Linda Elsa Wilhelmina

    2011-01-01

    Credit risk management has been a topic much written about in the last decade. Substantial credit risk losses can undermine the stability of the bank. Both banks and national bank supervisors have realized the need to invest in credit risk management. Partly driven by regulations such as the Basel I

  16. Study on the Impact of the Private Credit Excess on the Credit Risk under the Massive Capital Inflows Risk under the Massive Capital Inflows

    Directory of Open Access Journals (Sweden)

    Jong-Hee Kim

    2016-09-01

    Full Text Available By examining the relationship between private credit growth and the possibility of credit risk while focusing on international capital in 21 countries over the period 2000:1Q-2015:2Q, this paper shows that the impact of private credit growth on credit risk is apparent under the high ratio of capital inflows, and its impact on credit risk in the seven Asian countries is even stronger. And the possibility of credit risk caused by private credit is mainly coming from portfolio inflows rather than direct inflows. Finally, portfolio inflows strengthen the positive relationship between credit excess and credit risk in Asian countries, and this trend is seen more in these after the global financial crisis. Taken together, the stronger positive relationship between credit excess and credit risk can be strengthen under the massive portfolio inflows in particular in the seven Asian countries such as Hong Kong, India, Indonesia, Korea, Malaysia, Singapore, and Thailand.

  17. Data mining for assessing the credit risk of local government units in Croatia

    Directory of Open Access Journals (Sweden)

    Silvija Vlah Jerić

    2017-01-01

    Full Text Available Over the past few decades, data mining techniques, especially artificial neural networks, have been used for modelling many real-world problems. This paper aims to test the performance of three methods: (1 an artificial neural network (ANN, (2 a hybrid artificial neural network and genetic algorithm approach (ANN-GA, and (2 the Tobit regression approach in determining the credit risk of local government units in Croatia. The evaluation of credit risk and prediction of debtor bankruptcy have long been regarded as an important topic in accounting and finance literature. In this research, credit risk is modelled under a regression approach unlike typical credit risk analysis, which is generally viewed as a classification problem. Namely, a standard evaluation of credit risk is not possible due to a lack of bankruptcy data. Thus, the credit risk of a local unit is approximated using the ratio of outstanding liabilities maturing in a given year to total expenditure of the local unit in the same period. The results indicate that the ANN-GA hybrid approach performs significantly better than the Tobit model by providing a significantly smaller average mean squared error. This work is beneficial to researchers and the government in evaluating a local government unit’s credit score.

  18. The Research on Corporate Credit Risk Evaluation Model Based on Fuzzy Neural Network%基于模糊神经网络的企业信用风险评估模型研究

    Institute of Scientific and Technical Information of China (English)

    楼裕胜

    2013-01-01

    根据浙江省企业信用评价指导性标准和规范所确定的企业信用评价指标体系,建立了模糊神经网络的企业信用风险评估模型。该模型中确定的模糊规则层具有自调节的功能,可以较好地实现对企业信用风险的评价。利用MATLAB 2010a编程对样本数据进行实证分析,结果表明模糊神经网络评价企业信用风险具有较高的准确性和稳定性。%According to the corporate credit evaluation index system stipulated by Zhejiang province enterprise credit evaluation guideline standards and specifications, the author establishes the corporate credit risk fuzzy neural network evaluation model. In this paper, the fuzzy rule layers determined in this model have self-adjustment function, and can better realize the evaluation of corporate credit risk. The author conducted the empirical Analysis on sample data by using MATLAB 2010a programming, of which the results show that the fuzzy neural network evaluation of corporation credit risk can be with higher accuracy and stability.

  19. Evaluating Credit Risk Management at Agribank Tu Liem

    OpenAIRE

    Pham, Tien

    2015-01-01

    In recent years, bad debts have started to become a huge threat for Vietnamese economic growth. As a result of global economic crisis and unfavorable conditions in Vietnam, the bad debt ratio of the commissioning bank has also become alarming, and the bank has struggled in controlling the credit risk. The aim of this research is to assess the effectiveness of the commissioning bank’s credit risk management based on a comprehensive theoretical framework. Moreover, the readers will learn mo...

  20. Economic capital for credit risk in the trading book

    Directory of Open Access Journals (Sweden)

    Wynand Smit

    2011-06-01

    Full Text Available The Basel II accord sets out detailed formulations (in its Internal Ratings Based approaches for determining credit risk capital in the banking book, but until recently, credit risk in the trading book was largely ignored. The financial crisis in 2007/08 exposed this oversight: woefully inadequate trading book capital led to considerable losses which resulted in, inter alia, the imposition of severe capital requirements on credit riskprone securities in the trading book.  Using empirical loss data, this article investigates whether these requirements are appropriate for the trading book and proposes a possible alternative which banks may use to determine economic capital.

  1. An Illustration of the Impact of Economic and Political Risk Using the Country Credit Rating Model for Japan, Malaysia and Russia

    Directory of Open Access Journals (Sweden)

    Carl B.McGowan, Jr.

    2008-06-01

    Full Text Available In this paper, we demonstrate the use of the country credit rating model in Japan, a developed economy, Malaysia, an upper middle-income economy, and Russia, a lower middle-income economy. We find that the country credit rating model tracks the gradual and minor deterioration of the economic condition of Japan, the financial crisis that occurred in Malaysia in 1997–1998, and the shock that hit the Russian economy in 1998 when the government defaulted on bonds, and the subsequent recoveries in both Malaysia and Russia.

  2. Simulation Analysis of Quantitative Analysis Model of Personal Credit Risk Assessment in Commercial Banks%商业银行个人信贷风险评估的定量分析模型仿真分析

    Institute of Scientific and Technical Information of China (English)

    宋强; 刘洋

    2015-01-01

    商业银行个人信贷受到管理不到位、风险信息管理系统滞后等因素的影响,需要进行商业银行个人信贷风险评估的定量分析模型构建,提高商业银行信贷风险管理的能力。提出一种基于多层步进动态评估的商业银行个人信贷风险评估的定量分析模型。首先进行了商业银行个人信贷风险种类分析和影响因素分析,构建商业银行个人信贷的风险评估参量评价体系,根据先期的数据分析,计算得到商业银行个人信贷风险标准中的等级梯度值,进行商业银行个人信贷风险评估的定量分析模型优化设计。仿真结果表明,采用该模型进行商业银行个人信贷风险评估的定量分析,数据分析拟合结果准确,能有效抵御信贷风险,通过多渠道建立有效的损失补偿机制,提高商业银行的信贷风险防控能力。%Personal credit in commercial banks affected by factors such as not in place management and lagged behind risk information management system, it is necessary to build up the quantitative analysis model of personal credit risk as⁃sessment in commercial banks to improve their capacity in credit risk management. Therefore, a kind of quantitative anal⁃ysis model of personal credit risk assessment in commercial banks is proposed based on multilayer step-by-step dynamic assessment. First, the article analyzes the types and influence factors of commercial banks' personal credit risks, then es⁃ tablish the parameters evaluation system of personal credit risk assessment in commercial banks, according to preliminary data analysis, calculates the rank gradient value in the personal credit risk standard of commercial banks, then optimizes the design of quantitative analysis model for commercial banks' personal credit risk assessment. The simulation results show that adopting this model to proceed the quantitative analysis for personal credit risk assessment of commercial

  3. Credit ratings and CEO risk-taking incentives

    NARCIS (Netherlands)

    Kuang, Y.F.; Qin, B.

    2013-01-01

    This study examines the sophistication of rating agencies in incorporating managerial risk-taking incentives into their credit risk evaluation. We measure risk-taking incentives using two proxies: the sensitivity of managerial wealth to stock return volatility (vega) and the sensitivity of

  4. SYNTHETIC ANALYSIS OF CREDIT RISK - PREVENTION AND MANAGEMENT

    Directory of Open Access Journals (Sweden)

    LĂPĂDUSI MIHAELA LOREDANA

    2013-02-01

    Full Text Available The uncertainty of the economic and social environment in which a company operates represents the essentialfeature from which are discharged all types of hazards. Protection against risks, mitigation of their effects that aremeasured by the losses generated are issues which led to the continuous improvement of the measure of prevention andmanagement of riskThe article puts in to highlight a number of aspects related to the prevention and management of credit risk, twokey actions on the conduct of the business of a firm, but in carrying out the activities. In the presentation of the articlewe focused on a synthetic analysis of the sources of information used in credit risk analysis based on information fromsources both within the company and outside of it.The importance of prevention and management of credit consists in being able to forecast the possibleproduction of the event of credit risk and of taking in time the necessary decisions in order to reduce this and someadverse consequences. The essence of credit risk can be expressed by the possibility of the quantification of likelihoodappearance of this risk with consequences which have a direct effect on the activity of banks or financial institutions.

  5. Credit Risk Management and Financial Performance of Selected Commercial Banks in Nigeria

    Directory of Open Access Journals (Sweden)

    Olusegun Adekunle

    2015-02-01

    Full Text Available The study examines the role of credit risk management in value creation process among commercial banks in Nigeria. The study reviews the concepts, theories, legal acts and standards relating to the credit risk management and then develops a conceptual model with four antecedents to credit risk. The study analyzes the impact of these antecedents such as antecedents are loan and advance loss provision, total loan and advances, non-performing loan and total asset on accounting Return on Equity (ROE and Return on Asset (ROA. The panel data come from 10 commercial banks listed on Nigeria Stock Exchange (NSE between 2006 and 2010. The results reveal that credit risk management has significant effect on financial performance of commercial banks and further recommend that maintaining minimum level of non-performing loans vis-à-vis provision for loans and advances will enhance financial performance through its positive effect on return on equity.

  6. How connected is the global sovereign credit risk network?

    OpenAIRE

    Bostancı, Görkem; Yılmaz, Kamil

    2015-01-01

    We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities for 38 countries between 2009 and 2014. Our results reveal striking differences be- tween the network structures of returns and volatilities. In SCDS return networks, developing and developed countries...

  7. 76 FR 41602 - Fair Credit Reporting Risk-Based Pricing Regulations

    Science.gov (United States)

    2011-07-15

    ... respective risk-based pricing rules to require disclosure of credit scores and information relating to credit scores in risk-based pricing notices if a credit score of the consumer is used in setting the material.... 1681m(h), to the Fair Credit Reporting Act (FCRA) to address risk-based pricing. Risk-based pricing...

  8. Structural Equality Model Study for Credit Card Attitude Scale

    Directory of Open Access Journals (Sweden)

    Nuray GİRGİNER

    2011-06-01

    Full Text Available The aim of this study is to search for the validity and reliability of the Credit Card Attitude Scale developed by Girginer and her team (2008 grounding on the scale which had been formed by Hayhoe and his team (1999 with the help of Confirmatory Factor Analysis (CFA. The scale in question had been modified for the high education students living in Turkey. Data of the survey made in 2008 was used in this study, too. Findings of the study exhibited that validity degree of the scale with four dimensions formed by CFA was higher than the validity degree of the scale with five dimensions formed by Explanatory Factor Analysis. Goodness of fit indicators calculated for the structural model took place in the goodness of fit limits. The Structural Equation Model (SEM established with the idea that the attitudes towards credit card usage in anxiety, cognitive and affective dimensions affected credit card usage behaviours, was found to be significant statistically. According to the results of the SEM, anxiety attitudes have the greatest positive effect (0.53 on the behaviours. Also it was found that students have tendency to use more credit cards of different kinds for decreasing their financial risks when their anxieties related with credit card usage get more and more.

  9. Research on Operational Risk in Credit Loan of Banks Based on Behavior Decision Model of Managers%基于经理人行为决策模型的银行信贷操作风险研究

    Institute of Scientific and Technical Information of China (English)

    张道宏; 滕和强; 胡海青; 黄铎

    2011-01-01

    With an aim at the operational risk in credit loan of banks, this paper analyzes the influence of decision-making of the banks' managers on the variations of banks in various situations through the establishment of the credit loan model and the bank managers' behavioral model. The risk data of the related credit loan can be used to simulate the measurement of operational risk in the credit loan, whereby proving that the bank managers' behavior may have an important bearing on the bank risks from two respects of theory and operation. Also, this paper suggests the risk management measures for the credit loan operation including the whole process, internal control and talented personal management, etc.%针对银行信贷业务中的操作风险问题,通过构建银行信贷模型及银行经理人行为选择模型,分析了不同情况下,经理人的行为选择对银行信贷收益波动性的影响,利用相关银行信贷风险数据,模拟银行信贷中操作风险的测量;从理论和操作方面证明了银行经理的行为对银行风险的影响,提出了包含过程、内控、人才管理的信贷操作风险管理措施.

  10. Management Strategy Of Bank Credit Portfolio

    OpenAIRE

    Nenad Vunjak; Tamara Antonijevic

    2008-01-01

    Credit portfolio includes a credit group that is structured by bank management team according to credit users. Realizing the key targets of credit portfolio management imply the analysis of: (1) volume of credits, (2) portfolio structure, (3) credit services, (4) payment of credits, (5) credit price (interest rate), (6) realized profit. The credit portfolio modeling is the top management competence. Performance of credit portfolio depends from expect risks and returns estimate, having insight...

  11. An Empirical Study of KMV Model in Credit Risk%KMV模型在信用风险管理中的实证分析研究

    Institute of Scientific and Technical Information of China (English)

    陈瑞欣; 安飞

    2011-01-01

    In the development of society and economy, modem commercial banks plays an important role as intermediating funds, guiding the flow of capital and improving the efficiency of capital. However, the unique nature of the management of bank's asset and debt determines the risks in it's operations. Academics and government regulatory agencies have paid close attention to the credit risk management practices of banks. The principles of KMV model and it's calculation method are discussed, and finally launch empirically analyses of 3 selected companies with the help of MATLAB software and analysis of the empirical results.%现代商业银行在社会经济发展过程中,发挥着筹集融通资金、引导资产流向、提高资金运用效率的重要作用,然而,银行资产负债经营的独特性质决定了银行经营与风险相伴而生.信用风险管理不仅关乎着商业银行的生存与发展,更影响到整个金融体系的稳定,介绍了KMV模型的原理及计算方法,并借助MATLAB软件选取三个上市公司的经济数据实现KMV模型的实证研究工作,并对实证结果进行分析.

  12. Clinical risk and depression (continuing education credit).

    Science.gov (United States)

    Sharkey, S

    1997-01-22

    This article provides information and guidance to nurses on clinical risks in mental health, particularly that of depression. It relates to UKCC professional development category: Reducing risk and Care enhancement.

  13. Enhancement of transparency and accuracy of credit scoring models through genetic fuzzy classifier

    Directory of Open Access Journals (Sweden)

    Raja N. Ainon

    2010-04-01

    Full Text Available Credit risk evaluation systems play an important role in the financial decision-making by enabling faster credit decisions, reducing the cost of credit analysis and diminishing possible risks. Credit scoring is the most commonly used technique for evaluating the creditworthiness of the credit applicants. The credit models built with this technique should satisfy two important criteria, namely accuracy, which measures the capability of predicting the behaviour of the customers, and transparency, which reflects the ability of the model to describe the input-output relation in an understandable way. In our paper, two credit scoring models are proposed using two types of fuzzy systems, namely Takagi-Sugeno (TS and Mamdani types. The accuracy and transparency of these two models have been optimised. The TS fuzzy credit scoring model is generated using subtractive clustering method while the Mamdani fuzzy system is extracted using fuzzy C-means clustering algorithm. The accuracy and transparency of the two resulting fuzzy credit scoring models are optimised using two multi-objective evolutionary techniques. The potential of the proposed modelling approaches for enhancing the transparency of the credit scoring models while maintaining the classification accuracy is illustrated using two benchmark real world data sets. The TS fuzzy system is found to be highly accurate and computationally efficient while the Mamdani fuzzy system is highly transparent, intuitive and humanly understandable.

  14. Construction and Application Research of Isomap-RVM Credit Assessment Model

    Directory of Open Access Journals (Sweden)

    Guangrong Tong

    2015-01-01

    Full Text Available Credit assessment is the basis and premise of credit risk management systems. Accurate and scientific credit assessment is of great significance to the operational decisions of shareholders, corporate creditors, and management. Building a good and reliable credit assessment model is key to credit assessment. Traditional credit assessment models are constructed using the support vector machine (SVM combined with certain traditional dimensionality reduction algorithms. When constructing such a model, the dimensionality reduction algorithms are first applied to reduce the dimensions of the samples, so as to prevent the correlation of the samples’ characteristic index from being too high. Then, machine learning of the samples will be conducted using the SVM, in order to carry out classification assessment. To further improve the accuracy of credit assessment methods, this paper has introduced more cutting-edge algorithms, applied isometric feature mapping (Isomap for dimensionality reduction, and used the relevance vector machine (RVM for credit classification. It has constructed an Isomap-RVM model and used it to conduct financial analysis of China's listed companies. The empirical analysis shows that the credit assessment accuracy of the Isomap-RVM model is significantly higher than that of the Isomap-SVM model and slightly higher than that of the PCA-RVM model. It can correctly identify the credit risks of listed companies.

  15. 76 FR 13902 - Fair Credit Reporting Risk-Based Pricing Regulations

    Science.gov (United States)

    2011-03-15

    ... the Fair Credit Reporting Act (FCRA). The final rules generally require a creditor to provide a risk... Commission propose to amend their respective risk-based pricing rules to require disclosure of credit scores and information relating to credit scores in risk-based pricing notices if a credit score of the...

  16. CREDIT RISK IN ISLAMIC BANKING AND FINANCE

    OpenAIRE

    ELGARI, MOHAMED ALI

    2003-01-01

    The concept of risk was well known in ancient societies. Even in financial decisions, people knew very well that lending to someone who is bankrupt has a high probability of losing the money as compared to a debtor with good standing. Nevertheless, risk became an important tool of decision-making when it became possible to measure it and to assign values to different situations. This paper argues that the concept of risk mentioned by jurists in their studies on the theory of contract has noth...

  17. Credit risk management in financing agriculture

    OpenAIRE

    Mark D. Wenner

    2010-01-01

    A griculture is an inherently risky economic activity. A large array of uncontrollable elements can affect output production and prices, resulting in highly variable economic returns to farm households. In developing countries, farmers also lack access to both modern instruments of risk management—such as agricultural insurance, futures contracts, or guarantee funds—and ex post emergency government assistance. Such farmers rely on different “traditional” coping strategies and risk-mitigation ...

  18. POSSIBILITIES OF IMPROVING THE METHODS AND TECHNIQUES USED IN THE SURVEILLANCE OF CREDIT RISK MANAGEMENT

    Directory of Open Access Journals (Sweden)

    Balogh Peter

    2010-12-01

    Full Text Available Through their daily activities, credit institutions are subject to various risks which could affect both the bank and the whole banking system, national and transnational. The activity field of the banks, marked by volatility, by the internationalization and liberalization of the financial markets, is in a continuous change. The contagion effect, as it has been proved by the spread of the financial crisis effects, determines the surveillance authorities to pay increased attention to the financial risks and implicitly to the systemic risk. In this study, to start with, there shall be presented some aspects regarding the banking rating systems used by the surveillance authorities and then some ways of improving the models of managing credit risk in banks. In the end, there will be demonstrated that the risk profile of the banking institution has a determining role in the management of the credit portfolio.

  19. A multicriteria approach for rating the credit risk of financial institutions

    NARCIS (Netherlands)

    Baourakis, G.; Conisescu, M.; Dijk, van G.; Pardalos, P.; Zopounidis, C.

    2009-01-01

    Within the new bank regulatory context, the assessment of the credit risk of financial institutions is an important issue for supervising authorities and investors. This study explores the possibility of a developing risk assessment model for financial institutions using a multicriteria

  20. Credit Risk Evaluation of Power Market Players with Random Forest

    Science.gov (United States)

    Umezawa, Yasushi; Mori, Hiroyuki

    A new method is proposed for credit risk evaluation in a power market. The credit risk evaluation is to measure the bankruptcy risk of the company. The power system liberalization results in new environment that puts emphasis on the profit maximization and the risk minimization. There is a high probability that the electricity transaction causes a risk between companies. So, power market players are concerned with the risk minimization. As a management strategy, a risk index is requested to evaluate the worth of the business partner. This paper proposes a new method for evaluating the credit risk with Random Forest (RF) that makes ensemble learning for the decision tree. RF is one of efficient data mining technique in clustering data and extracting relationship between input and output data. In addition, the method of generating pseudo-measurements is proposed to improve the performance of RF. The proposed method is successfully applied to real financial data of energy utilities in the power market. A comparison is made between the proposed and the conventional methods.

  1. Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market

    NARCIS (Netherlands)

    Bongaerts, D.; de Jong, F.; Driessen, J.

    2008-01-01

    We derive a theoretical asset-pricing model for derivative contracts that allows for expected liquidity and liquidity risk, and estimate this model for the market of credit default swaps (CDS). Our model extends the LCAPM of Acharya and Pedersen (2005) to a setting with derivative instruments and sh

  2. CREDIT MANAGEMENT MODEL WITH A GIVEN LOSS RATE

    Directory of Open Access Journals (Sweden)

    Elena G. Snegova

    2013-01-01

    Full Text Available This article describes the credit limit model with a given loss rate. Applying this model, it is possible to increase the profitability of the bank’s product in the case of fast loans issued in the form of credit cards. Author offers a method for simulating of credit limit utilization functions. It is formulated and solved the problem of finding the optimal credit limit for the borrower.

  3. Management control of credit risk in the bank lending process

    NARCIS (Netherlands)

    Scheffer, S.B.

    2004-01-01

    Management control of credit risk in the bank lending processA casestudy to explore improvements from a managerial perspectiveAt the start of this project -back in 1998- new technologies and ideas were emerging among a new generation of financial engineering professionals who have been applying

  4. Credit risk exposure with interest and currency swaps

    NARCIS (Netherlands)

    Coppes, R.C.; Stokking, E.J.

    1996-01-01

    The increased use of financial derivatives like interest rate and currency swap contracts has drawn much attention, as it exposes banks to non-performance by their counterparts. This credit risk exposure is of great concern to monetary authorities, e.g. the Bank for International Settlements. Ln

  5. Credit risk exposure with interest and currency swaps

    NARCIS (Netherlands)

    Coppes, R.C.; Stokking, E.J.

    1996-01-01

    The increased use of financial derivatives like interest rate and currency swap contracts has drawn much attention, as it exposes banks to non-performance by their counterparts. This credit risk exposure is of great concern to monetary authorities, e.g. the Bank for International Settlements. Ln thi

  6. Efficient computation of exposure profiles for counterparty credit risk

    NARCIS (Netherlands)

    Graaf, C.S.L. de; Feng, Q.; Kandhai, B.D.; Oosterlee, C.W.

    2014-01-01

    Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in the fi

  7. Efficient Computation of Exposure Profiles for Counterparty Credit Risk

    NARCIS (Netherlands)

    de Graaf, C.S.L.; Feng, Q.; Kandhai, D.; Oosterlee, C.W.

    2014-01-01

    Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in the fi

  8. Efficient Computation of Exposure Profiles for Counterparty Credit Risk

    NARCIS (Netherlands)

    de Graaf, C.S.L.; Feng, Q.; Kandhai, D.; Oosterlee, C.W.

    2014-01-01

    Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in the

  9. Efficient computation of exposure profiles for counterparty credit risk

    NARCIS (Netherlands)

    C.S.L. de Graaf (Kees); Q. Feng (Qian); B.D. Kandhai; C.W. Oosterlee (Cornelis)

    2014-01-01

    htmlabstractThree computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk

  10. An empirical approach to the credit risk assessment of a microfinance institution in Peru

    Directory of Open Access Journals (Sweden)

    Juan Lara Rubio

    2011-06-01

    Full Text Available The growth of micro-credit along with the excellent conditions to carry out microfinance activity in the economy and financial system of the Republic of Peru are pushing for Microfinance Institutions (IMF increased competition with banks in this segment business. Like in commercial banks, in microfinance questions such as: is this customer profitable?, What is the credit limit that I must accept to his/her application?, What interest rate should I charge to him/ her?, How I can reduce the risk default?, etc., are matters to be assessed properly. We propose a method that could facilitate improvement in customer qualification between failed and not failed. To this end, we propose a methodology that analyzes credit risk in the provision of microcredit through the design of a credit scoring model that we apply to a Development Agency for Small and Micro Enterprise (EDPYME, which is an IMF under the supervision by the Banking and Insurance Superintendency (SBS.

  11. The Cross-Section of Credit Risk Premia and Equity Returns

    DEFF Research Database (Denmark)

    Friewald, Nils; Wagner, Christian; Zechner, Josef

    that rms' equity returns and Sharpe ratios increase with estimated credit risk premia and that the returns of buying high and selling low credit risk premium rms cannot be explained by traditional risk factors. Credit risk premia contain equity-relevant information neither captured by risk-neutral nor...

  12. 78 FR 57927 - Credit Risk Retention

    Science.gov (United States)

    2013-09-20

    .... Asset-Backed Commercial Paper Conduits 5. Commercial Mortgage-Backed Securities 6. Government-Sponsored... purchaser in commercial mortgage-backed securities (CMBS) transactions and an exemption that would permit... purchasers to hold risk retention in commercial mortgage-backed securitizations instead of sponsors (as...

  13. 基于大数据分析的银行不良信贷风险模型%Risk Model of Bank Bad Credit Based on Big Data Analytics

    Institute of Scientific and Technical Information of China (English)

    林荫

    2015-01-01

    When adopting the traditional algorithm to proceed the risk assessment of bank bad credit under the massive da⁃ta, risk factors of bad credit and the incompleteness of various indicator data of the hierarchical structure of risk manage⁃ment's performance appraisal system will cause the accuracy's reduction in bank bad credit's risk assessment. Based on APH algorithm, the paper puts forward a kind of risk assessment method about bank bad credit supported by big data ana⁃lytics, by combining APH algorithm and BSC theory, it gets the hierarchical structure of the performance appraisal system of bank bad credit's risk assessment. Within the scope of the constraint condition, by using Delphi method to proceed the optimal training on every index data of the hierarchical structure, the index weight can be determined. And then by build⁃ing the risk assessment model of bank bad credit, the accurate assessment result of bank bad credit can be obtained. Ex⁃perimental results show that adopting the improved algorithm to proceed the risk assessment of bank bad credit under the massive data, the accuracy of risk assessment of bank bad credit can be enhanced, thus having satisfactory effect.%利用传统算法进行的海量数据下的银行不良信贷风险评估过程中,不良信贷风险因素的影响以及不良信贷风险管理绩效评估体系的层次结构的各个指标数据不够完整会造成对银行不良信贷风险评估的准确率降低。本文提出了一种基于APH算法的大数据分析的银行不良信贷风险评估方法,将APH算法与BSC理论相结合,获得银行不良信贷风险管理绩效评估体系的层次结构。在约束条件范围内利用德尔菲法对层次结构的各个指标数据进行优化训练,确定指标权重。建立银行不良信贷风险评估模型,从而得到准确的银行不良信贷风险评估结果。实验结果表明,利用改进算法进行海量数据下的银行不良信贷风

  14. Credit Risk Assessment of Corporate Sector in Croatia

    Directory of Open Access Journals (Sweden)

    Lana Ivicic

    2009-12-01

    Full Text Available The main goal of this paper is modeling credit risk of non-financial businesses entities by assessing the rating migration probabilities and predicting the probability of default over one year horizon on the basis of corporate financial accounts. Our research provides a number of new important insights. Ratings migration matrices are symmetrical in every observed period, which implies that default state is not final terminal state. We find a high degree of rating stability, with the exception of some volatility generated by firms in the middle of the ratings scale. In the period of lower economic growth probabilities of transition between different risks categories are lower than in the period of higher economic growth. Probabilities of default are relatively stable across enterprises operating in different economic activities. After considering a wide range of potential predictors of default, multivariate logistic regression results reveal that the most important are the ratio of shareholders’ equity to total assets and the ratio of EBIT to total liabilities, both negatively related to the probability of default. In addition, higher liquidity, profitability and sales as well as construction and real estate sector affiliation all decrease the companies’ probability of default in the following year. The model correctly classifies relatively reasonable percentage of companies in the sample (74% of all the companies, 71% of defaulted and 75% of non-defaulted companies when the threshold is set in such a way to maximize the sum of correctly predicted proportions for both defaulted and nondefaulted companies.

  15. Credit risk control for loan products in commercial banks. Case: BIDV

    OpenAIRE

    Nguyen, Linh

    2017-01-01

    In the world of banking, competition between commercial banks is increasing more and more. Lenders are trying to satisfy customers in various credit services, which include lending services. To keep themselves in the play, banks focus on improving credit growth. However, higher credit growth will not truly bring higher profits if banks fail to manage credit risk. This thesis studies credit risk control for business loan products and aims to identify different approaches to control the risk ef...

  16. Credit Card Risk Behavior on College Campuses: Evidence from Brazil

    Directory of Open Access Journals (Sweden)

    Wesley Mendes-da-Silva

    2012-07-01

    Full Text Available College students frequently show they have little skill when it comes to using a credit card in a responsible manner. This article deals with this issue in an emerging market and in a pioneering manner. University students (n = 769 in São Paulo, Brazil’s main financial center, replied to a questionnaire about their credit card use habits. Using Logit models, associations were discovered between personal characteristics and credit card use habits that involve financially risky behavior. The main results were: (a a larger number of credit cards increases the probability of risky behavior; (b students who alleged they knew what interest rates the card administrators were charging were less inclined to engage in risky behavior. The results are of interest to the financial industry, to university managers and to policy makers. This article points to the advisability, indeed necessity, of providing students with information about the use of financial products (notably credit cards bearing in mind the high interest rates which their users are charged. The findings regarding student behavior in the use of credit cards in emerging economies are both significant and relevant. Furthermore, financial literature, while recognizing the importance of the topic, has not significantly examined the phenomenon in emerging economies.

  17. The effect of macroeconomic factors on credit risk in the banking system of Iran

    Directory of Open Access Journals (Sweden)

    Mohammad Khodaei Valahzaghard

    2012-08-01

    Full Text Available These days, there are increasing changes on environmental and economic networks and different risks of various institutions affect the financial structure. Different institutions including financial and credit institutions are facing with the risk of lack of their timely obligations to make sure the repayment of the funds is granted. In this study, the effects of economic factors not affected by intentional behavior of customers are investigated. Statistical study of the banking system includes all public and private banks. Statistical research community from 2005 to 2010 is considered. The cross-sectional data of the study and a combination of regression analysis is used. The regression analysis of combined data, fixed effects model based on the data is a cross-sectional fit. According to results of regression analysis, Pearson and Spearman's Correlation Coefficient, there is no significant relationship between the inflation rate, employment rate, unemployment rate, the dollar, the euro, with import growth of credit risk in the banking system in Iran. Therefore, based on probability theory, it can be stated that the credit risk in the banking system in Iran under the influence of variables is not mentioned. In addition, positive and significant relationship between stock index and credit risk in the banking system in Iran has increased by Weber in this index increases and reducing credit risk is reduced.

  18. Credit risk evaluation using adaptive Lq penalty SVM with Gauss kernel

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    In order to improve the performance of support vector machine (SVM) applications in the field of credit risk evaluation, an adaptive Lq SVM model with Gauss kernel (ALqG-SVM) is proposed to evaluate credit risks. The non-adaptive penalty of the object function is extended to (0, 2] to increase classification accuracy. To further improve the generalization performance of the proposed model, the Gauss kernel is introduced, thus the non-linear classification problem can be linearly separated in higher dimensio...

  19. PROBLEMS AND OBSTACLES IN CREDIT RISK MANAGEMENT IN INDIAN PUBLIC SECTOR BANKS

    Directory of Open Access Journals (Sweden)

    RENU ARORA

    2014-10-01

    Full Text Available This paper evaluates the credit risk management (CRM practices of Indian public sector banks in grant of commercial loans to find the grey areas which need review and restructuring to improve banks’ asset quality. Based on literature review, a conceptual model of credit risk management systems for commercial loans, of Indian public sector banks, has been developed. This model has been used to underline the problems areas and obstacles in credit risk management through comparison of large and small banks. The empirical comparison of CRM practices of Indian public sector banks has resulted into emergence of various grey areas, like insufficient training, data management, inappropriate IT support, system disintegration, inconsistent rating approaches, which need immediate attention and if tackled properly, can reduce their non-performing assets.

  20. EFFECTS OF CREDIT RISK MANAGEMENT PRACTICES ON LOAN PERFORMANCE OF COMMERCIAL BANKS IN NYERI COUNTY, KENYA

    OpenAIRE

    Wachira, Alexander Kinyua

    2017-01-01

    This study sought to establish how various credit risk management practices affect performance of commercial banks in Nyeri County in Kenya. Even though commercial banks face several types of risks, credit risk stands out as the most severe. Credit risk is the possibility of loss to the lender on non-performing loans. Financial practice as well as theory provides a scientific process of credit risk management in financial institutions. However, lenders still face loan default and consequently...

  1. An Empirical Study of Credit Risk of Supply Chain Finance--Based on MF-Logistic Model%供应链金融信用风险实证研究--基于MF-Logistic模型

    Institute of Scientific and Technical Information of China (English)

    陈钦; 施丽娟

    2014-01-01

    Supply chain finance, a transition from the traditional credit mode in commercial banks, has brought the participants into a win-win situation. In China, supply chain finance is still in the initial stage. Aiming to gain profits, the commercial banks actively develop their supply chain finance businesses, but their credit risk management of the supply chain finance is relatively backward. This paper chooses macroeconomic indicators and credit risk assessment indicators of enterprise at the micro level, and uses econometrics methods to build an MF-Logistic model containing macroeconomic factors and reflecting the financial index of enterprise credit capacity. And then we conduct an empirical study on 27 groups of sample data from the first quarter of 2007 to the third quarter of 2013, and come to conclusions by the empirical study and normative analysis. Through measurement and prediction of credit risk of supply chain finance, this paper offers pre-warning against credit risk of supply chain finance for commercial banks, and provides reference for formulating corresponding measures.%供应链金融是传统商业银行授信模式的转变,带来了各参与主体共赢的局面。供应链金融在我国处于起步阶段,商业银行受收益驱动积极开拓供应链金融业务,但对供应链金融的信用风险管理还处于相对落后状态。本文选取宏观经济指标和微观企业信用风险评估指标,使用计量经济学方法构建出蕴含宏观经济因素和反映企业内部信用能力的财务指标的MF-Logistic模型,进而对2007年第一季度至2013年第三季度的27组样本数据进行实证研究,并通过实证和规范分析给出研究结论。通过对供应链金融信用风险的度量和预测,为商业银行提供供应链金融信用风险预警,并为制定相应的应对措施提供参考。

  2. Analysis of the liquidity risk in credit unions: a logit multinomial approach

    Directory of Open Access Journals (Sweden)

    Rosiane Maria Lima Gonçalves

    2008-10-01

    Full Text Available Liquidity risk in financial institutions is associated to balance between working capital and financial demands. Other factors that affect credit union liquidity are an unanticipated increase of withdrawals without an offsetting amount of new deposits, and the lack of ability in promoting the product geographical diversification. The objective of this study is to analyze Minas Gerais state credit union liquidity risk and its factor determinants. Financial ratios and the multinomial logit model are used. The cooperatives were classified in five categories of liquidity risk: very low, low, medium, high and very high. The empirical results indicate that high levels of liquidity are related to smaller values of the outsourcing capital use, immobilization of the turnover capital, and provision ratios. So, they are associated to larger values of the deposit total/credit operations, and asset growth ratios.

  3. The relationship between liquidity risk and credit risk in Islamic banking industry of Iran

    Directory of Open Access Journals (Sweden)

    Hashem Nikomaram

    2013-04-01

    Full Text Available An integrated risk management is a process, which enables banks to measure and manage all risks, simultaneously. The recent turbulent chaos on banking industry has increase the relative importance of risk management, more than before. This paper investigates the relationship between credit risk and liquidity risk among Iranian banks. The proposed study includes all private and governmental banks as population over the period 2005-2012. The results Pearson correlation has disclosed a positive and meaningful relationship between credit and liquidity risks. Bank size also impacts on two mentioned risk factors but we there seems to be no relationship between financial chaos and type of ownership with risk factors.

  4. Writing Performance of At-Risk Learners in Online Credit Recovery

    Science.gov (United States)

    Leiter, Michael P.

    2012-01-01

    Online credit recovery is becoming a popular choice for students needing to recover lost graduation credit due to course failure. The problem is that high school students who take online credit recovery classes in order to gain writing credit for graduation are failing the writing section on the state merit exam (MME). At-risk students and…

  5. Writing Performance of At-Risk Learners in Online Credit Recovery

    Science.gov (United States)

    Leiter, Michael P.

    2012-01-01

    Online credit recovery is becoming a popular choice for students needing to recover lost graduation credit due to course failure. The problem is that high school students who take online credit recovery classes in order to gain writing credit for graduation are failing the writing section on the state merit exam (MME). At-risk students and…

  6. 12 CFR 955.3 - Required credit risk-sharing structure.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Required credit risk-sharing structure. 955.3...-BALANCE SHEET ITEMS ACQUIRED MEMBER ASSETS § 955.3 Required credit risk-sharing structure. (a... conducting a rating review of the asset or pool of assets in a securitization transaction. (b) Credit risk...

  7. Effects of Collateral Pledges in Reducing Credit Risks - Confronting Banks in Jordan, as Lending Institutions

    Directory of Open Access Journals (Sweden)

    Dr. Ahmad Z.  Siam

    2007-01-01

    Full Text Available he research aims at investigating the effects of Collaterals pledges in reducing credit Risks .To achieve research goals data were collected from all commercial banks operating in Jordan. Research concluded that banks in Jordan use collaterals effectively and in a wide range, and collaterals size have a direct impact on credit risk. Credit risk differs with collaterals.

  8. 75 FR 2723 - Fair Credit Reporting Risk-Based Pricing Regulations

    Science.gov (United States)

    2010-01-15

    ... System 12 CFR Part 222 Federal Trade Commission 16 CFR Parts 640 and 698 Fair Credit Reporting Risk-Based... Parts 640 and 698 RIN 3084-AA94 Fair Credit Reporting Risk-Based Pricing Regulations AGENCIES: Board of... credit offered or extended to a particular consumer to reflect the risk of nonpayment by that...

  9. Análise do Modelo CreditRisk+ em uma amostra de portfólio de crédito

    Directory of Open Access Journals (Sweden)

    Rafael Mileo

    2013-11-01

    Full Text Available The paper analyzes CreditRisk+ Model theoretical foundations and fulfillment in a credit portfolio sample. In this analysis, CreditRisk+ Model, one of the risk assessment models created by banks, was applied in an US portfolio sample with default events identified between 1986 e 2009. Two procedures to assess performance were carried out: backtest; to compare losses measures for a given year to loss data simulated for a previous year, and stress test; to verify CreditRisk+ Model sensibility to changes in economic scenario. The results suggest that CreditRisk+ Model underestimated, between 1997 e 2009, in most years studied, the credit risk of the portfolio sample.

  10. Cooperative credit systems: defence of the model

    Directory of Open Access Journals (Sweden)

    Roxana Sánchez Boza

    2015-11-01

    Full Text Available This study analyses the role carried out by saving and credit cooperatives in Central America where they have gained momentum, mainly in the past ten years. Cooperatives of this type are called financial intermediation cooperatives due to the influence of various legislative regulations that have placed them in the context of international control, the type of economic activity they perform and the fact that they make profits from both public and private international entities which enable their growth.Many of these organisations can be commended. They are highly competitive on financial markets and strive to extend their profits to increasingly larger parts of the population while also searching for new products to benefit the sector of the population that has chosen the cooperative model as a means to progress in a sphere of equity and respect for the rights of their fellow men.Received: 31.05.2015Accepted: 17.07.2015

  11. The application of data envelopment analysis method in managing companies' credit risk

    Directory of Open Access Journals (Sweden)

    Anna Ferus

    2014-04-01

    Full Text Available The subject of the present article is a new procedure forecasting credit risk of companies in Polish economic environment. What favors the suggested approach is the fact that in Poland, unlike in western countries, DEA method has not yet been implemented in order to assess credit risk that companies face. The research described in the article has been conducted on the basis of comparison of suggested DEA method with currently used procedures, namely point method, discriminative analysis and linear regression. In order to verify and compare the efficiency of various methods of company credit risk estimation the efficiency of classification of companies has also been examined. The study has involved an analyzed sample (a teaching sample as well as a test sample which was not taken in model building. Considering the research, it can be concluded that DEA method facilitates forecasting financial problems, including bankruptcy of companies in Polish economic conditions, and its efficiency is comparable or even greater than approaches implemented so far. The DEA methodology was found to be successful within the credit evaluation process, however it might not be used as a stand alone tool for this purpose, but it can offer valuable insight to the loan officer or the analyst facing the credit approval decision.

  12. DESIGNING A HYBRID INTELLIGENT MINING SYSTEM FOR CREDIT RISK EVALUATION

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    In this study,a novel hybrid intelligent mining system integrating rough sets theory and support vector machines is developed to extract efficiently association rules from original information table for credit risk evaluation and analysis.In the proposed hybrid intelligent system,support vector machines are used as a tool to extract typical features and filter its noise,which are different from the previous studies where rough sets were only used as a preprocessor for support vector machines.Such an approach could reduce the information table and generate the final knowledge from the reduced information table by rough sets.Therefore,the proposed hybrid intelligent system overcomes the diffi-culty of extracting rules from a trained support vector machine classifier and possesses the robustness which is lacking for rough-set-based approaches.In addition,the effectiveness of the proposed hybrid intelligent system is illustrated with two real-world credit datasets.

  13. Effect of internal controls on credit risk among listed Spanish banks

    Directory of Open Access Journals (Sweden)

    Ellis Kofi Akwaa-Sekyi

    2016-02-01

    Full Text Available Purpose: The paper examines the effectiveness of internal control systems, explores the exposure of Spanish banks to the dangers of default as a result of internal control systems and establishes a relationship between internal controls and credit risk. Design/Methodology/Approach: Quantitative research approach is used to test hypotheses on the relationship between internal controls and credit risk among listed banks in Spain. Data from Bankscope and company websites from 2004-2013 were used. Generalized Least Squares (random effect econometric estimation technique was used for the model. Findings: We find that internal control systems are in place but their effectiveness cannot be guaranteed. This exposes Spanish listed banks to serious default situations. There is significant effect of internal controls on credit risk especially the control environment, risk management, control activities and monitoring. The non-disclosure of material internal control weakness is a contributory factor to the ineffective internal control systems. There is however a perceived board ineffectiveness which does not augur well for effective internal control systems. Board characteristics for Spanish banks confirm the agency theory. Research Limitations and Implications: Data unavailability for certain years, variables and many inactive banks did not permit a larger sample size than expected. The use of quantitative variables lacks flexibility. Practical Implications: Bank management will find the work useful to ensure strict enforcement of internal control mechanisms and see it as both credit risk and operational risk issues. Central bank should hurry to compel banks to disclose material internal control weakness as provided in the reviewed COSO framework. Social Implications: Ineffective internal controls lead to credit risks, bank closure and loss of investments. Society suffers a lot from such losses and contagion. Disclosure of material internal control

  14. A MULTIPLE INTELLIGENT AGENT SYSTEM FOR CREDIT RISK PREDICTION VIA AN OPTIMIZATION OF LOCALIZED GENERALIZATION ERROR WITH DIVERSITY

    Institute of Scientific and Technical Information of China (English)

    Daniel S. YEUNG; Wing W. Y. NG; Aki P. F. CHAN; Patrick P. K. CHAN; Michael FIRTH; Eric C. C. TSANG

    2007-01-01

    Company bankruptcies cost billions of dollars in losses to banks each year. Thus credit risk prediction is a critical part of a bank's loan approval decision process. Traditional financial models for credit risk prediction are no longer adequate for describing today's complex relationship between the financial health and potential bankruptcy of a company. In this work, a multiple classifier system (embedded in a multiple intelligent agent system) is proposed to predict the financial health of a company. In our model, each individual agent (classifier) makes a prediction on the likelihood of credit risk based on only partial information of the company. Each of the agents is an expert, but has limited knowledge (represented by features) about the company. The decisions of all agents are combined together to form a final credit risk prediction. Experiments show that our model out-performs other existing methods using the benchmarking Compustat American Corporations dataset.

  15. Market-implied risk-neutral probabilities, actual probabilities, credit risk and news

    Directory of Open Access Journals (Sweden)

    Shashidhar Murthy

    2011-09-01

    Full Text Available Motivated by the credit crisis, this paper investigates links between risk-neutral probabilities of default implied by markets (e.g. from yield spreads and their actual counterparts (e.g. from ratings. It discusses differences between the two and clarifies underlying economic intuition using simple representations of credit risk pricing. Observed large differences across bonds in the ratio of the two probabilities are shown to imply that apparently safer securities can be more sensitive to news.

  16. High-Risk Health and Credit Behavior among 18- to 25-Year-Old College Students

    Science.gov (United States)

    Adams, Troy; Moore, Monique

    2007-01-01

    The number of students accumulating credit card debt--and the amount of debt itself--on college campuses is increasing. If high-risk credit and health behavior are associated, health behavior interventions might apply to high-risk credit behavior. Objective: The authors' purpose was to examine these possible associations. Participants and Methods:…

  17. High-Risk Health and Credit Behavior among 18- to 25-Year-Old College Students

    Science.gov (United States)

    Adams, Troy; Moore, Monique

    2007-01-01

    The number of students accumulating credit card debt--and the amount of debt itself--on college campuses is increasing. If high-risk credit and health behavior are associated, health behavior interventions might apply to high-risk credit behavior. Objective: The authors' purpose was to examine these possible associations. Participants and Methods:…

  18. Multiple challenges of risk management in EU credit institutions

    Directory of Open Access Journals (Sweden)

    Constantinescu, A.

    2011-01-01

    Full Text Available This paper is intended to be a significant insight into risk management issues by describing the main types of such risks and by providing management and evaluation procedures of significant risks into some active banking companies in Romania. In times of crisis, risk management in the banking system has a greater importance than in the normal economic times. The 2011 was a year in which Romania has been hit by the repercussions of the international economic crisis. Using strategies against risks, implementing procedures to monitor and control risks, risk assessment and quantification can substantially reduce the financial losses of a company or those of a financial institution. Risk management is an integral part of all decision making and business processes from credit institutions, its purpose being to protect their sustainable development. The innovations on the financial market, the internationalization of the specific operations, and the pressure of the competition are just a few arguments that impose a permanent supervision of the general and specific risks. This is the main reason why is compulsory to find new methods of managing risks, to keep in consideration the identification, evaluation of the management and the control of the banking system and of each bank.

  19. QUALITY BASED CREDIT RISK MITIGATION FOR BANK PERFORMANCE ENHANCEMENT: EMPIRIC STUDY IN AN INDONESIAN BANK

    Directory of Open Access Journals (Sweden)

    Nini Avieni

    2014-04-01

    Full Text Available There is an ongoing controversy over whether risk mitigation inherently enhances business performance. The aim of this paper is to settle the controversy, and provide insights roles of risk mitigation on corporate strategy. Author examined implication of Lean Six Sigma at credit risk mitigation system at one of Indonesia banks.  Based on responses from 112 credit analysts and database of business units performance indicators, this research showed a relationship between the implication of Lean Six Sigma at credit risk mitigation system and unit bank's performance. Quality Based Credit Risk Mitigation which is credit risk mitigation using Lean Six Sigma system will enhance business units’ performance through improvement in credit quality and credit process efficiency.

  20. Sample-path Large Deviations in Credit Risk

    CERN Document Server

    Leijdekker, Vincent; Spreij, Peter

    2009-01-01

    The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail asymptotics of the probabilities involved. We first derive a sample-path large deviation principle (LDP) for the portfolio's loss process, which enables the computation of the logarithmic decay rate of the probabilities of interest. In addition, we derive exact asymptotic results for a number of specific rare-event probabilities, such as the probability of the loss process exceeding some given function.

  1. A Dependent Hidden Markov Model of Credit Quality

    Directory of Open Access Journals (Sweden)

    Małgorzata Wiktoria Korolkiewicz

    2012-01-01

    Full Text Available We propose a dependent hidden Markov model of credit quality. We suppose that the "true" credit quality is not observed directly but only through noisy observations given by posted credit ratings. The model is formulated in discrete time with a Markov chain observed in martingale noise, where "noise" terms of the state and observation processes are possibly dependent. The model provides estimates for the state of the Markov chain governing the evolution of the credit rating process and the parameters of the model, where the latter are estimated using the EM algorithm. The dependent dynamics allow for the so-called "rating momentum" discussed in the credit literature and also provide a convenient test of independence between the state and observation dynamics.

  2. Evaluation of portfolio credit risk based on survival analysis for progressive censored data

    Science.gov (United States)

    Jaber, Jamil J.; Ismail, Noriszura; Ramli, Siti Norafidah Mohd

    2017-04-01

    In credit risk management, the Basel committee provides a choice of three approaches to the financial institutions for calculating the required capital: the standardized approach, the Internal Ratings-Based (IRB) approach, and the Advanced IRB approach. The IRB approach is usually preferred compared to the standard approach due to its higher accuracy and lower capital charges. This paper use several parametric models (Exponential, log-normal, Gamma, Weibull, Log-logistic, Gompertz) to evaluate the credit risk of the corporate portfolio in the Jordanian banks based on the monthly sample collected from January 2010 to December 2015. The best model is selected using several goodness-of-fit criteria (MSE, AIC, BIC). The results indicate that the Gompertz distribution is the best model parametric model for the data.

  3. The Impact of Credit Risk Management on Profitability of Commercial Banks : A Study of Europe

    OpenAIRE

    Zou, Yijun; Li, Fan

    2014-01-01

    Banks today are the largest financial institutions around the world, with branches and subsidiaries throughout everyone’s life. However, commercial banks are facing risks when they are operating. Credit risk is one of the most significant risks that banks face, considering that granting credit is one of the main sources of income in commercial banks. Therefore, the management of the risk related to that credit affects the profitability of the banks. The aim of the research is to provide stake...

  4. The relationship between liquidity risk and credit risk in Islamic banking industry of Iran

    OpenAIRE

    Hashem Nikomaram; Mehdi Taghavi; Somayeh Khalili Diman

    2013-01-01

    An integrated risk management is a process, which enables banks to measure and manage all risks, simultaneously. The recent turbulent chaos on banking industry has increase the relative importance of risk management, more than before. This paper investigates the relationship between credit risk and liquidity risk among Iranian banks. The proposed study includes all private and governmental banks as population over the period 2005-2012. The results Pearson correlation has disclosed a positive ...

  5. The relationship between credit risk and the performance of banks

    Directory of Open Access Journals (Sweden)

    Shamim Kabiri harzevili

    2016-06-01

    Full Text Available The purpose of this paper is to examine the relationship between credit risk and the performance of banks with an emphasis on performance indicators; doubtful receivables ratio to total loans and costs per loans to total loans are used for measuring the credit risk. The population of this research includes ten banks listed on the Tehran Stock Exchange. The banks were selected as the sample of the study through an eight year fiscal period from 2007 to 2014. This study, is a descriptive study. To analyze the data, multiple linear regression and combined data analysis were used through the application of Eviwes7software. The results of the hypotheses of the study indicate that there is a negative relationship between doubtful receivables ratio and Total asset turn over and profit margin. Also there is a direct relationship between cost per loan advanced ratios and Total asset turn over and a negative relationship between cost per loan advanced ratios and profit margin.

  6. 基于KMV-Merton模型的上市公司信用风险度量研究%Credit Risk Analysis of Tourism Listed Companies Based on KMV-Merton Model

    Institute of Scientific and Technical Information of China (English)

    于海波

    2011-01-01

    本文结合KMV-Merton模型,对上市公司信用风险度量方法进行比较研究.首先,求得权益收益的条件标准差;其次,通过改进的迭代过程估计KMV-Merton模型中不可观测的资产市值和波动率,进而根据预期违约概率评估上市公司的信用状况,并对两类模型分别得到的违约距离进行了比较分析.%This paper comparatively analyses the credit risk model to listed company combined with KMV-Merton model. Firstly, it gets the equity return's conditional standard volatility; secondlyi estimates the latent marketing value and volatility in KMV-Merton model through improved iteration process, then evaluates the credit situation according EDF, and comparatively analyses two of default of distance got from two kind of model.

  7. Credit risk analysis at the level of an operative branch of the bank

    Directory of Open Access Journals (Sweden)

    Imola DRIGA

    2010-12-01

    Full Text Available Credit risk is most simply defined as the potential that a borrower/counter party will fail to meet its obligations in accordance with agreed terms. The goal of credit risk management is to maintain credit risk exposure within targeted limits so that the bank can maximize risk adjusted return. In such cases, the account of the customer inevitably becomes overdue, the granted loan turns into a non-performing credit and the lending bank registers a decline of its profit. In order to prevent such situations, commercial banks must take certain measures of reducing credit risk. In order to assess the exposure to credit risk, we can operate with a system of indicators based on information obtained from financial statements. The paper presents how the exposure to this type of risk can be evaluated at the level of an operative branch of the bank.

  8. Analisis Model Peramalan Status Kredit Kendaraan Bermotor pada Astra Credit Companies (ACC Cabang X Periode 2011

    Directory of Open Access Journals (Sweden)

    Tomy G. Soemapradja

    2012-05-01

    Full Text Available In order to increasing revenue, credit and financial institution, especially, automotive financing, gave lower interest rate. This, of course, will impact to the costumer with higher opportunity to have their dream which facilitated by those institutions. Despites to all economic risks and sales targets, credit and financial institutions have to empower their credit monitoring to anticipate earlier of credit defaults. Inspired by Altman’s research in 1968, about predicting bankruptcy of US companies, this research has purpose to determine which variable that significantly to the car loan status at Astra Credit Companies (ACC, and further continue to arrange prediction model of loan status and measure it’s accuracy level.. The statistic test shows there are 2 independent variables affect to dependent variable significantly, where model’s accuracy level achieves 100%.

  9. Risk Pricing in Emerging Economies: Credit Scoring and Private Banking in Iran

    Directory of Open Access Journals (Sweden)

    Yiannis Anagnostopoulos

    2016-01-01

    Full Text Available Iran’s banking industry as a developing country is comparatively very new to risk management practices. An inevitable predictive implication of this rapid growth is the growing concerns with regard to credit risk management which is the motivation of conducting this research. The paper focuses on the credit scoring aspect of credit risk management using both logit and probit regression approaches. Real data on corporate customers are available for conducting this research which is also a contribution to this area for all other developing countries. Our questions focus on how future customers can be classified in terms of credibility, which models and methods are more effective in better capturing risks. Findings suggest that probit approaches are more effective in capturing the significance of variables and goodness-of-fitness tests. Seven variables of the Ohlson O-Score model are used: CL_CA, INTWO, OENEG, TA_TL, SIZE, WCAP_TA, and ROA; two were found to be statistically significant in logit (ROA, TL_TA and three were statistically significant in probit (ROA, TL_TA, SIZE. Also, CL_CA, ROA, and WCAP_TA were the three variables with an unexpected correlation to the probability of default. The prediction power with the cut-off point is set equal to 26% and 56.91% for defaulted customers in both logit and probit models. However, logit achieved 54.85% correct estimation of defaulted assets, 0.37% more than what probit estimated.

  10. 农村商业性小额贷款决策风险评估模型及其求解%Decision-making risk evaluation model and solution for rural commercial micro-credit

    Institute of Scientific and Technical Information of China (English)

    林佳丽; 姜大志; 薛声家

    2013-01-01

    As a specialized financial innovation system,the rural micro-credit transactions will play a important role in Chinese financial developing. However,how to deal with the risk is the key question for the micro-credit company. In this paper, we discussed the relevant indicators which influenced the decision making in farmer micro-credit transactions, and tried to construct a risk evaluation model to fit the issue. Furthermore, a novel multi-parent combination algorithm based on the constraint treatment and unified character is presented and applied to solve the decision-making model. The result of simulation shows that, the method presented in this paper improves the accuracy of decision-making to some extent, and provides a referential solving idea for decision-making management in micro-credit company.%作为一种金融创新制度,农村小额贷款将在未来经济发展中发挥重要的作用,如何科学地控制小额贷款公司在实施贷款业务过程中的风险一直是一个关键问题.本文通过分析农村小额贷款中的相关风险指标,构建了小额贷款公司农村贷款业务的决策风险评估模型,提出一种基于约束处理和统一性的多父体杂交算法对模型进行求解.实证分析结果表明提出的模型和方法能在一定程度上控制贷款决策的风险,为小额贷款公司的决策管理提供一条可参考的解决思路.

  11. An Analysis of the Factors Leading to Rising Credit Risk in the Zimbabwe Banking Sector

    Directory of Open Access Journals (Sweden)

    Maxwell Sandada

    2016-02-01

    Full Text Available The study sought to analyse the factors that lead to rising credit risk in the Zimbabwean banking sector. The objective was to ascertain the impact of macroeconomic, industry and bank specific factors on rising credit risk in in Zimbabwe. The study aimed at contributing to credit risk management literature by providing evidence Sub Saharan context. Being anchored on the positivist quantitative research approach, a survey was carried out gather the data that were analysed using descriptive, correlation and regression analyses. The results revealed that the most significant factors leading to credit risk in the Zimbabwean banking sector were macroeconomic and bank specific factors. The industry factors did not show a significant influence on the rising credit risk. The research findings of this study will a valuable addition to the existing knowledge and provide a platform for further research on how the credit risk problems can be dealt with. While credit risk is known as one of the risks inherent to any banking institutions, the alarming levels of credit risk in the Zimbabwe banking sector has motivated this current study to critically analyse the factors that have led to the high credit risk levels.

  12. CREDIT SYSTEM AND CREDIT GUARANTEE PROGRAMS

    OpenAIRE

    Turgay GECER

    2012-01-01

    Credit system is an integrated architecture consisted of financial information, credit rating, credit risk management, receivables and credit insurance systems, credit derivative markets and credit guarantee programs. The main purpose of the credit system is to provide the functioning of all credit channels and to make it easy to access of credit sources demanded by all of real and legal persons in any economic system. Credit guarantee program, the one of prominent elements of the credit syst...

  13. CREDIT SYSTEM AND CREDIT GUARANTEE PROGRAMS

    OpenAIRE

    Turgay GECER

    2012-01-01

    Credit system is an integrated architecture consisted of financial information, credit rating, credit risk management, receivables and credit insurance systems, credit derivative markets and credit guarantee programs. The main purpose of the credit system is to provide the functioning of all credit channels and to make it easy to access of credit sources demanded by all of real and legal persons in any economic system. Credit guarantee program, the one of prominent elements of the credit syst...

  14. Bank Specific and Macroeconomics Dynamic Determinants of Credit Risk in Islamic Banks and Conventional Banks

    OpenAIRE

    Waeibrorheem Waemustafa; Suriani Sukri

    2015-01-01

    The study analyzes macroeconomic and bank specific determinants of credit risk in Islamic and Conventional Banks. Multivariate Regression analysis is applied on the sample of 15 conventional banks and 13 Islamic Banks in Malaysia over the period between 2000 and 2010. The finding shows that the banks specific determinants of credit risk are uniquely influenced the credit risk formation of Islamic and Conventional banks. The study found that risky sector financing; regulatory capital (REGCAP) ...

  15. Higher order saddlepoint approximations in the Vasicek portfolio credit loss model

    NARCIS (Netherlands)

    Huang, X.; Oosterlee, C.W.; van der Weide, J.A.M.

    2006-01-01

    This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value at Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss

  16. 75 FR 54020 - Federal Housing Administration Risk Management Initiatives: New Loan-to-Value and Credit Score...

    Science.gov (United States)

    2010-09-03

    ... loan-to-value (LTV) for borrowers with lower credit scores who represent a higher risk of default and.... The new LTV and credit score requirements will reduce the risk to the MMIF and ensure that home buyers..., specific to each applicant. Lower credit scores indicate greater risk of default on any new credit extended...

  17. Uma sistemática para construção e escolha de modelos de previsão de risco de crédito Methodology for the construction and choice of credit risk prediction models

    Directory of Open Access Journals (Sweden)

    Lisiane Priscila Roldão Selau

    2009-09-01

    Full Text Available Com o aumento recente nos volumes de créditos a pessoas físicas e, por consequência, nos índices de inadimplência, as empresas estão buscando melhorar sua análise de crédito incorporando critérios objetivos. Técnicas multivariadas têm sido utilizadas para construir modelos de previsão de crédito que, baseados em informações cadastrais dos clientes, levam à criação de um padrão de comportamento em relação à inadimplência. O objetivo deste artigo é propor uma sistemática para construção de modelos de previsão de risco de crédito e avaliar seu desempenho usando três modelos específicos: análise discriminante, regressão logística e redes neurais. O método proposto (denominado Modelo PRC é composto de seis etapas: (i delimitação da população; (ii seleção da amostra; (iii análise preliminar; (iv construção do modelo; (v escolha do modelo; e (vi passos para implantação. O Modelo PRC foi aplicado em uma amostra de 17.005 clientes de uma rede de farmácias com crediário próprio. Os resultados para este banco de dados específico apontam uma pequena superioridade do modelo de redes neurais em relação aos outros modelos, que pode ser atribuída a sua não linearidade em relação à combinação de variáveis.Due to the growing consumer credit market and, therefore, insolvency indices, companies are seeking to improve their credit analysis by incorporating objective judgments. Multivariate techniques have been used to construct credit models. These models, based on consumer registration information, allow the identification of behavior standards concerning insolvency. The objective of this work is to propose a methodology for the construction of credit risk models and to evaluate prediction performance using three specific models: discriminant analysis, logistic regression, and neural networks. The proposed method (entitled PRC Model embraces six steps: (i population definition, (ii sampling, (iii

  18. The effect of stressed economic conditions on credit risk in Basel II

    Directory of Open Access Journals (Sweden)

    Ja'nel Esterhuysen

    2011-06-01

    Full Text Available The robustness of the Basel II accord in protecting banks during volatile economic periods has been challenged in the ongoing credit crisis. In particular, advanced approaches to measuring and managing credit risk have drawn criticism for being both irrelevant and too complex. Despite accusations that the accord was largely responsible for the crisis, this article explores which of Basel II's credit risk approaches were more successful in allocating capital. It was found that, in general, compliance with Basel II actually protected banks during the crisis, with simpler approaches enjoying greater success than more advanced ones in protecting banks against credit risk.

  19. An Application Relating To Credit Risk and Credit Risk Management in Tu rkish Banking System: The Case of Turkey Garanti Bank

    Directory of Open Access Journals (Sweden)

    Seyhan Çil Koçyiğit

    2014-09-01

    Full Text Available Within the globalization process of the world, at the competitive area arised as a result of the rapid increase in the number of banks and their branches in developing countries, the vigorously existance of banks depend on the management of the risks faced successfully. Banks must establish their credit strategies onto a good risk managment. Indeed, it is the inevitable fact that the success of financial institutions depends on having a powerful risk management system. In this study, by using the banking ratios, it is aimed to investigate the credit-risk changes of Turkish Garanti Bank (S.C. by three-month periods of 2007–2012 and give information about the risk management of Turkish Garanti Bank (S.C.. In conclusion, it is seen that, at Turkish Garanti Bank (S.C., credit risk is measured and evaluated in accordance with international standards, and all risk management is executing in parallel with Basel II regulations.

  20. Fuzzy neural and chaotic searching hybrid algorithm and its application in electric customers's credit risk evaluation

    Institute of Scientific and Technical Information of China (English)

    LI Xiang; LIU Guang-ying; QI Jian-xun

    2007-01-01

    To evaluate the credit risk of customers in power market precisely, the new chaotic searching and fuzzy neural network (FNN)hybrid algorithm were proposed. By combining with the chaotic searching,the learning ability of the FNN was markedly enhanced. Customers'actual credit flaw data of power supply enterprises were collected to carry on the real evaluation, which can be treated as example for the model. The result shows that the proposed method surpasses the traditional statistical models in regard to the precision of forecasting and has a practical value. Compared with the results of ordinary FNN and ANN. the precision of the proposed algorithm call be enhanced by 2.2% and 4.5%. respectively.

  1. CREDIT RISK ASSESSMENT IN THE ROMANIAN BANKING SYSTEM. EVIDENCE FROM THE RECENT FINANCIAL CRISIS

    Directory of Open Access Journals (Sweden)

    Anamaria Avadanei

    2011-12-01

    Full Text Available The financial crisis followed by the recession has adversely affected the quality of Romanian banking assets. The aim of this paper is to point out the implications of credit risk in the Romanian banking system following the accelerate dynamics of credit activity before the financial crisis and the effects vs. solutions proposed and implemented in recent years. Structured on four parts, the study presents the recent contributions in the crisis-lending relationship, the main features of the Romanian banking system, the evaluation of credit risk in terms of numbers, facts, actions and a short analysis of the correlation between credit indicators (consumer credit, credit risk ratio, medium exchange rate and the number of employees in the economy. To conclude, we propose to define the key points of the future Romanian banking activity.

  2. Rural Credit and Farms Efficiency: Modelling Farmers Credit Allocation Decisions, Evidences from Benin

    Directory of Open Access Journals (Sweden)

    Comlan Hervé Sossou

    2014-01-01

    Full Text Available This paper analyses farmers’ credit allocation behaviors and their effects on technical efficiency. Data were collected from 476 farmers using the multistage sampling procedure. The stochastic frontier truncated-normal with conditional mean model is used to assess allocation schemes effects on technical efficiency. Tobit model reveals the impact of farmers’ sociodemographic characteristics on efficiency scores. Results reveal that farm revenue (about 2,262,566 Fcfa on average is positively correlated with land acreage, quantity of labour, and costs of fertilizers and insecticides. Farmers’ behaviors respond to six schemes which are categorized in two allocations contexts: out-farm and in-farm allocations. The model shows that only scheme (e positively impacts technical efficiency. This scheme refers to the decision to invest credit to purchase better quality of pesticides, herbicides, fertilizers, and so forth. The positive effect of the scheme (c may be significant under conditions of farmers’ education level improvement. Then, scheme (e is a better investment for all farmers, but effect of credit allocation to buy agricultural materials is positive only for educated farmers. Efficiency scores are reduced by household size and gender of the household head. Therefore a household with more than 10 members and a woman as head is likely to not be technically efficient.

  3. 基于Matlab计算的KMV模型在商业银行信用风险管理中的应用%KMV model calculations based on Matlab in Commercial Bank Credit Risk Management

    Institute of Scientific and Technical Information of China (English)

    李园

    2014-01-01

    社会经济的不断发展,金融行业也处于不断发展之中,服务范围也得到更广泛的拓展,在金融企业发展的同时也出现了一系列问题,商业银行的不断发展,过去银行风险管理的方式已经不能满足新时代银行各种风险因素的控制需求,非常有必要加强风险管理体系的构建,强化商业银行的抗风险能力,让商业银行作为一个资金交流支撑,能够更好地给发行者与投资者提供更准确的商业信息,降低银行的信用风险。本文主要分析了Matlab计算函数中的KMV模型在商业银行信用风险管理中的应用。%The social economy continues to develop,the financial sector is also growing among a wider range of services has also been expansion in the financial business development while there have been a series of problems,the continuous development of the commercial banks in the past the bank's risk management mode can not meet the needs of a new era of banking various control risk factors is necessary to strengthen the risk management system to build,strengthen anti-risk ability of commercial banks,commercial banks make money as an exchange of support,better able to give the publisher and investors provide more accurate business information,reduce the credit risk of banks.This paper analyzes the function of the Matlab computing KMV model in commercial bank credit risk management.

  4. 供应链金融视角下的中小企业信用风险评估研究——基于SVM与BP神经网络的比较研究%Research on SMEs Credit Risk Assessment from the Perspective of Supply Chain Finance- A Comparative Study on the SVM Model and BP Model

    Institute of Scientific and Technical Information of China (English)

    胡海青; 张琅; 张道宏

    2012-01-01

    In recent years, supply chain finance(SCF) services based on the real trade background between Small and Medium Enterprises (SMEs) and core enterprises have developed rapidly in China, which provide a new and creative perspective for commercial banks to assess the credit risk of SMEs. This paper is to research credit risk assessment in SCF services. An index system of credit risk assessment considering the core enterprise's credit status and the supply chain relationship is developed. Furthermore, a credit risk assessment model based on SVM is conducted in this paper. At last through analyzing and comparing the empirical results, it is testified that the SVM-based SMEs credit risk assessment model is more effective and advantageous than BP Neural Network-based credit risk assessment model, and the new assessment index system can alleviate the financing difficulties of SMEs.%近年来.依托中小企业与核心企业间真实贸易背景开发的供应链金融业务在我国发展迅速,这要求商业银行从新的视角对中小企业的信用风险进行认识和评估。本文从供应链金融的视角,提出了新的中小企业信用风险评估指标体系,该体系结合了核心企业资信情况及供应链关系情况,运用机器学习的方法支持向量机(SVM)建立信用风险评估模型:并通过与用BP神经网络算法建立的信用风险评估模型进行实证结果对比.结果表明在小样本下基于SVM的信用风险评估模型更具有效性和优越性,同时证实了供应链金融视角下的中小企业信用风险评估指标体系能够更准确地判断中小融资企业的信用状况,有助于缓解中小企业融资困境。

  5. Credit Scoring Model Hybridizing Artificial Intelligence with Logistic Regression

    Directory of Open Access Journals (Sweden)

    Han Lu

    2013-01-01

    Full Text Available Today the most commonly used techniques for credit scoring are artificial intelligence and statistics. In this paper, we started a new way to use these two kinds of models. Through logistic regression filters the variables with a high degree of correlation, artificial intelligence models reduce complexity and accelerate convergence, while these models hybridizing logistic regression have better explanations in statistically significance, thus improve the effect of artificial intelligence models. With experiments on German data set, we find an interesting phenomenon defined as ‘Dimensional interference’ with support vector machine and from cross validation it can be seen that the new method gives a lot of help with credit scoring.

  6. Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle

    Directory of Open Access Journals (Sweden)

    Dimitris Gavalas

    2014-03-01

    Full Text Available Credit risk measurement remains a critical field of top priority in banking finance, directly implicated in the recent global financial crisis. This paper examines the dynamic linkages between credit risk migration due to rating shifts and prevailing macroeconomic conditions, reflected in alternative business cycle states. An innovative empirical methodology applies to bank internal rating data, under different economic scenarios and investigates the implications of credit risk quality shifts for risk rating transition matrices. The empirical findings are useful and critical for banks to align to Basel guidelines in relation to core capital requirements and risk-weighted assets in the underlying loan portfolio.

  7. THE INFLUENCE OF MACROECONOMIC CONDITIONS ON CREDIT RISK: CASE OF ROMANIAN BANKING SYSTEM

    Directory of Open Access Journals (Sweden)

    Iulia Andreea Bucur

    2014-07-01

    Full Text Available This paper aims to explore the interactions between macroeconomic conditions, such as: real GDP growth rate, inflation rate, market interest rate, broad money supply, foreign exchange rate fluctuation and unemployment rate, and credit risk in Romanian banking sector during 2008-2013. The interrelations of indicators’ complexity imply a multidimensional statistical analysis in order to find a relation between the macroeconomic conditions and the credit risk. Our regression analysis findings confirm the hypothesis according to which the money supply growth rate and the market foreign exchange rate are negatively related with credit risk and the unemployment rate is positively related with it. Furthermore, our findings revealed that the credit risk is significantly and negatively affected by the exchange rate fluctuation and significantly and positively affected by the unemployment rate. The results do not indicate a significant relationship between credit risk and real GDP growth rate.

  8. An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System

    Directory of Open Access Journals (Sweden)

    Boštjan Aver

    Full Text Available The study presents the results of an analysis of credit risk factors of the Slovenian banking system. The objective of the empirical analysis is to establish which macroeconomic factors influence the systematic credit risk of the Slovenian banking loan portfolio. The research results have confirmed the main hypothesis that certain macroeconomic factors have a major influence on the examined credit risk.We could conclude that the credit risk of the loan portfolio depends on the employment or unemployment rate in Slovenia, on short and long-term interest rates of Slovenian banks and the Bank of Slovenia, and on the value of the Slovenian stock exchange index. We cannot claim that the examined credit risk depends on the inflation rate in Slovenia, the growth of GDP (industrial production, EUR and USD exchange rates or the growth of Slovenian import and export.

  9. Assessment of Credit Risk Approaches in Relation with Competitiveness Increase of the Banking Sector

    Directory of Open Access Journals (Sweden)

    Cipovová Eva

    2012-06-01

    Full Text Available The article is focused on a presentation and analysis of selected methods of credit risk management in relation with competitiveness increase of the banking sector. The article is defined credit risk approaches under the Basel III gradually. Aim of this contribution constitutes various methods of credit risk management and effects of their usage on regulatory capital amount in respect of corporate exposures. Optimal equity amount in relation to the risk portfolio presents an essential prerequisite of performance and competitiveness growth of commercial banks. Gradually capital requirements using Standardized Approach and Internal Based Approach in a case of used and unused techniques of credit risk reduce has been quantified. We presume that sophisticated approach means significant saving for bank’s equity which increases competitiveness of banking sector also. Within the article, quantification of capital savings in case of Standardized (with and without assigned external ratings and Foundation Internal Based Approach at the selected credit portfolio has been effected.

  10. Bank Behavior with Access to Credit Risk Transfer Markets

    NARCIS (Netherlands)

    Goderis, B.V.G.; Marsh, I.; Vall Castello, J.; Wagner, W.B.

    2006-01-01

    One of the most important recent innovations in financial markets has been the development of credit derivative products that allow banks to more actively manage their credit portfolios than ever before.We analyze the effect that access to these markets has had on the lending behavior of a sample of

  11. STOCHASTIC MODELING OF OPTIMIZED CREDIT STRATEGY OF A DISTRIBUTING COMPANY ON THE PHARMACEUTICAL MARKET

    Directory of Open Access Journals (Sweden)

    M. Boychuk

    2015-10-01

    Full Text Available The activity of distribution companies is multifaceted. Ihey establish contacts with producers and consumers, determine the range of prices of medicines, do promotions, hold stocks of pharmaceuticals and take risks in their further selling.Their internal problems are complicated by the political crisis in the country, decreased purchasing power of national currency, and the rise in interest rates on loans. Therefore the usage of stochastic models of dynamic systems for the research into optimizing the management of pharmaceutical products distribution companies taking into account credit payments is of great current interest. A stochastic model of the optimal credit strategy of a pharmaceutical distributor in the market of pharmaceutical products has been constructed in the article considering credit payments and income limitations. From the mathematical point of view the obtained problem is the one of stochastic optimal control where the amount of monetary credit is the control and the amount of pharmaceutical product is the solution curve. The model allows to identify the optimal cash loan and the corresponding optimal quantity of pharmaceutical product that comply with the differential model of the existing quantity of pharmaceutical products in the form of Ito; the condition of the existing initial stock of pharmaceutical products; the limitation on the amount of credit and profit received from the product selling and maximize the average integral income. The research of the stochastic optimal control problem involves the construction of the left process of crediting with determination of the shift point of that control, the choice of the right crediting process and the formation of the optimal credit process. It was found that the optimal control of the credit amount and the shift point of that control are the determined values and don’t depend on the coefficient in the Wiener process and the optimal trajectory of the amount of

  12. THE IMPORTANCE OF THE LIQUIDITY RISK IN THE MANAGEMENT OF THE CREDIT INSTITUTIONS

    Directory of Open Access Journals (Sweden)

    Costea Ciprian-Dan

    2013-03-01

    Full Text Available The credit institutions management faces nowadays new and important challenges, of which the most important is the central role the liquidity risk management takes in the overall banking management complexity. This shows that liquidity risk in at the top of attention in the modern banking management, all the other banking risks being subsequent to this one. International regulations and settlers come to sustain the rising importance of liquidity risk in modern credit institution management.

  13. Trade Credits and Bank Credits in International Trade: Substitutes or Complements?

    OpenAIRE

    Engemann, Martina; Eck, Katharina; Schnitzer, Monika

    2011-01-01

    Trade credits are an important financing tool for internationally active firms. This is surprising, as trade credits are generally more expensive than bank credits and thus a costly substitute for bank financing. In this paper, we investigate the relation between trade credits and bank credits for exporting firms. We develop a theoretical model and show that trade credits convey a quality signal which reduces the risk of the transaction and may thus facilitate obtaining additional bank credit...

  14. The optimal inventory policy for EPQ model under trade credit

    Science.gov (United States)

    Chung, Kun-Jen

    2010-09-01

    Huang and Huang [(2008), 'Optimal Inventory Replenishment Policy for the EPQ Model Under Trade Credit without Derivatives International Journal of Systems Science, 39, 539-546] use the algebraic method to determine the optimal inventory replenishment policy for the retailer in the extended model under trade credit. However, the algebraic method has its limit of application such that validities of proofs of Theorems 1-4 in Huang and Huang (2008) are questionable. The main purpose of this article is not only to indicate shortcomings but also to present the accurate proofs for Huang and Huang (2008).

  15. Credit Risk Evaluation System For Nigerian Banks Using Artificial Ne

    African Journals Online (AJOL)

    MANKABS

    science problem in financial analysis. The main ... (bank or home loan business). Loan applicants can be categorized into good applicants ... however, from high cost of training credit officers ... relationships themselves that are not obvious.

  16. Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters

    Directory of Open Access Journals (Sweden)

    Saleh Alodayni

    2016-11-01

    Full Text Available This paper assesses the effect of the recent 2014–2015 oil price slump on the financial stability in the Gulf Cooperation Council (GCC region. The first objective of this paper is to assess how oil price shock propagates within the macroeconomy and how the macro shocks transmit to GCC banks’ balance sheets. This part of the paper implements a System Generalized Method of Moments (GMM and a Panel Fixed Effect Model to estimate the response of nonperforming loans (NPLs to its macroeconomic determinants. The second objective of this paper is to assess any negative feedback effects between the GCC banking systems and the economy. The paper, therefore, implements a Panel VAR model to explore the macro-financial linkages between GCC banking systems and the real economy. The results indicate that oil price, non-oil GDP, interest rate, stock prices, and housing prices are major determinants of NPLs across GCC banks and the overall financial stability in the region. Credit risk shock tends to propagate disturbances to non-oil GDP, credit growth, and stock prices across GCC economies. A higher level of NPLs restricts banks’ credit growth and can dampen economic growth in these economies. The results support the notion that disturbances in banking systems lead to unwanted economic consequences for the real sector.

  17. 26 CFR 5c.168(f)(8)-7 - Reporting of income, deductions and investment tax credit; at risk rules.

    Science.gov (United States)

    2010-04-01

    ... tax credit; at risk rules. 5c.168(f)(8)-7 Section 5c.168(f)(8)-7 Internal Revenue INTERNAL REVENUE... investment tax credit; at risk rules. (a) In general. The fact that the lessor's payments of interest and... property shall be limited to the extent the at risk rules under the investment tax credit provisions and...

  18. Comparison of Artificial Neural Networks and Logistic Regression Analysis in the Credit Risk Prediction

    Directory of Open Access Journals (Sweden)

    Hüseyin BUDAK

    2012-11-01

    Full Text Available Credit scoring is a vital topic for Banks since there is a need to use limited financial sources more effectively. There are several credit scoring methods that are used by Banks. One of them is to estimate whether a credit demanding customer’s repayment order will be regular or not. In this study, artificial neural networks and logistic regression analysis have been used to provide a support to the Banks’ credit risk prediction and to estimate whether a credit demanding customers’ repayment order will be regular or not. The results of the study showed that artificial neural networks method is more reliable than logistic regression analysis while estimating a credit demanding customer’s repayment order.

  19. A Sustainable Financing Credit Rating Model for China’s Small- and Medium-Sized Enterprises

    Directory of Open Access Journals (Sweden)

    Yu Cao

    2014-01-01

    Full Text Available This paper builds a sustainable financing credit rating index system for small- and medium-sized enterprises in China from the perspective of sustainability. Then, a quantitative model for credit rating evaluation based on our index system is proposed by using fuzzy analytic hierarchy process (FAHP, which has the advantage of considering both quantitative and qualitative factors. Our numerical example shows that the index system is effective and practical. Our system improves the existing credit rating system to a certain extent. The evaluation method proposed can play an important guiding role for China's small- and medium-sized enterprises in the current transformation age. In particular, interested stakeholders can use this model to evaluate the investment risk of companies, especially with a focus on sustainability.

  20. Credit risk and the instability of the financial system: An ensemble approach

    Science.gov (United States)

    Schmitt, Thilo A.; Chetalova, Desislava; Schäfer, Rudi; Guhr, Thomas

    2014-02-01

    The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this problem is amenable to be treated with approaches developed in statistical physics. We introduce the idea of ensemble averaging and thereby uncover generic features of credit risk. We then show that the often advertised concept of diversification, i.e., reducing the risk by distributing it, is deeply flawed when it comes to credit risk. The risk of extreme losses remains due to the ever present correlations, implying a substantial and persistent intrinsic danger to the financial system.

  1. An inventory model with a new credit drift: Flexible trade credit policy

    Directory of Open Access Journals (Sweden)

    Ankit Prakash Tyagi

    2016-01-01

    Full Text Available In most of the published articles dealing with optimal order quantity model under permissible delay in payments, it is assumed that the supplier only put forwards fully permissible delay in payments if retailer ordered a bulky sufficient quantity otherwise permissible delay in payments would not be permitted. Practically, in competitive market environments and recession phases of business, every supplier wants to attract more retailers by the help of providing good facilities for trading. Necessity of order quantity may put a negative pressure on supplier’s demand. So, within the economic order quantity (EOQ framework the main purpose of this paper is to broaden this extreme case by introducing a new credit policy, Flexible Trade Credit Policy (FTCP, for supplier which can help him provide more free space of trading to retailers. This policy, after adopting by suppliers, not only provides attractive trading environments for retailers but also enhances the demand of supplier due to the large number of new retailers. Here in, under this policy, an inventory system is investigated as a cost minimization problem to establish the retailer’s optimal inventory cycle time and optimal order quantity. Three theorems are established to describe and to lighten optimal replenishment policies for the retailer. Finally, numerical examples are considered to illustrate all these theorems and managerial insights are given based on considered numerical examples.

  2. The Credit-Risk Decision Mechanism on Fixed Loan Interest Rate with Imperfect Information

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    In this paper, decision mechanism of credit-risk for banks is studied when the loan interest rate is fixed with asymmetry information in credit market. We give out the designs of rationing and non-rationing on credit risky decision mechanism when collateral value provided by an entrepreneur is not less than the minimum demands of the bank. It shows that under the action of the mechanism, banks could efficiently identify the risk size of the project. Finally, the condition of the project investigation of bank is given over again.

  3. A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula

    Directory of Open Access Journals (Sweden)

    Didier Cossin

    2010-01-01

    Full Text Available One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to decouple statistical inference into two parts: inference of the marginals and inference of the dependence. This is particularly important in the area of credit risk where information on dependence is scant. Whereas the techniques to estimate the parameters of the copula function seem to be fairly well established, the choice of the copula function is still an open problem. We find out by simulation that the t-copula naturally arises from a structural model of credit risk, proposed by Cossin and Schellhorn (2007. If revenues are linked by a Gaussian copula, we demonstrate that the t-copula provides a better fit to simulations than does a Gaussian copula. This is done under various specfications of the marginals and various configurations of the network. Beyond its quantitative importance, this result is qualitatively intriguing. Student's t-copulae induce fatter (joint tails than Gaussian copulae ceteris paribus. On the other hand observed credit spreads have generally fatter joint tails than the ones implied by the Gaussian distribution. We thus provide a new statistical explanation why (i credit spreads have fat joint tails, and (ii financial crises are amplified by network effects.

  4. Double Beta Distribution Model of Recovery Rate in Credit Risk%信用风险中回收率分布的双Beta模型

    Institute of Scientific and Technical Information of China (English)

    王国栋; 詹原瑞

    2011-01-01

    In this paper, the distribution of random recovery rate is studied, and double Beta distribution density model is established. This model has a characteristic of two peaks, which meets the new findings of Moody company, and improves the result that the present models all have only one peak. By using the sequential optimization algorithm based the NT-net to estimate parameters and the tools of kernel density estimation, the demonstration study is made. The result shows that the fitting error of double Beta model is quite little and far less than that of Beta model, so double Beta model is an ideal model to denote the distribution of recovery rate. The method is given to draw the random numbers from double Beta model at the end of the paper.%本文研究了随机回收率的分布,建立了回收率的双Beta分布密度模型,它具有双峰分布的特点,这与Moody公司的最新研究相吻合,弥补了现有回收率分布模型均为单峰的不足。利用基于数论网格的序贯优化算法对所建模型的参数做出了估计,借助于核密度估计的工具,进行了实证分析,结果表明双Beta模型的拟合误差很小,远小于Beta模型的误差,它是表示回收率理想的模型。最后给出了抽取双Beta分布随机数的方法。

  5. Entropy measure of credit risk in highly correlated markets

    Science.gov (United States)

    Gottschalk, Sylvia

    2017-07-01

    We compare the single and multi-factor structural models of corporate default by calculating the Jeffreys-Kullback-Leibler divergence between their predicted default probabilities when asset correlations are either high or low. Single-factor structural models assume that the stochastic process driving the value of a firm is independent of that of other companies. A multi-factor structural model, on the contrary, is built on the assumption that a single firm's value follows a stochastic process correlated with that of other companies. Our main results show that the divergence between the two models increases in highly correlated, volatile, and large markets, but that it is closer to zero in small markets, when asset correlations are low and firms are highly leveraged. These findings suggest that during periods of financial instability, when asset volatility and correlations increase, one of the models misreports actual default risk.

  6. Modernization of credit relations

    Directory of Open Access Journals (Sweden)

    S.V. Volosovich

    2015-03-01

    Full Text Available Nowadays it is essential to modernize credit relations in the conditions of global economy transformations. This is due to the influence of integration processes on credit relations and transformation of the risks inherent in the credit field. The purpose of this article is to develop measures that help to improve the efficiency of interaction of credit relations’ participants. Modernization of credit relations is based on the interaction of its main and indirect subjects who belong to the subsystems of loans granting, deposits attraction and provision of related services. Its goal is to pass from extensive to intensive model of interaction between the subjects of credit relations. Components of the credit relations modernization are the following: institutional modernization, which is based on the interaction of credit relations’ subjects, and ensures the development of competition in all credit market’s segments, the creation of its corresponding infrastructure, qualitative change in the approaches of regulation and supervision; technological modernization, which involves the formation of joint products on the credit market and the formation of an integrated informational and analytical system. In the result of the credit relations’ modernization it is expected to achieve synergies between the subjects of credit relations, that will lead to changes in the business architecture of the financial market.

  7. Modeling a phosphorus credit trading program in an agricultural watershed.

    Science.gov (United States)

    Corrales, Juliana; Naja, G Melodie; Bhat, Mahadev G; Miralles-Wilhelm, Fernando

    2014-10-01

    Water quality and economic models were linked to assess the economic and environmental benefits of implementing a phosphorus credit trading program in an agricultural sub-basin of Lake Okeechobee watershed, Florida, United States. The water quality model determined the effects of rainfall, land use type, and agricultural management practices on the amount of total phosphorus (TP) discharged. TP loadings generated at the farm level, reaching the nearby streams, and attenuated to the sub-basin outlet from all sources within the sub-basin, were estimated at 106.4, 91, and 85 mtons yr(-)(1), respectively. Almost 95% of the TP loadings reaching the nearby streams were attributed to agriculture sources, and only 1.2% originated from urban areas, accounting for a combined TP load of 87.9 mtons yr(-)(1). In order to compare a Least-Cost Abatement approach to a Command-and-Control approach, the most cost effective cap of 30% TP reduction was selected, and the individual allocation was set at a TP load target of 1.6 kg ha(-1) yr(-1) (at the nearby stream level). The Least-Cost Abatement approach generated a potential cost savings of 27% ($1.3 million per year), based on an optimal credit price of $179. Dairies (major buyer), ornamentals, row crops, and sod farms were identified as potential credit buyers, whereas citrus, improved pastures (major seller), and urban areas were identified as potential credit sellers. Almost 81% of the TP credits available for trading were exchanged. The methodology presented here can be adapted to deal with different forms of trading sources, contaminants, or other technologies and management practices. Copyright © 2014 Elsevier Ltd. All rights reserved.

  8. A Rank Aggregation Algorithm for Ensemble of Multiple Feature Selection Techniques in Credit Risk Evaluation

    Directory of Open Access Journals (Sweden)

    Shashi Dahiya

    2016-10-01

    Full Text Available In credit risk evaluation the accuracy of a classifier is very significant for classifying the high-risk loan applicants correctly. Feature selection is one way of improving the accuracy of a classifier. It provides the classifier with important and relevant features for model development. This study uses the ensemble of multiple feature ranking techniques for feature selection of credit data. It uses five individual rank based feature selection methods. It proposes a novel rank aggregation algorithm for combining the ranks of the individual feature selection methods of the ensemble. This algorithm uses the rank order along with the rank score of the features in the ranked list of each feature selection method for rank aggregation. The ensemble of multiple feature selection techniques uses the novel rank aggregation algorithm and selects the relevant features using the 80%, 60%, 40% and 20% thresholds from the top of the aggregated ranked list for building the C4.5, MLP, C4.5 based Bagging and MLP based Bagging models. It was observed that the performance of models using the ensemble of multiple feature selection techniques is better than the performance of 5 individual rank based feature selection methods. The average performance of all the models was observed as best for the ensemble of feature selection techniques at 60% threshold. Also, the bagging based models outperformed the individual models most significantly for the 60% threshold. This increase in performance is more significant from the fact that the number of features were reduced by 40% for building the highest performing models. This reduces the data dimensions and hence the overall data size phenomenally for model building. The use of the ensemble of feature selection techniques using the novel aggregation algorithm provided more accurate models which are simpler, faster and easy to interpret.

  9. Evaluation of Feature Selection Methods for Predictive Modeling Using Neural Networks in Credits Scoring

    Directory of Open Access Journals (Sweden)

    Raghavendra B. K

    2010-11-01

    Full Text Available A credit-risk evaluation decision involves processing huge volumes of raw data, and hence requires powerful data mining tools. Several techniques that were developed in machine learning have been used for financial credit-risk evaluation decisions. Data mining is the process of finding patterns and relations in large databases. Neural Networks are one of the popular tools for building predictive models in data mining. The major drawback of neural network is the curse of dimensionality which requires optimal feature subset. Feature selection is an important topic of research in data mining. Feature selection is the problem of choosing a small subset of features that optimally is necessary and sufficient to describe the target concept. In this research an attempt has been made to investigate the preprocessing framework for feature selection in credit scoring using neural network. Feature selection techniques like best first search, info gain etc. methods have been evaluated for the effectiveness of the classification of the risk groups on publicly available data sets. In particular, German, Australian, and Japanese credit rating data sets have been used for evaluation. The results have been conclusive about the effectiveness of feature selection for neural networks and validate the hypothesis of the research.

  10. 违约风险的交换期权的定价模型与解法%The Model and Valuation of Exchange Option with Credit Risk

    Institute of Scientific and Technical Information of China (English)

    涂淑珍; 李时银

    2012-01-01

    含交易对手违约风险的交换期权采用混合模型定价,借助公司价值模型中的补偿率,同时采用以强度为基础的违约函数来确定违约的发生.假定违约强度遵从均值回复的重随机Poisson过程:且违约强度过程与标的资产,企业价值都相关.利用等价鞅测度变换方法导出含有违约风险的交换期权的价格闭解.%Our hybrid framework is fully general in both intensity and recovery rate depending oil the firm value.It is therefore that a firm value model with a bankruptcy process determines the time of default. We describe the process of default via a doubly stochastic Poisson process, and assume that the intensity process A of Poisson process follows an mean-reverting process. It is supposed that default intensity process A correlates mutually with the diffuse processes of the underling asset price and the value of the firm. By applying equivalent martingale measure transformation, the closed form solution for vulnerable exchange option is given.

  11. 基于最小二乘近似支持向量回归模型的电子商务信用风险预警%E-commerce credit risk early-warning with a least squares proximal support vector regression model

    Institute of Scientific and Technical Information of China (English)

    余乐安

    2012-01-01

    With the rapid development of E-commerce, some fundamental issues such as payment and logistics distribution are solved gradually and E-commerce credit risk between buyers and sellers becomes a bottleneck problem restricting the development of E-commerce. For this purpose, an E-commerce credit risk early-warning indicator system is first constructed in terms of the previous studies. Then a least squares proximal support vector regression model is proposed for E-commerce credit risk early-warning. Using a public available dataset on E-commerce credit risk, empirical experiments are finally conducted. Based on some experimental results, some different early-warning management strategies are presented for E-commerce credit risk management.%随着制约电子商务发展的基础性问题如交易支付和物流配送等问题的逐步解决,电子商务交易双方的信用问题已凸显为电子商务发展的瓶颈.在国内外研究现状的基础上,构建电子商务信用风险的预警指标体系,并建立电子商务信用风险预警的最小二乘近似支持向量回归模型.同时,利用相关样本数据进行了实证分析,并根据实证结果给出不同的预警管理对策.

  12. Bankruptcy prediction for credit risk using neural networks: a survey and new results.

    Science.gov (United States)

    Atiya, A F

    2001-01-01

    The prediction of corporate bankruptcies is an important and widely studied topic since it can have significant impact on bank lending decisions and profitability. This work presents two contributions. First we review the topic of bankruptcy prediction, with emphasis on neural-network (NN) models. Second, we develop an NN bankruptcy prediction model. Inspired by one of the traditional credit risk models developed by Merton (1974), we propose novel indicators for the NN system. We show that the use of these indicators in addition to traditional financial ratio indicators provides a significant improvement in the (out-of-sample) prediction accuracy (from 81.46% to 85.5% for a three-year-ahead forecast).

  13. The influence of external factors on the credit risk in leasing industry

    Directory of Open Access Journals (Sweden)

    Gholamreza Farsad Amanollahi

    2016-03-01

    Full Text Available Credit risk consists of probability of non-return, which may be in the form of bankruptcy or a decrease in financial and credit situation of the lessee. The variables are extracted from the Central Bank. In this study the independent variables are measured with six factors that are called external factors. The external factors are size of leasing, ownership interest rate, foreign exchange, inflation, and Gross Domestic Product (GDP. The present study uses related observations from 31 leasing companies from 2008 to 2013 to find out the determinants of the credit risk. The combined evidences suggest that internal factors such as upfront prepayment, credit insurance contract, security deposits, time and period contract, collateral and guarantees, contract amount, as well as external factors such as interest rate, inflation, foreign exchange, Gross Domestic Product infrastructure, and credit risk are determinants in the policy-making process involving the industrial leasing. Furthermore, the empirical results indicate the size of leasing and ownership are not the significant determinants of credit risk. The results of this dissertation provide several implications for policy-makers in the leasing industry. Policy-makers will be better off employing different procedures for leasing activities in the leasing industry.

  14. IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE CREDIT RISK MANAGEMENT IN A BANK

    Directory of Open Access Journals (Sweden)

    Jerzy Piotr Gwizdała

    2016-06-01

    Full Text Available The main purpose of this article is to present the role of risk in the activity of a commercial bank with particular reference to the global financial crisis. The introductory part presents the origins of economic crises, especially the contemporary crisis from 2007-2010, which began in the United States subprime mortgage market. Dating back to the 1831, considerations allow to undetstand the causes of the crises. Then the impact of the global financial crisis on the scale of the crediting activities of banks in Poland was analyzed, presenting a credit portfolio structure, with a particular focus on the structure of loans to households and enterprises. In the second part of the article the process of credit risk management was discussed, paying attention to the crucial role of the bank's credit policy, and the conditions and prospects of commercial bank credit activity development were specified. It presents also the criteria for the proper credit management, indicating as the optimal solution the development of the so-called „credit textbook”.

  15. Application of the Scoring Model for Assessing the Credit Rating of Principals

    Directory of Open Access Journals (Sweden)

    Margarita Janeska

    2014-02-01

    Full Text Available One of the most commonly used methods for assessing the credit rating of counterparties is a credit scoring model or credit scoring. Economic pressures, resulting in increased demand for loans, along with increasing the competition in the market of enterprises and the development of computational techniques and technologies leads to the development of statistical credit scoring model, and in order to expedite the process for making decisions related to credit approval. Credit scoring is used to increase the precision in the approval of loans to creditworthy customers, which can result in increased profits or rejection of those customers who are not creditworthy.

  16. Risk and Efficiency in Credit Concession: A Case Study in Portugal

    Directory of Open Access Journals (Sweden)

    Carlos Arriaga

    2009-09-01

    Full Text Available The relationship between banks and customers has contributed to several theories in banking economics. The quality of the credit is crucial for banks. Banks classify the risk through quantitative and qualitative indicators. Quantitative indicators are much used by banks, but qualitative indicators are also considered in credit risk evaluation. Taken together, they contribute to increase efficiency and decrease doubtful credit. Several issues arise in order to understand if risk evaluation affects the efficiency of the banking sector or if it affects the bank customer relationship. We wish to analyse some quantitative and qualitative indicators used by the Portuguese banking system. Despite the reputation of a client being a very important qualitative indicator, it is not enough to determine a classification of low risk.

  17. Credit Risk and the Change in Fair Value

    OpenAIRE

    Gudan Paulina; Oprea Margareta

    2011-01-01

    Users of financial statements need information about an entity’s exposure to risks and how those risks and managed. Such information can influence a user’s assessment of the financial position and financial performance of an entity or the amount, timing, and uncertainty of its future cash flows. Greater transparency regarding those risks allows users to make more informed judgments about risk and return. Entities should describe the nature and extent of risks arising from financial instrument...

  18. KMV Model in China's Commercial Bank Credit Risk Management Analysis and Empirical Applicability%KMV 模型在我国商业银行信用风险管理中的适用性分析及实证检验

    Institute of Scientific and Technical Information of China (English)

    杨秀云; 蒋园园; 段珍珍

    2016-01-01

    在介绍 KMV 模型、Credit Metrics 模型、Credit Risk+模型和 Credit Portfolio View 模型这四种国际流行的信用风险管理方法的基础上,基于定性和定量分析相结合,对这四种信用风险管理方法进行比较分析,认为 KMV 模型最适合我国目前的国情。以2013年45家 ST 公司和与之配对的45家非 ST 公司以及2014年20家 ST 公司和与之配对的20家非 ST 公司为样本,对样本的违约距离进行实证检验。实证结果表明 KMV 模型基本上能够识别上市公司的信用状况,但是也有一些企业的违约距离不符合实际情况,这也说明该模型在我国商业银行信用风险度量中的识别能力有限,究其原因可能与该模型所要求的一些假设条件在我国尚不能得到有效满足等因素有关。因此,我国商业银行在对债务企业进行信用评价时,综合利用KMV 模型与债务公司的财务数据会使信用风险的度量结果更加可靠。%This paper introduces four popular international credit risk management methods:the KMV,Credit Metrics,Credit Risk+,and the Credit Portfolio View.Based on qualitative and quantitative analysis,this paper compares these four credit risk management methods and finds out that the KMV is the most suitable for our current situation.The sample consists of 45 ST (specially treated)listed companies and paired with 45 non-ST companies in 2013 and 20 ST companies and paired with 20 non-ST companies in 2014.We also have an empirical test on the distance of default of the sample.The empirical results show that the KMV model can identify the listed company's credit situation,but there are some companies default distance is not realis-tic.It also shows that the model's ability to identify credit risk is limited.Among other factors, the reason may be related to that some assumptions of the model required in China is still not ef-fectively met.Therefore,it is more reliable for China's commercial

  19. Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

    NARCIS (Netherlands)

    S.M. Hammoudeh (Shawkat); T. Liu (Tengdong); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)

    2011-01-01

    textabstractThis paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium ris

  20. The Effect of Graduation Coaches and Credit Recovery Programs on the Dropout Rate of At-Risk Grade 9 Students

    Science.gov (United States)

    Bowling, Jan

    2013-01-01

    The objective of this study was to identify the characteristics of effective graduation coaches (GCs) and credit recovery programs and explain the influence of a GC and a credit recovery program on Grade 9 students at risk of dropping out. The purpose of this study was to determine whether a high school GC and enrollment in a credit recovery…

  1. 12 CFR 615.5182 - Interest rate risk management by associations and other Farm Credit System institutions other...

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Interest rate risk management by associations and other Farm Credit System institutions other than banks. 615.5182 Section 615.5182 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM FUNDING AND FISCAL AFFAIRS, LOAN POLICIES...

  2. The Effect of Graduation Coaches and Credit Recovery Programs on the Dropout Rate of At-Risk Grade 9 Students

    Science.gov (United States)

    Bowling, Jan

    2013-01-01

    The objective of this study was to identify the characteristics of effective graduation coaches (GCs) and credit recovery programs and explain the influence of a GC and a credit recovery program on Grade 9 students at risk of dropping out. The purpose of this study was to determine whether a high school GC and enrollment in a credit recovery…

  3. Model of Credit Risk Assessment in Commercial Banks Based on Asymmetric GARCH and Extreme Value Theory%基于非对称GARCH与极值理论的商业银行信用风险度量模型

    Institute of Scientific and Technical Information of China (English)

    刘宁; 夏恩君; 张庆雷

    2012-01-01

    提出一种基于ARMA-TGARCH-EVT模型并适用于商业银行内部信用风险评估的新方法.首先通过广义矩法估计ARMA-TGARCH模型,获得近似独立同分布的残差序列zt;然后选用极值理论的越槛高峰模型(POT)对残差序列进行拟合分析,得到风险价值和期望损失的估计值,并采用Bootstrap方法给出95%置信水平下的置信区间;最后利用某商业银行2000-02-19~2010-12-15的日信贷资产对数收益率进行仿真,得到控制信用风险价值V和期望损失E值及置信区间,并与未经调整的预测值进行比较.研究结果表明,该方法在一定程度上克服了单纯进行极值分析时,由于序列的非独立同分布不能满足极值理论假设所造成的估计误差,改进了采用似然比率法估计置信区间时,由于极值事件的小样本所造成的偏差.%A new method for evaluating commercial bank's internal credit risk based on ARMA-TGARCH-EVT model is proposed. Firstly, a mixed model of ARMA-TGARCH is estimated using GMM, and then the residual series z, with properties of approximately independent and identically distribution is obtained. Secondly, the POT model of extreme value theory is employed for fitting analysis of the residual sequence to get the estimated value of VAR and ES, and the Bootstrap method is used to determine the confidence interval of VAR and ES at 95% confidence level. Finally, the data that the daily credit asset's logarithmic yields of a commercial bank from 2000-02-19 ~ 2010-12-15 are utilized to simulate the results from using this method. Simulation results indicate that, compared with the unadjusted predictive value, the proposed method could overcome the estimation error to some extent, since the sequence's non-independent-and-identically distribution could not meet the assumptions of extreme value theory. Moreover, the method could improve the deviation caused by small samples of extreme events when the likelihood ratio method is

  4. The Link Between Incoterms 2000 and Letter of Credit Documentation Requirement and Payment Risk

    Directory of Open Access Journals (Sweden)

    Roberto Bergami

    2014-09-01

    Full Text Available Letters of credit are an important finance instrument for international trade. These instruments are particularly useful in trade where the transactional values and trading risks are high. Essentially the letter of credit is a substitute for a buyer’s risk with that of his bank, as it underwrites the transaction. Exporters experience difficulties in achieving documentary compliance to the bank’s satisfaction and therefore run the risk of not being paid. Compliance is based on the accuracy and form of data content on documents required by the letter of credit. The more voluminous and complex the documentary requirements, the higher the non-compliance risk. This paper explores the link between international delivery terms and documentary requirements of the letter of credit. Preliminary data from an industry survey suggests that exporters are contracting on international delivery terms that may leave them unnecessarily exposed to non-payment risks. Although further investigation is required to determine whether alternate delivery terms would diminish the exporter’s risk, preliminary results indicate that it is possible to reduce payment risk by the strategic use of international delivery terms.

  5. Analysis of The Influence of Liquidity, Credit and Operational Risk, in Indonesian Islamic Bank’s Financing for The Period 2007-2013

    Directory of Open Access Journals (Sweden)

    Ousmane Diallo

    2015-12-01

    Full Text Available The purpose of this paper is to analyze the influence of credit, liquidity and operational risks in six Indonesian’s islamic banking financing products namely mudharabah, musyarakah, murabahah, istishna, ijarah and qardh, in order to try to discover whether or not Indonesian islamic banking is based on the “risk-sharing” system. This paper relies on a fixed effect model test based on the panel data analysis method, focusing on the period from 2007 to 2013. The research is an exploratory and descriptive study of all the Indonesian islamic banks that were operating in 2013. The results of this study show that the Islamic banking system in Indonesia truly has banking products based on “risk-sharing.” We found out that credit, operational and liquidity risks as a whole, have significant influence on mudarabah, musyarakah, murabahah, istishna, ijarah and qardh based financing. There is a correlation between the credit risk and mudarabah based financing, and no causal relationship between the credit risk and musharaka, murabahah, ijarah, istishna and qardh based financing. There is also correlation between the operational risk and mudarabah and murabahah based financing, and no causal relationship between the operational risk and musharaka, istishna, ijarah and qardh based financing. There is correlation between the liquidity risk and istishna based financing, and no causal relationship between the liquidity risk and musharaka, mudarabah, murabahah, ijarah and qardh based financing. A major implication of this study is the fact that there is no causal relationship between the credit risk and musharakah based financing, which is the mode of financing where the islamic bank shares the risk with its clients, but there is an influence of credit risk toward mudarabah mode financing, a financing mode where the Islamic bank bears all the risk. These findings can lead us to conclude that the Indonesian Islamic banking sector is based on the “risk

  6. Willingness to Overpay for Insurance and for Consumer Credit: Search and Risk Behavior Under Price Dispersion

    Directory of Open Access Journals (Sweden)

    Sergey MALAKHOV

    2014-11-01

    Full Text Available When income growth under price dispersion reduces the time of search and raises prices of purchases, the increase in purchase price can be presented as the increase in the willingness to pay for insurance or the willingness to pay for consumer credit. The optimal consumer decision represents the trade-off between the propensity to search for beneficial insurance or consumer credit, and marginal savings on insurance policy or consumer credit. Under price dispersion the indirect utility function takes the form of cubic parabola, where the risk aversion behavior ends at the saddle point of the comprehensive insurance or the complete consumer credit. The comparative static analysis of the saddle point of the utility function discovers the ambiguity of the departure from risk-neutrality. This ambiguity can produce the ordinary risk seeking behavior as well as mathematical catastrophes of Veblen-effect’s imprudence and over prudence of family altruism. The comeback to risk aversion is also ambiguous and it results either in increasing or in decreasing relative risk aversion. The paper argues that the decreasing relative risk aversion comes to the optimum quantity of money.

  7. Default Risk Management for Credit Asset Securitization Based on Structural Model%基于结构化模型的信贷资产证券化违约风险管理

    Institute of Scientific and Technical Information of China (English)

    刘洪

    2012-01-01

    日前,停滞4 a多的信贷资产证券化正式重启,首期信贷资产证券化额度500亿元;我国于2005年便开始了信贷资产证券化的试点,之后由于美国次贷危机出现了暂停,本次重启可以看成是对平台贷款的一次创新,但证券化过程本身也面临着很多的问题,其中对违约风险的管理尤为重要;主要描述了当前证券化过程面临的主要问题,并着重提出预测违约率的结构化方法,并在最后提出了几点利于证券化改革的政策建议。%Currently credit asset securitization is formally reinitiated after four years standstill and the amount of the first securitized credit assets is 50 billion RMB yuan. China began to practice pilot credit asset securitization in 2005 but the experiment temporarily stopped after America subprime mortgage crisis emergence. The re-initiation of the securitization can be regarded as a innovation for loan platform, however, the securitization process itself faces many problems, among which the management of default risk is most important. This paper mainly describes the central problems faced by current securitization process, emphatically points out structural method for forecasting default rate and finally advances several suggestions for helping the securitization reform.

  8. Building Customers` Credit Scoring Models with Combination of Feature Selection and Decision Tree Algorithms

    Directory of Open Access Journals (Sweden)

    Zahra Davoodabadi

    Full Text Available Today`s financial transactions have been increased through banks and financial institutions. Therefore, credit scoring is a critical task to forecast the customers’ credit. We have created 9 different models for the credit scoring by combining three metho ...

  9. Modelling the Effect of Bank Market Structure on Bank Market Equilibrium Based on Credit Risk and Liquidity Risk%基于信用风险和流动性风险的银行市场结构对银行市场均衡的影响模型

    Institute of Scientific and Technical Information of China (English)

    陈其安; 黄悦悦; 高国婷

    2011-01-01

    This paper sets up an appropriate mathematical model to theoretically research the effect of bank market structure on bank market equilibrium with maximizing return as banks' decision objective,according to Lucchetta's idea that the market structure of banks represents research methodology and approach,under the hypothesis that credit risk and liquidity risk are exogenous variables which are not determined by banks themselves,through various combinations of credit risk and liquidity risk to express the bank market structure.The research results show that:(1) there exists bank market structures making bank market system work well and collapse respectively in bank market system with any concentration degree of credit risk and liquidity risk,and(2) different distributions of liquidity risk and different concentration degree of credit risk and liquidity risk have significantly different effects on the equilibrium of bank market system when variables of the bank market structure are in some interval.In order to make the bank market system work well,reasonable bank market structure must be maintained.%借鉴Lucchetta提出的银行市场结构表示方法和研究思路,在假设信用风险和流动性风险都是不由银行自身决定的外生变量的条件下,以信用风险和流动性风险的不同组合表征银行市场结构,以自身收益最大化为银行决策目标,建立恰当的数学模型从理论上研究银行市场结构对银行市场均衡的影响。研究结果表明,在以信用风险和流动性风险度量的任何集中度的银行市场中,都既存在使银行市场运行良好的市场结构,也存在使银行市场体系崩溃的市场结构;当银行市场结构变量位于某个区间时,不同的流动性风险分布和不同的银行集中度将对银行市场均衡产生显著不同的影响。要使银行市场体系持续健康运行,就必须保持合理的银行市场结构。

  10. VaR and its application to the credit risk management%风险值法在金融机构信用风险管理中的运用

    Institute of Scientific and Technical Information of China (English)

    于研

    2003-01-01

    This paper tries to analyze the modem features of credit risk, the differences between market risk and credit risk, the integrated management of market risk and credit risk by using VaR method and its positive effects of China.

  11. Why credit risk markets are predestined for exhibiting log-periodic power law structures

    Science.gov (United States)

    Wosnitza, Jan Henrik; Leker, Jens

    2014-01-01

    Recent research has established the existence of log-periodic power law (LPPL) patterns in financial institutions’ credit default swap (CDS) spreads. The main purpose of this paper is to clarify why credit risk markets are predestined for exhibiting LPPL structures. To this end, the credit risk prediction of two variants of logistic regression, i.e. polynomial logistic regression (PLR) and kernel logistic regression (KLR), are firstly compared to the standard logistic regression (SLR). In doing so, the question whether the performances of rating systems based on balance sheet ratios can be improved by nonlinear transformations of the explanatory variables is resolved. Building on the result that nonlinear balance sheet ratio transformations hardly improve the SLR’s predictive power in our case, we secondly compare the classification performance of a multivariate SLR to the discriminative powers of probabilities of default derived from three different capital market data, namely bonds, CDSs, and stocks. Benefiting from the prompt inclusion of relevant information, the capital market data in general and CDSs in particular increasingly outperform the SLR while approaching the time of the credit event. Due to the higher classification performances, it seems plausible for creditors to align their investment decisions with capital market-based default indicators, i.e., to imitate the aggregate opinion of the market participants. Since imitation is considered to be the source of LPPL structures in financial time series, it is highly plausible to scan CDS spread developments for LPPL patterns. By establishing LPPL patterns in governmental CDS spread trajectories of some European crisis countries, the LPPL’s application to credit risk markets is extended. This novel piece of evidence further strengthens the claim that credit risk markets are adequate breeding grounds for LPPL patterns.

  12. Sustaining Satisfaction for Credit Risk Governance: Empirical Evidence from Indian Commercial Banks

    Science.gov (United States)

    Arora, Anju

    2015-01-01

    This paper explores the issues underlying the credit risk governance mechanism of banking institutions in emerging economies. This is an important area of study given the essential role that banks play in the financial markets of emerging economies and the widespread banking reforms that these economies have implemented. The aim of this study is…

  13. Do At-Risk Students Benefit When NovaNET Is Used for Credit Recovery?

    Science.gov (United States)

    Volkerding, Rebecca Lynn

    2012-01-01

    The purpose of this study was to determine if it is effective and appropriate to place all students needing credit recovery in computer-based classes regardless of age, risk ratio, and their previous failing grade. Driven by the NCLB mandate for schools to produce greater gains and graduate all students in 4.5 years, districts are now using online…

  14. Do At-Risk Students Benefit When NovaNET Is Used for Credit Recovery?

    Science.gov (United States)

    Volkerding, Rebecca Lynn

    2012-01-01

    The purpose of this study was to determine if it is effective and appropriate to place all students needing credit recovery in computer-based classes regardless of age, risk ratio, and their previous failing grade. Driven by the NCLB mandate for schools to produce greater gains and graduate all students in 4.5 years, districts are now using online…

  15. Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method

    NARCIS (Netherlands)

    C.S.L. de Graaf (Kees); B.D. Kandhai; P.M.A. Sloot

    2017-01-01

    htmlabstractAccording to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one of the biggest challenges in risk management. Here, we introduce an efficient method

  16. 基于信用风险迁移条件风险价值最小化的贷款组合优化模型%Loan's Portfolio Optimization Model of CvaR Minimum Based on Credit Risk Transfer

    Institute of Scientific and Technical Information of China (English)

    洪忠诚; 迟国泰; 许文

    2009-01-01

    把企业信用风险迁移引入贷款收益率的计算中,引入条件风险价值(CVaR)来度量贷款组合风险,建立了组合贷款优化决策模型.本模型的特色:① 用CVaR代替VaR,控制了贷款组合极端损失的发生;② 反映了企业信用等级迁移对企业收益率波动的影响,更加客观地反映了贷款的真实风险,解决了现有研究仅简单求解各笔贷款的收益率标准差而忽略信用风险迁移的问题;③ 通过现行法律法规为约束条件,在约束条件中,控制了流动性风险,避免了资产配置的流动性危机,保证了银行资产配给的合法性与合规性.%Introducing credit risk transfer to calculate loan yield and introducing Conditional Value at Risk to measure loan's portfolio risk, the loan's portfolio optimization model of CvaR minimum based on credit risk transfer is set up.The contribution of the model is firstly that the CVaR of consistency risk calculation parameter is used instead of VaR, so the extremity loss of loan's portfolio is controlled.Secondly, the influence of credit risk transfer on the return rate standard deviation is reflected in the model, and the real risk of loan is reflected more impersonally, thus the problem to only calculate individual loan's yield whereas neglecting the credit transfer in the current topic is solved. Tirdly, through law constrain, we control the liquidity risk to avoid the liquidity hazard of asset allocation to guarantee the allocation legal and operational.

  17. Credit networks and systemic risk of Chinese local financing platforms: Too central or too big to fail?. -based on different credit correlations using hierarchical methods

    Science.gov (United States)

    He, Fang; Chen, Xi

    2016-11-01

    The accelerating accumulation and risk concentration of Chinese local financing platforms debts have attracted wide attention throughout the world. Due to the network of financial exposures among institutions, the failure of several platforms or regions of systemic importance will probably trigger systemic risk and destabilize the financial system. However, the complex network of credit relationships in Chinese local financing platforms at the state level remains unknown. To fill this gap, we presented the first complex networks and hierarchical cluster analysis of the credit market of Chinese local financing platforms using the ;bottom up; method from firm-level data. Based on balance-sheet channel, we analyzed the topology and taxonomy by applying the analysis paradigm of subdominant ultra-metric space to an empirical data in 2013. It is remarked that we chose to extract the network of co-financed financing platforms in order to evaluate the effect of risk contagion from platforms to bank system. We used the new credit similarity measure by combining the factor of connectivity and size, to extract minimal spanning trees (MSTs) and hierarchical trees (HTs). We found that: (1) the degree distributions of credit correlation backbone structure of Chinese local financing platforms are fat tailed, and the structure is unstable with respect to targeted failures; (2) the backbone is highly hierarchical, and largely explained by the geographic region; (3) the credit correlation backbone structure based on connectivity and size is significantly heterogeneous; (4) key platforms and regions of systemic importance, and contagion path of systemic risk are obtained, which are contributed to preventing systemic risk and regional risk of Chinese local financing platforms and preserving financial stability under the framework of macro prudential supervision. Our approach of credit similarity measure provides a means of recognizing ;systemically important; institutions and regions

  18. A user credit assessment model based on clustering ensemble for broadband network new media service supervision

    Science.gov (United States)

    Liu, Fang; Cao, San-xing; Lu, Rui

    2012-04-01

    This paper proposes a user credit assessment model based on clustering ensemble aiming to solve the problem that users illegally spread pirated and pornographic media contents within the user self-service oriented broadband network new media platforms. Its idea is to do the new media user credit assessment by establishing indices system based on user credit behaviors, and the illegal users could be found according to the credit assessment results, thus to curb the bad videos and audios transmitted on the network. The user credit assessment model based on clustering ensemble proposed by this paper which integrates the advantages that swarm intelligence clustering is suitable for user credit behavior analysis and K-means clustering could eliminate the scattered users existed in the result of swarm intelligence clustering, thus to realize all the users' credit classification automatically. The model's effective verification experiments are accomplished which are based on standard credit application dataset in UCI machine learning repository, and the statistical results of a comparative experiment with a single model of swarm intelligence clustering indicates this clustering ensemble model has a stronger creditworthiness distinguishing ability, especially in the aspect of predicting to find user clusters with the best credit and worst credit, which will facilitate the operators to take incentive measures or punitive measures accurately. Besides, compared with the experimental results of Logistic regression based model under the same conditions, this clustering ensemble model is robustness and has better prediction accuracy.

  19. On the Influence Factors of Credit Risk of Online P2P Lending in China:Based on an Empirical Analysis by the Ranking Selection Model%我国 P2P 网络借贷信用风险影响因素研究基于排序选择模型的实证分析

    Institute of Scientific and Technical Information of China (English)

    肖曼君; 欧缘媛; 李颖

    2015-01-01

    Online P2P (peer-to-peer)lending,is microfinance transactions by people lending to each other,with the aid of online platforms of electronic business.As a new financial model of folk loan business conducted with the Internet technology,it has a higher credit risk.This paper uses the ranking selection model to analyze the influencing factors of the credit risk of online lend-ing based on data from some P2P sites extracted by excel VBA Data Mining,and the results showed that:personal characteristics,credit variables,historical performance,loan information each had a marked positive influence on the credit risk of online lending.We found that the infor-mation provided by websites for investors to avoid credit risk did not play a substantive role.%P2P(peer-to-peer)网络借贷是一种借助网络平台,由个人与个人间互为借贷双方的小额借贷交易。它作为互联网与民间借贷相结合的新兴金融模式,具有较高的信用风险。采用排序选择模型,基于 ex-celVBA 数据挖掘技术截取多个 P2P 网站数据,对平台信用风险的影响因素进行实证分析,结果表明:个人特征、信用变量、历史表现、借款信息分别对网络借贷信用风险存在正向影响,由此发现网站提供的信息对投资者避免信用风险没有起到实质作用。

  20. ASSESSMENT OF CREDIT INSTITUTIONS’ OPERATIONAL RISKS FROM THE PERSPECTIVE OF EXTERNAL AUDIT

    Directory of Open Access Journals (Sweden)

    Alexandru Avram

    2012-12-01

    Full Text Available Credit institution's operational risk should be evaluated by the external auditor cautiously because it is a risk arising from the way in which the bank's global strategy is implemented in practice and how the bank’s activity is followed step by step by those charged with governance, internal audit and internal control so to indicate any deviation from the standard rules and procedures and reduce the likelihood of distortions caused by frauds or errors. International Standards on Auditing require to external auditors to obtain sufficient and appropriate evidences to support the audit opinion, therefore the auditor must first understand the specific banking activities and then identify and properly evaluate the credit institution's operational risks.

  1. Current Approaches to the Establishment of Credit Risk Specific Provisions

    Directory of Open Access Journals (Sweden)

    Ion Nitu

    2008-10-01

    Full Text Available The aim of the new Basel II and IFRS approaches is to make the operations of financial institutions more transparent and thus to create a better basis for the market participants and supervisory authorities to acquire information and make decisions. In the banking sector, a continuous debate is being led, related to the similarities and differences between IFRS approach on loan loss provisions and Basel II approach on calculating the capital requirements, judging against the classical method regarding loan provisions, currently used by the Romanian banks following the Central Bank’s regulations.Banks must take into consideration that IFRS and Basel II objectives are fundamentally different. While IFRS aims to ensure that the financial papers reflect adequately the losses recorded at each balance sheet date, the Basel II objective is to ensure that the bank has enough provisions or capital in order to face expected losses in the next 12 months and eventual unexpected losses.Consequently, there are clear differences between the objectives of the two models. Basel II works on statistical modeling of expected losses while IFRS, although allowing statistical models, requires a trigger event to have occurred before they can be used. IAS 39 specifically states that losses that are expected as a result of future events, no matter how likely, are not recognized. This is a clear and fundamental area of difference between the two frameworks.

  2. Explaining intention to use the Islamic credit card: an extension of the TRA model

    OpenAIRE

    Hanudin, Amin

    2012-01-01

    Abstract Purpose – The Islamic credit card is a type of banking product offered by Islamic banks. Given the importance to the Islamic credit card to Islamic banks, the study is aimed at identifying the factors determining the Malaysian bank customers’ behavioral intention to use the Islamic credit card. Design/methodology/approach – Drawing upon the Theory of Reasoned Action (the TRA model), this study proposes a modified model to examine the acceptance factors of attitude, subjective ...

  3. The Term Structure of Credit Spreads on Euro Corporate Bonds

    NARCIS (Netherlands)

    van Landschoot, A.

    2003-01-01

    Although there is a broad literature on structural credit risk models, there has been little empirical testing of these models.In this paper we examine the term structure of credit spreads on euro corporate bonds and the empirical validation of structural credit risk models.The latter provide a fram

  4. The pricing of perpetual convertible bond with credit risk

    Institute of Scientific and Technical Information of China (English)

    WANG Le-le; BIAN Bao-jun

    2010-01-01

    Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value,and issuer also has the right to minimize the bond value in order to maximize equity value.When there is default occurring,conversion and calling strategies are invalid.In the framework of reduced form model,we reduce the price of convertible bond to variational inequalities,and the coefficients of variational inequalities are unbounded at the original point.Then the existence and uniqueness of variational inequality are proven.Finally,we prove that the conversion area,the calling area and the holding area are connected subsets of the state space.

  5. Rare Disasters, Credit, and Option Market Puzzles

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Du, Du; Elkamhi, Redouane

    2016-01-01

    calibrated to the real economy can simultaneously explain several key empirical regularities in equity, credit, and options markets. Our model captures the empirical level and volatility of credit spreads, generates a flexible credit risk term structure, and provides a good fit to a century of observed...

  6. Rare Disasters and Credit Market Puzzles

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Du, Du; Elkamhi, Redouane

    to the real economy and not to bond prices can simultaneously explain several key empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a flexible credit risk term structure, and provides a good fit to a century of observed spreads...

  7. Multifractal Value at Risk model

    Science.gov (United States)

    Lee, Hojin; Song, Jae Wook; Chang, Woojin

    2016-06-01

    In this paper new Value at Risk (VaR) model is proposed and investigated. We consider the multifractal property of financial time series and develop a multifractal Value at Risk (MFVaR). MFVaR introduced in this paper is analytically tractable and not based on simulation. Empirical study showed that MFVaR can provide the more stable and accurate forecasting performance in volatile financial markets where large loss can be incurred. This implies that our multifractal VaR works well for the risk measurement of extreme credit events.

  8. 我国银行物流金融的信贷风险管理%Management of Credit Risks in Logistics Financing Business of Chinese Banks

    Institute of Scientific and Technical Information of China (English)

    卫彦琦

    2015-01-01

    In this paper, in view of the logistics financing business modes of the Chinese commercial banks, we built the logistics financing credit risk evaluation index system and credit risk evaluation model, and on such basis proposed the suggestions to prevent the credit risks of the logistics financing businesses.%针对我国商业银行的物流金融贷款业务模式,构建了物流金融信贷风险评价指标体系和信贷风险评价模型,并在此基础上提出了防范物流金融业务信贷风险的相关建议。

  9. Study on Agent-Based Credit Risk Prediction Implementation Technology%基于多Agent的信贷风险预测实现技术研究

    Institute of Scientific and Technical Information of China (English)

    彭岩; 涂序彦

    2003-01-01

    Risk early Warning is very important to Banks. This dissertation puts forward a Agent-Based Credit Risk Prediction System,the main parts of the system such as model training, prediction, results analyzing are realized with agent that have the characteristic of autonomy, social ability, reactivity and pro-activeness etc. And also use agent technology to make the Risk Early Warning more effective.

  10. An application of locally linear model tree algorithm with combination of feature selection in credit scoring

    Science.gov (United States)

    Siami, Mohammad; Gholamian, Mohammad Reza; Basiri, Javad

    2014-10-01

    Nowadays, credit scoring is one of the most important topics in the banking sector. Credit scoring models have been widely used to facilitate the process of credit assessing. In this paper, an application of the locally linear model tree algorithm (LOLIMOT) was experimented to evaluate the superiority of its performance to predict the customer's credit status. The algorithm is improved with an aim of adjustment by credit scoring domain by means of data fusion and feature selection techniques. Two real world credit data sets - Australian and German - from UCI machine learning database were selected to demonstrate the performance of our new classifier. The analytical results indicate that the improved LOLIMOT significantly increase the prediction accuracy.

  11. Two-echelon competitive integrated supply chain model with price and credit period dependent demand

    Science.gov (United States)

    Pal, Brojeswar; Sankar Sana, Shib; Chaudhuri, Kripasindhu

    2016-04-01

    This study considers a two-echelon competitive supply chain consisting of two rivaling retailers and one common supplier with trade credit policy. The retailers hope that they can enhance their market demand by offering a credit period to the customers and the supplier also offers a credit period to the retailers. We assume that the market demand of the products of one retailer depends not only on their own market price and offering a credit period to the customers, but also on the market price and offering a credit period of the other retailer. The supplier supplies the product with a common wholesale price and offers the same credit period to the retailers. We study the model under a centralised (integrated) case and a decentralised (Vertical Nash) case and compare them numerically. Finally, we investigate the model by the collected numerical data.

  12. The Application of DEA Method in Evaluating Credit Risk of Companies

    Directory of Open Access Journals (Sweden)

    Anna Feruś

    2010-12-01

    Full Text Available The subject of the present article is a new procedure forecasting credit risk of companies in Polish economy environment. What favors the suggested approach is the fact that in Poland, unlike in western countries, DEA method has not yet been implemented in order to assess credit risk that companies face. The research described in the article has been conducted on the basis of comparison of suggested DEA method with currently used procedures, namely point method, discriminative analysis and linear regression. Considering the research, it can be concluded that DEA method facilitates forecasting financial problems, including bankruptcy of companies in Polish economic conditions, and its effectiveness is comparable or even greater than approaches implemented so far.  

  13. Predicting China’s SME Credit Risk in Supply Chain Finance Based on Machine Learning Methods

    Directory of Open Access Journals (Sweden)

    You Zhu

    2016-05-01

    Full Text Available We propose a new integrated ensemble machine learning (ML method, i.e., RS-RAB (Random Subspace-Real AdaBoost, for predicting the credit risk of China’s small and medium-sized enterprise (SME in supply chain finance (SCF. The sample of empirical analysis is comprised of two data sets on a quarterly basis during the period of 2012–2013: one includes 48 listed SMEs obtained from the SME Board of Shenzhen Stock Exchange; the other one consists of three listed core enterprises (CEs and six listed CEs that are respectively collected from the Main Board of Shenzhen Stock Exchange and Shanghai Stock Exchange. The experimental results show that RS-RAB possesses an outstanding prediction performance and is very suitable for forecasting the credit risk of China’s SME in SCF by comparison with the other three ML methods.

  14. Credit Recovery in a Virtual School: Affordances of Online Learning for the At-Risk Student

    Science.gov (United States)

    Oliver, Kevin; Kellogg, Shaun

    2015-01-01

    This paper summarizes evaluation findings about a high school credit recovery (CR) program as solicited by a statesponsored virtual school in the United States. Student and teacher surveys explained why CR students failed previous instances of face-to-face courses and defined how the online CR model helped these learners overcome both internal…

  15. Rating agencies : Role and influence of their sovereign credit risk assessment in the Eurozone

    NARCIS (Netherlands)

    Eijffinger, S.C.W.

    2012-01-01

    In this article, the role of credit rating agencies (CRAs) during the 2010–11 EU sovereign debt crisis is assessed. It is concluded that rating agencies lag behind markets, that their business model is flawed, and that the lack of competition renders the big three CRAs with too strong a market posit

  16. THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK

    Directory of Open Access Journals (Sweden)

    BĂRBULESCU MARINELA

    2015-04-01

    Full Text Available In order to determine the economic capital, in terms of internal management or of application of regulations, financial institutions need to model the probability of future losses on a loan portfolio. This is generally made applying the Credit VaR method. Thus, unexpected losses can be assessed.

  17. Development of a web service of vehicle inspection in central credit risk

    OpenAIRE

    Santos López, Félix Melchor; PUCP

    2014-01-01

    The central credit risk companies in Peru collect much information from different external sources and they offer various services to the others enterprises, entities and citizens. Therefore, their information systems are updated constantly. In the world there are many different technologies developed in different language programming, thus it was considered a pain in the neck for software engineers. Fortunately, nowadays there is a framework called Web Service that allows communication, inte...

  18. WERE OIL PRICE MARKETS THE SOURCE OF CREDIT CRISIS IN EUROPEAN COUNTRIES? EVIDENCE USING A VAR-MGARCH-DCC MODEL

    Directory of Open Access Journals (Sweden)

    Nadhem Selmi

    2014-04-01

    Full Text Available This paper examines the role of oil prices, credit, financial and commercial linkages in the propagation of industrial market crises during the period 2004-2012. Using VAR-MGARCH-DCC model regressions on seven markets finds that credit linkage played a significant role in the subprime, financial and global crises. Our results also show that the European debt crisis has already spread like a crisis from oil prices to Ireland and Portugal, and other countries are now at risk: Spain is a probable candidate for financial crisis.

  19. Credit Spreads Across the Business Cycle

    DEFF Research Database (Denmark)

    Nielsen, Mads Stenbo

    This paper studies how corporate bond spreads vary with the business cycle. I show that both level and slope of empirical credit spread curves are correlated with the state of the economy, and I link this to variation in idiosyncratic jump risk. I develop a structural credit risk model that accou......This paper studies how corporate bond spreads vary with the business cycle. I show that both level and slope of empirical credit spread curves are correlated with the state of the economy, and I link this to variation in idiosyncratic jump risk. I develop a structural credit risk model...... to firm fundamentals....

  20. 不同行业上市公司信用风险比较研究——KMV模型及其应用%An Empirical Study of the Credit Risk of Listed Corporation in China from Different Trades Based on the KMV Model

    Institute of Scientific and Technical Information of China (English)

    刘迎春

    2011-01-01

    To prove the accuracy of the KMV model on credit risk measurement of listed companies from different trades in china, Firstly, we received a sample composed of 8 ST companies and 8 normal companies from energy sources, electronics industy, agriculture, manufacture and constructure trade., Then, we use the GARCH( 1,1 ) model to estimate the volatility of equity value, At last, we calculate the Distanee to Defaul of all the companies from 2007to 2009. It obtains the conclusions that he KMV model can not only identify the difference of credit risk betweenST companies and normal companies from different trade well, but also indicate the change tendency of listed companies accord with the tendency of the macrography economics. And the credit quality of different companies from different trades have some differences.%为研究不同行业上市公司信用风险状况的差异,选取2009—2010年分属5个行业新被sT的8家公司和相应行业的非ST公司8家,利用GARCH模型估计股权价值波动率,采用KMV模型计算样本公司2007—2009连续三年的违约距离和理论违约概率。结果发现,不同行业上市公司信用状况之间存在差异,由好到差的顺序依次为能源、电子、房地产、制造和农业类上市公司;同时发现,上市公司信用状况的变化趋势和宏观经济走势表现一致。

  1. A state space approach to measuring the impact of sovereign and credit risk on interest rate convergence in the euro area

    NARCIS (Netherlands)

    Arnold, I.J.M.; Ewijk, van S.E.

    2014-01-01

    This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative explan

  2. Credit card debt, stress and key health risk behaviors among college students.

    Science.gov (United States)

    Nelson, Melissa C; Lust, Katherine; Story, Mary; Ehlinger, Ed

    2008-01-01

    To examine cross-sectional associations between credit card debt, stress, and health risk behaviors among college students, focusing particularly on weight-related behaviors. Random-sample, mailed survey. Undergraduate and graduate students (n = 3206) attending a large public university. Self-reported health indicators (e.g., weight, height, physical activity, diet, weight control, stress, credit card debt). More than 23% of students reported credit card debt > or = $1000. Using Poisson regression to predict relative risks (RR) of health behaviors, debt of at least $1000 was associated with nearly every risk indicator tested, including overweight/obesity, insufficient physical activity, excess television viewing, infrequent breakfast consumption, fast food consumption, unhealthy weight control, body dissatisfaction, binge drinking, substance use, and violence. For example, adjusted RR [ARR] ranged from 1.09 (95% Confidence interval [CI]: 1.02-1.17) for insufficient vigorous activity to 2.17 (CI: 0.68-2.82) for using drugs other than marijuana in the past 30 days. Poor stress management was also a robust indicator of health risk. University student lifestyles may be characterized by a variety of coexisting risk factors. These findings indicate that both debt and stress were associated with wide-ranging adverse health indicators. Intervention strategies targeting at-risk student populations need to be tailored to work within the context of the many challenges of college life, which may serve as barriers to healthy lifestyles. Increased health promotion efforts targeting stress, financial management, and weight-related health behaviors may be needed to enhance wellness among young adults.

  3. House Price Risk Models for Banking and Insurance Applications

    OpenAIRE

    Katja Hanewald; Michael Sherris

    2011-01-01

    The recent international credit crisis has highlighted the significant exposure that banks and insurers, especially mono-line credit insurers, have to residential house price risk. This paper provides an assessment of risk models for residential property for applications in banking and insurance including pricing, risk management, and portfolio management. Risk factors and heterogeneity of house price returns are assessed at a postcode-level for house prices in the major capital city of Sydne...

  4. Analysis of log-periodic power law singularity patterns in time series related to credit risk

    Science.gov (United States)

    Wosnitza, Jan Henrik; Sornette, Didier

    2015-04-01

    The log-periodic (super-exponential) power law singularity (LPPLS) has become a promising tool for predicting extreme behavior of self-organizing systems in natural sciences and finance. Some researchers have recently proposed to employ the LPPLS on credit risk markets. The review article at hand summarizes four papers in this field and shows how they are linked. After structuring the research questions, we collect the corresponding answers from the four articles. This eventually gives us an overall picture of the application of the LPPLS to credit risk data. Our literature review begins with grounding the view that credit default swap (CDS) spreads are hotbeds for LPPLS patterns and it ends up with drawing attention to the recently proposed alarm index for the prediction of institutional bank runs. By presenting a new field of application for the LPPLS, the reviewed strand of literature further substantiates the LPPLS hypothesis. Moreover, the results suggest that CDS spread trajectories belong to a different universality class than, for instance, stock prices.

  5. 49 CFR 536.6 - Treatment of credits earned prior to model year 2011.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 6 2010-10-01 2010-10-01 false Treatment of credits earned prior to model year 2011. 536.6 Section 536.6 Transportation Other Regulations Relating to Transportation (Continued) NATIONAL HIGHWAY TRAFFIC SAFETY ADMINISTRATION, DEPARTMENT OF TRANSPORTATION TRANSFER AND TRADING OF FUEL ECONOMY CREDITS § 536.6 Treatment of...

  6. Derivatives and Credit Contagion in Interconnected Networks

    OpenAIRE

    Sebastian Heise; Reimer Kuehn

    2012-01-01

    The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit defaul...

  7. CREDIT SCORING MODELING WITH STATE-DEPENDENT SAMPLE SELECTION: A COMPARISON STUDY WITH THE USUAL LOGISTIC MODELING

    Directory of Open Access Journals (Sweden)

    Paulo H. Ferreira

    2015-04-01

    Full Text Available Statistical methods have been widely employed to assess the capabilities of credit scoring classification models in order to reduce the risk of wrong decisions when granting credit facilities to clients. The predictive quality of a classification model can be evaluated based on measures such as sensitivity, specificity, predictive values, accuracy, correlation coefficients and information theoretical measures, such as relative entropy and mutual information. In this paper we analyze the performance of a naive logistic regression model, a logistic regression with state-dependent sample selection model and a bounded logistic regression model via a large simulation study. Also, as a case study, the methodology is illustrated on a data set extracted from a Brazilian retail bank portfolio. Our simulation results so far revealed that there is nostatistically significant difference in terms of predictive capacity among the naive logistic regression models, the logistic regression with state-dependent sample selection models and the bounded logistic regression models. However, there is difference between the distributions of the estimated default probabilities from these three statistical modeling techniques, with the naive logistic regression models and the boundedlogistic regression models always underestimating such probabilities, particularly in the presence of balanced samples. Which are common in practice.

  8. 12 CFR 567.6 - Risk-based capital credit risk-weight categories.

    Science.gov (United States)

    2010-01-01

    ... For purposes of calculating potential future credit exposure for foreign exchange contracts and other... amount of an off-balance sheet interest rate or foreign exchange rate contract that is not subject to a... contracts (percents) Foreign exchange rate contracts (percents) One year or less 0.0 1.0 Over one year 0.5 5...

  9. Inventory Model for Deteriorating Items with Quadratic Time Dependent Demand under Trade Credits

    Directory of Open Access Journals (Sweden)

    Rakesh Tripathi

    2016-02-01

    Full Text Available In this paper, an EOQ model is developed for a deteriorating item with quadratic time dependent demand rate under trade credit. Mathematical models are also derived under two different situations i.e. Case I; the credit period is less than the cycle time for settling the account and Case II; the credit period is greater than or equal to the cycle time for settling the account. The numerical examples are also given to validate the proposed model. Sensitivity analysis is given to study the effect of various parameters on ordering policy and optimal total profit. Mathematica 7.1 software is used for finding optimal numerical solutions.

  10. The effect of the subprime crisis on the credit risk in global scale

    Science.gov (United States)

    Lee, Sangwook; Kim, Min Jae; Lee, Sun Young; Kim, Soo Yong; Ban, Joon Hwa

    2013-05-01

    Credit default swap (CDS) has become one of the most actively traded credit derivatives, and its importance in finance markets has increased after the subprime crisis. In this study, we analyzed the correlation structure of credit risks embedded in CDS and the influence of the subprime crisis on this topological space. We found that the correlation was stronger in the cluster constructed according to the location of the CDS reference companies than in the one constructed according to their industries. The correlation both within a given cluster and between different clusters became significantly stronger after the subprime crisis. The causality test shows that the lead lag effect between the portfolios (into which reference companies are grouped by the continent where each of them is located) is reversed in direction because the portion of non-investable and investable reference companies in each portfolio has changed since then. The effect of a single impulse has increased and the response time relaxation has become prolonged after the crisis as well.

  11. Indeterminate values of target variable in development of credit scoring models

    Directory of Open Access Journals (Sweden)

    Martin Řezáč

    2013-01-01

    Full Text Available In the beginning of every modelling procedure, the first question to ask is what we are trying to predict by the model. In credit scoring the most frequent case is modelling of probability of default; however other situations, such as fraud, revolving of the credit or success of collections could be predicted as well. Nevertheless, the first step is always to define the target variable.The target variable is generally an ’output’ of the model. It contains the information on the available data that we want to predict in future data. In credit scoring it is commonly called good/bad definition. In this paper we study the effect of use of indeterminate value of target variable in development of credit scoring models. We explain the basic principles of logistic regression modelling and selection of target variable. Next, the focus is given to introduction of some of the widely used statistics for model assessment. The main part of the paper is devoted to development and assessment of 27 credit scoring models on real credit data, which are built up and assessed according various definitions of target variable. We show that there is a valid reason for some target definitions to include the indeterminate value into the modelling process, as it provided us with convincing results.

  12. Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?

    Directory of Open Access Journals (Sweden)

    Paulo Pereira da Silva

    2014-03-01

    Full Text Available This paper addresses the relationship between stock markets and credit default swaps (CDS markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of correlations, Granger causality, cointegration, and the results of an error-correction model represented in a state space form show a close link between these markets, but do not evidence that the co-movement increases in periods of financial distress. I also analyze the transmission of volatility between the two markets. The results do not support the hypothesis that volatility propagation surges during financial distress periods. On the contrary, for some cases, the data suggests that the lead-lag relationships between the two markets volatility are stronger during stable periods.

  13. Analysis of credit linked demand in an inventory model with varying ordering cost.

    Science.gov (United States)

    Banu, Ateka; Mondal, Shyamal Kumar

    2016-01-01

    In this paper, we have considered an economic order quantity model for deteriorating items with two-level trade credit policy in which a delay in payment is offered by a supplier to a retailer and also an another delay in payment is offered by the retailer to his/her all customers. Here, it is proposed that the demand function is dependent on the length of the customer's credit period and also the duration of offering the credit period. In this article, it is considered that the retailer's ordering cost per order depends on the number of replenishment cycles. The objective of this model is to establish a deterministic EOQ model of deteriorating items for the retailer to decide the position of customers credit period and the number of replenishment cycles in finite time horizon such that the retailer gets the maximum profit. Also, the model is explained with the help of some numerical examples.

  14. THE POLITICS OF THE NATIONAL BANK OF ROMANIA TO DEAL WITH CREDITING RISK

    Directory of Open Access Journals (Sweden)

    Vechiu Camelia

    2011-12-01

    Full Text Available The market economy refers to the implicit presence of a banking system which could ensure the mobilization of all the monetary resources of the respective economy and their temporary orientation towards the development of efficient economic activities. A significant aspect of the bank performance refers to the measurement of risks with the aim to diminish them. If the bank management is poor and the risks are not taken into consideration, it will be possible that the earning capacity to be reduced and to lead even to the bankruptcy. Due to the fact that the banks are lending, they assume risks which are determined by the doubtful debtor (it appears the insolvency, or by the general economic evolution (which involves interest and exchange rate risks, or by the financial structure of the bank (financing long-term credits from short or sight deposits. The bank risk can be determined by external or internal factors of the bank due to the competitive environment. In the professional literature, the methodology used for the risk management involves several steps: the risk identification and analysis; the risk elimination and control; the risk assessment and assuming; the risk financing by debiting the general or specific reserves or by transfer which means the insurance of the bank company. For those banks operating in Romania, the risks are even more evident due to the hostile environment in which they operate, but also due to the specificity of the Romanian banking system which is still evolving and adapting to the competitive stringencies of the market economy. This paper is trying to follow the risk involvement towards the bank activity taking into account its importance and role in order to ensure the increase of the bank earning capacity.

  15. The Analysis on the Application of the Modified KMV Model in the Measurement of the Credit Risk of Listed Companies in the Second-board Market%修正KMV模型在创业板上市公司信用风险度量中的应用分析

    Institute of Scientific and Technical Information of China (English)

    杨开宇

    2015-01-01

    Aimed at the situation that the traditional KMV model is not applicable to the environment of the second-board market at present in China, based on inheriting the existing research results, the paper further modifies the model, introduces the expected growth rate deduced by the earnings multiple ratio to KMV model, and uses EGARCH (1, 1) model to predict the volatility rate of the asset value of the company. Based on evaluating the credit risks of 13 listed companies in the second-board market and 13 listed com-panies in small and medium-sized enterprise board market, the results show that using the adjusted KMV model can well identify the difference of the credit risk between 13 listed companies in the second-board market and 13 listed companies in small and medi-um-sized enterprise board market, and more accurately grasp the change trend of the credit quality of listed companies.%针对传统KMV模型在我国目前创业板的市场环境下不适用的状况,本文在继承现有研究成果的基础上,对模型加以进一步的修正,将通过市盈率推导出的预期增长率引入到KMV模型中,并采用EGARCH(1,1)模型对公司资产价值的波动率进行了预测。通过对13家创业板上市公司和13家中小企业板上市公司的信用风险进行评估检验,结果表明,利用修正后的KMV模型能够较好地识别出创业板上市公司和中小企业板上市公司之间信用风险的差别,比较准确地把握上市公司信用质量的变化趋势。

  16. Profitability Identification of National Banking Through Credit, Capital, Capital Structure, Efficiency, and Risk Level

    Directory of Open Access Journals (Sweden)

    Sugeng Haryanto

    2016-04-01

    Full Text Available This study aims to analyze the influence of credit, bank capital, capital structure, efficiency and risk toward the profitability in banking industry. Bank has an important role in the economy in Indonesia in 2014. The purposive sampling technique was used in this study to filter the samples according to several criteria such as being public at least in 2008, and publicly released the financial statement from 2008-2013. The total sample of 25 banks. Multiple regression technique was used in this study to analyze the data. The results show that credit, bank capital, and capital structure positively influence the profitability. This result supported by the previous research. The other finding shows that efficiency and risk have significantly negative effect on profitability. Bangking has an 80 percent market share in the financing of intermediation function of the entire financial system.Penelitian bertujuan menganalisis pengaruh antara kredit, permodalan bank, struktur modal, efisiensi dan risiko terhadap profitabilitas pada industri perbankan. Bank mempunyai peran penting dalam ekonomi Indonesia 2014. Teknik sampling penelitian ini adalah purposive sampling, dengan kriteria bank bank telah go public sebelum tahun 2008, mempublikasikan laporan keuangan tahun 2008-2013. Jumlah sampel sebanyak 25 bank. Teknik analisis yang digunakan regresi linier berganda. Hasil penelitian menunjukkan bahwa kredit, permodalan bank dan struktur modal berpengaruh terhadap profitabilitas dengan arah positif. Hasil lainnya adalah variabel efisiensi dan risiko berpengaruh signifikan dengan arah negatif terhadap profitabilitas. Perbankan memiliki market share 80 persen dalam sistem keuangan.JEL Classification: G3, G32

  17. Analysis Of Credit Risk in Legal Entities in The Case of „Vakufska Banka“ – Sarajevo

    Directory of Open Access Journals (Sweden)

    JasminaAdemović

    2015-08-01

    Full Text Available Each bank in its operations, faces numerous factors that can lead to negative consequences. Risk represents the uncertainty of future outcomes, which consists of uncertainties and exposure to the specified uncertainty. If the bank is exposed to uncertainty it can lead to serious financial consequences, provided that the level of uncertainty is not equated with the degree of exposure. It should be noted that most of the risks can not be predicted and financial institutions over and over again are facing with crisis phenomena and numerous losses because they do not have accompanying measures and strategies to combat the risks. The subject of the final paper is related to the definition and analysis of credit risk management. In accordance with a defined problem and the subject of research, the main goals are to define the main banking risks as well as the Basel principles and risk management strategy, define credit risk, analyze credit risk management in banking and to analyze and present credit risk management in legal entities in the example of the "Vakufska banka“ (analysis of qualitative and quantitative indicators, cash flow analysis, analysis projects, the SC analysis, exposure, analysis of related parties.

  18. 商业银行信用卡业务个人信用评估模型研究%Personal Credit Assessment Model of Credit Card Services in Commercial Banking

    Institute of Scientific and Technical Information of China (English)

    龙绪密; 尹莉媛

    2012-01-01

    个人信用评估是商业银行信用卡业务一直存在的问题,本文通过信用卡客户信息数据进行实证研究,构建基于C4.5算法的个人信用评估模型,并对信用模型进行了预测和评估,模型有较好的预测效果,可以为信用卡业务的个人信用风险管理提供借鉴。%Personal credit assessment has been a problem in credit card services of commercial banking. This paper, through empirical research on customers data, builds a personal credit assessment model based on C4.5 algorithm. The prediction and evaluation of the model have been done and the results are quite satisfying, which might be used as a reference to the personal credit risk management of credit card services.

  19. 我国上市银行信用溢价的实证研究%An Empirical Study on China Listed Banks' Credit Risk Premium

    Institute of Scientific and Technical Information of China (English)

    王宗润; 汪武超; 陈晓红; 周艳菊

    2012-01-01

    在改进KMV模型、采用信用溢价直观度量银行信用风险的基础上,通过Monte Carlo模拟法估计12家样本银行信用风险的VaR和CVaR值,并与历史模拟法的度量结果进行比较.研究结果表明,历史模拟法高估了银行所面临的信用风险;在样本银行中,中国银行最容易发生极端信用事件,工商银行则相反.%This paper improves the KMV model, using credit risk premium to measure banks' credit risk intuitively, and then uses Monte Carlo simulation method to estimate 12 China's listed banks' VaR and CVaR. Based on that, it compares the results with those measured by historical simulation method and concludes that; i) historical simulation method overestimates the credit risks faced by the banks; ii) for the sample bank of Bank of China, the extreme credit events are most likely to occur, but for Industrial and Commercial Bank of China, the opposite is true.

  20. Hazardous Times for Monetary Policy : What do Twenty-three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk?

    NARCIS (Netherlands)

    Jiminez, G.; Ongena, S.; Saurina, J.

    2007-01-01

    We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly information on virtually all loans granted by all credit institutions

  1. Hazardous Times for Monetary Policy : What do Twenty-three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk?

    NARCIS (Netherlands)

    Jiminez, G.; Ongena, S.; Saurina, J.

    2007-01-01

    We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly information on virtually all loans granted by all credit institutions o

  2. 大庆市农村信用社贷款信用风险问题探析%Analysis of Rural Credit Cooperatives on Loan Credit Risk Problem in Daqing City

    Institute of Scientific and Technical Information of China (English)

    任凤秋; 安增龙

    2015-01-01

    Aiming at the actual situation of china’s rural credit cooperatives on loan credit risk,the rural credit cooperatives was used as the research object and the methods such as on-the-spot investigation were adopted in Daqing city,which expounded the present situation and the existing problems of rural credit cooperatives on loan credit risk in Daqing city,and put forward some suggestions of the credit risk. The study made us to have the better understanding of the credit risk of rural credit cooperatives,provided the basis for generating prevent credit risks of Daqing rural credit cooperatives,which could be reduce the generation of the bad assets and provide the effective credit support for the new rural construction.%针对目前中国农村信用社贷款信用风险的实际情况,以大庆市农村信用社为研究对象,采用实地调研等方法,阐述了大庆市农村信用社贷款信用风险的现状及存在的问题,并有针对性地提出了完善贷款信用风险的建议。通过研究,更加了解农村信用社的信用风险,从而为大庆农村信用社防范信贷风险的产生提供依据,可减少不良资产的产生,为新农村建设提供有效信贷资金支持。

  3. Statistical evaluation of operational risks influence of credit unions on the structure on their assets

    Directory of Open Access Journals (Sweden)

    Ivanenko O.

    2013-01-01

    Full Text Available According to the results of the statistical analysis of the estimated impact of assets of credit unions and the riskiness of individual transactions to ensure the solvency of credit unions and match quality requirements of liquidity.

  4. 17 CFR 240.15c3-1e - Deductions for market and credit risk for certain brokers or dealers (Appendix E to 17 CFR 240...

    Science.gov (United States)

    2010-04-01

    ... credit risk for certain brokers or dealers (Appendix E to 17 CFR 240.15c3-1). 240.15c3-1e Section 240....15c3-1(c)(2)(vi) and (c)(2)(vii) and to compute deductions for credit risk pursuant to this Appendix E... the broker or dealer will use to calculate deductions for market and credit risk on those...

  5. Applying the Fraud Triangle Model to the Global Credit Crisis

    Directory of Open Access Journals (Sweden)

    Ranulph Day

    2010-03-01

    Full Text Available The premise of this paper is that the unwarranted corporate collapses and failures which occurred during the, currently ongoing, ‘credit crisis’ arise from failures in the decision making processes of the organisation. This paper is written primarily from a legal corporate governance perspective and looks at how the law could allow, what in hindsight appears to be, staggering follies. As such this paper is focussed on the microeconomics of the debacle rather than upon the macroeconomic triggers. The rationale for this approach is that the law cannot regulate behaviour on a mass scale, law acts against the individual rather than the group. There are various reasons for this assumption ranging from the necessity of justice and fairness to practical logistics. However it is the working assumption of this paper that for law to be effective it has to act against individuals and so can only pursue a microeconomic approach.

  6. Determinants of bank credit growth in Nigeria 1980-2010

    Directory of Open Access Journals (Sweden)

    A. Enisan Akinlo

    2015-02-01

    Full Text Available The paper analyses the dominant factors influencing bank credit to private sector in Nigeria over the period 1980-2010 using the error correction modeling technique. The results show that broad money, cyclical risk premium and liquidity ratio tend to increase credit to the private sector. However, prime lending rate and reserve ratio lead to a reduction in credit to the private sector. Private credit increases with inflation, but not one to one, meaning that inflation tends to dampen real bank credit to the private sector.  Key Words: credit growth, banking sector, industry, error correction model.

  7. Development Of The Technique Of Assessment Of Banking Risks Of Long-Term Crediting Of Investments (On The Example Of Banks Of Sevastopol

    Directory of Open Access Journals (Sweden)

    Ulyana Viktorovna Dremova

    2015-03-01

    Full Text Available The external destabilizing factor — financial crisis — has significantly influenced on the level increase of riskiness of the banking credit operations. Taking into account that the increased level of risk follows long-term credits, these operations has been influenced the most, that can be as one of the constraining conditions for the provision of bank long-term credit resources. It, in turn, causes the need to develop the risk assessment technique of long-term credits in regulation of banks’ long-term credit operations. As the risk assessment of credit operations in banking practice is generally limited to the calculation of credit risk, it is efficient to consider the scientifically reasonable approach to a risks assessment of long-term crediting including influence of private risks for the purpose of carrying out the generalized assessment of riskiness both separate types of long-term credits, and a long-term credit portfolio in general. The offered method is based on the calculation of aggregate risk coefficient of the long-term credits, calculated by means of mathematical method of principal component. In the work, it is offered to perform an assessment of private risks by means of statistics: the expectation value, mean square deviation, and the coefficient of a variation. The use of the principal components’ method at the risk assessment of longterm crediting meets such requirements as a lack of value judgment, accounting of specific features of private risks of long-term credits, mathematical validity. It gives the chance to apply the offered risk assessment method of long-term credits in banking. The conclusion is made that the application of an aggregative risk indicator of a long-term crediting will allow banks to trace more accurately the level of riskiness of a long-term credit portfolio and separate types of long-term credits that will strengthen the bank information and analytical base on risk regulation in the field and

  8. 财政增信、风险共担与激励相容--山东省日照市“财政增信优惠贷”案例%Fiscal-added Credit, Credit Risk Sharing and Incentive Compatibility---A Case of “Fiscal-added Credit Preferential Loan”in Rizhao City, Shandong Province

    Institute of Scientific and Technical Information of China (English)

    李岩柏

    2015-01-01

    2013年,日照市财政部门和银行机构合作推出了“财政增信优惠贷”模式,该模式形成了政府信用、企业信用、银行信用的有机联结,企业、政府、银行形成了风险共担的次序分配机制,为解决中小企业融资难、融资贵提供了一套系统解决方案,具有借鉴价值和可推广意义。%The fiscal departments and banking institutions in Rizhao City, Shandong province cooperated to launch the “Fiscal-added credit preferential loan” model in 2013, which formed the organic linkage with government credit, enterprise credit, and banking credit; And a risk sharing sequence distribution mechanism has formed among the enterprises, governments and banks. This model presents systemic solutions to the financing difficulties and high cost of financing of small and medium-sized enterprises, and provides reference value and promotion significance.

  9. The Commercial Bank Credit Risk Conduction Model and Correlation Study on the Early Warning Mechanism under the New Normal%新常态下商业银行信用风险传导模式与关联预警机制研究

    Institute of Scientific and Technical Information of China (English)

    孙勇军

    2016-01-01

    Closely related to the main business indicators of commercial bank asset quality and proift growth, especially in the period of economic downturn, the asset quality is the priority among priorities of commercial bank management. The potential risk of effective early warning and identiifcation is the key to ensure the stable quality of assets. The main early warning mechanism mainly adopts the bottom-up model, many early warning according to their own information, there is room for improvement. This paper aims to reveal the diffusion model and pathway of credit risk, explore "risk for a single customer exposure" for "more customer risk warning signal recognition, asset quality risk management and early warning work to develop new ideas.%商业银行的资产质量与利润增长等主要经营指标密切相关,尤其在经济下行期,资产质量更是商业银行管理的重中之重。有效预警与识别潜在风险是确保资产质量稳定的关键环节。主流预警机制主要采用自下而上模式,多根据企业自身信息进行预警,存在改善空间。本文旨在通过揭示信用风险的扩散模式和传导途径,探索将“单个客户风险暴露”识别为“更多客户的风险预警信号”,为资产质量管理和风险预警工作开拓新的思路。

  10. Ana credit

    Directory of Open Access Journals (Sweden)

    Matić Vesna

    2017-01-01

    Full Text Available To support the implementation of some tasks in the Euro system regarding the financial system stability supervision, risk management and monetary policy, the European Central Bank adopted a project of setting up a comprehensive database containing the detailed information on individual bank loans in the Eurozone, named Ana Credit. The full implementation of the project begins on 30 September 2018.

  11. MODEL PENSKORAN PARTIAL CREDIT PADA BUTIR MULTIPLE TRUE-FALSE BIDANG FISIKA

    Directory of Open Access Journals (Sweden)

    Wasis Wasis

    2013-01-01

    Full Text Available Tujuan penelitian ini menghasilkan model penskoran politomus untuk respons butir multiple true-false, sehingga dapat mengestimasi secara lebih akurat kemampuan di bidang fisika. Pengembangan penskoran menggunakan Four-D model dan diuji akurasinya melalui penelitian empiris dan simulasi. Penelitian empiris menggunakan 15 butir multiple true-false yang diambil dari soal UMPTN tahun 1996-2006 dan dikenakan pada 410 mahasiswa baru FMIPA Universitas Negeri Surabaya angkatan tahun 2007. Respons peserta tes diskor dengan tiga model partial credit (PCM I; II; dan III dan secara dikotomus. Hasil penskoran dianalisis dengan program Quest untuk mendapat-kan estimasi tingkat kesukaran butir (δ dan estimasi ke-mampuan peserta (θ untuk menentukan nilai fungsi informasi tes dan kesalahan baku estimasi. Penelitian simulasi mengguna-kan data bangkitan berdasarkan parameter empiris (δ dan θ memakai program statistik SAS dan akurasi estimasinya di-analisis dengan metode root mean squared error (RMSE. Hasil penelitian ini menunjukkan: (i Penskoran PCM dengan pem-bobotan mampu mengestimasi kemampuan lebih akurat di-bandingkan tanpa pembobotan maupun secara dikotomus; (ii Semakin banyak jumlah kategori dalam penskoran partial credit, semakin akurat. Kata kunci: model penskoran partial credit, butir multiple true-false ____________________________________________________________ THE PARTIAL CREDIT SCORING MODEL FOR THE MULTIPLE TRUE-FALSE BUTIRS IN PHYSICS Abstract This study is an attempt to overcome the weaknesses. This study aims to produce a polytomous scoring model for responses to multiple true-false butirs in order to get a more accurate estimation of abilities in physics. It adopts the Four-D model and its accuracy is assessed through empirical and simulation studies. The empirical study employed 15 multiple true-false butirs taken from the New Students Entrance Test of State University the year of 1996–2006. It administered to 410 new students enrolled

  12. The Interaction Between FX and Credit Risk as an Example of Intersection of Monetary and Financial Stability Policy Goals – The Case of Serbia

    Directory of Open Access Journals (Sweden)

    Jović Željko

    2016-05-01

    Full Text Available The financial system of Serbia is highly bank-centric and euroised, which is a common specific feature of financial systems in developing countries. High level of euroisation represents an adequate environment for the development of emphasized interaction of foreign exchange and credit risks; therefore, creation of the spillover mechanism of foreign exchange risk to credit risk is immanent for euroised systems. Although maintaining the stability of the dinar exchange rate is a secondary goal of the National Bank of Serbia in relation to price and financial stability as the primary goals, in terms of existence of the aforesaid spillover mechanism, maintaining stability of the dinar exchange rate represents the area where there is an interaction between the goals of monetary policy (price stability and those of financial stability policy (maintaining and strengthening the financial system’s stability. In order to explore whether the spillover mechanism of foreign exchange risk to credit risk exists in Serbia’s financial system, the vector autoregressive (VAR model is applied on data from the Serbian banking sector to quantify the impact of changes in the dinar exchange rates on the rate of non-performing loans (NPLs; the sample was formed in the period of increased instability of the dinar exchange rate, from 31 January 2008 to 31 December 2010. As we have quantitatively confirmed the impact of increase in the dinar exchange rate on the increase of 90-120 days past due NPLs, we can conclude that the existence of expressed interaction between foreign exchange risk and credit risk in the Serbian financial system represents a paradigm of the regulator’s need to achieve contemporary goals of monetary and financial stability policy by maintaining relative stability of the dinar exchange rates. Depreciation of the local currency has inflationary pressure on price stability and simultaneously influences the achievement of financial stability goals

  13. A DISEQUILIBRIUM MODEL FOR LEI-DENOMINATED NON-GOVERNMENTAL CREDIT IN ROMANIA

    Directory of Open Access Journals (Sweden)

    Cristian-Florin Dănănău

    2015-04-01

    Full Text Available We empirically investigate through an econometric approach the Romanian credit market, namely the lei-denominated part of it, and the factors that interact with it. The main goal is to assess whether a credit crunch ocurred in Romania during the economic crisis. To this end we employ the disequilibrium model framework, set up in economic literature some 40 years ago. Our investigation takes into consideration the main macroeconomic determinants of this market, that interact with demand and supply. Our approach has in view the macroeconomic variables such as output, interest rates and foreign currency credit. The demand and supply function are estimated through the maximization of a certain maximum likelihood function. The final conclusion is that, based on the estimated model, one cannot detect a credit crunch in the after-crisis period. This paper’s results show that empirically-constructed disequilibrium models can be used to properly describe the behavior of the lei-denominated credit market, by taking necessary precautions.

  14. Analisis Model Peramalan Status Kredit Kendaraan Bermotor pada Astra Credit Companies (ACC Cabang X Periode 2011

    Directory of Open Access Journals (Sweden)

    Tomy Gurtama Soemapradja

    2012-04-01

    variable that significantly to the car loan status at Astra Credit Companies (ACC, and further continue to arrange prediction model of loan status and measure its accuracy level.. The statistic test shows there are 2 independent variables affect to dependent variable significantly, where models accuracy level achieves 100%.

  15. A PROBABILISTIC INVENTORY MODEL FOR CONDITIONAL CREDIT PERIOD AND LEAD TIME WITH MULTIPLE STORAGE FACILITIES

    Directory of Open Access Journals (Sweden)

    S. S. Mishra

    2008-01-01

    Full Text Available A probabilistic inventory model for conditional credit period with exponential demand, non-zero lead time and multiple storage facility has been developed. The behaviour of total expected cost (TEC has been examined and the use and application of the model is demonstrated with the help of a numerical example.

  16. A hybrid model using decision tree and neural network for credit scoring problem

    Directory of Open Access Journals (Sweden)

    Amir Arzy Soltan

    2012-08-01

    Full Text Available Nowadays credit scoring is an important issue for financial and monetary organizations that has substantial impact on reduction of customer attraction risks. Identification of high risk customer can reduce finished cost. An accurate classification of customer and low type 1 and type 2 errors have been investigated in many studies. The primary objective of this paper is to develop a new method, which chooses the best neural network architecture based on one column hidden layer MLP, multiple columns hidden layers MLP, RBFN and decision trees and ensembling them with voting methods. The proposed method of this paper is run on an Australian credit data and a private bank in Iran called Export Development Bank of Iran and the results are used for making solution in low customer attraction risks.

  17. An Inventory Model for Perishable Products with Stock-Dependent Demand and Trade Credit under Inflation

    Directory of Open Access Journals (Sweden)

    Shuai Yang

    2013-01-01

    Full Text Available We consider an inventory model for perishable products with stock-dependent demand under inflation. It is assumed that the supplier offers a credit period to the retailer, and the length of credit period is dependent on the order quantity. The retailer does not need to pay the purchasing cost until the end of credit period. If the revenue earned by the end of credit period is enough to pay the purchasing cost or there is budget, the balance is settled and the supplier does not charge any interest. Otherwise, the supplier charges interest for unpaid balance after credit period, and the interest and the remaining payments are made at the end of the replenishment cycle. The objective is to minimize the retailer’s (net present value of cost. We show that there is an optimal cycle length to minimize the present value of cost; furthermore, a solution procedure is given to find the optimal solution. Numerical experiments are provided to illustrate the proposed model.

  18. Analysis of The Influence of Liquidity, Credit and Operational Risk, in Indonesian Islamic Bank’s Financing for The Period 2007-2013

    OpenAIRE

    Diallo, Ousmane; Fitrijanti, Tettet; Tanzil, Nanny Nanny

    2015-01-01

    The purpose of this paper is to analyze the influence of credit, liquidity and operational risks in six Indonesian’s islamic banking financing products namely mudharabah, musyarakah, murabahah, istishna, ijarah and qardh, in order to try to discover whether or not Indonesian islamic banking is based on the “risk-sharing” system. This paper relies on a fixed effect model test based on the panel data analysis method, focusing on the period from 2007 to 2013. The research is an exploratory and d...

  19. Research on the Prediction of Credit Risk Based on Logistic Regression Method%基于Logistic回归方法的信用风险预测研究

    Institute of Scientific and Technical Information of China (English)

    肖超峰; 郭浩明

    2013-01-01

    The main body of current commercial bank profits is mainly from the credit business. Therefore, the credit risk has been one of the most concerned risks of commercial banks, and how to assess the credit risk is a concern in commercial banking business. Compared with the traditional credit risk assessment methods which require more labor participation, this paper proposes a new method which is based on the data directly extracted from bank customer transaction database and uses Logistic regression method to model, so as to forecasts customer's PD reflecting the customer probability of default loan repayment ability.%目前商业银行利润的主体主要来自信贷业务。因此,信贷风险一直是商业银行最为关注的风险之一,如何对信用风险评估是商业银行业务中很关注的问题。与传统的信用风险评估方法需要更多人力参与相比,本文提出一种直接从银行客户交易数据中抽取所关注的交易行为,然后在此基础上利用Logistic回归方法建立模型的方法,来预测反映了客户贷款偿还能力的违约概率(PD)。

  20. A Model of the C2C Credit Evaluation System%基于C2C的电子商务信用体系研究

    Institute of Scientific and Technical Information of China (English)

    谢意; 沈玉; 干红华; 陈德人

    2009-01-01

    Credit problem iS the main bottleneck which hinders the development of e-commerce.This Paper analyzes the current representative C2C credit evaluation models of Taobao and Youa,and proposes an improved model.The improved model UseS a multi-standard evaluation system and new credit rating rules.And the evaluation weighted system to calculate the credit score then to determine the credit rating.It solves the main problems which the current C2C credit rating algorithms haven't settled.In addition.the model puts forward some identificatiOn measures of false trading.the ID verification rules.and a third-party credit certification center,which partly solve the credit fraud problems arising from the credit island and credit speculation.Finally,the paper compares the improved model with current models to show its superiority.

  1. Strategic Importance of Credit Risk Management to Shareholders’ Wealth-Sustanance in Nigerian Banks: an Empirical Analysis

    Directory of Open Access Journals (Sweden)

    Adebisi Sunday Abayomi

    2012-02-01

    Full Text Available This study highlighted the roles and strategic importance of credit risk management in thebanking industry vis-à-vis sustenance of shareholders’ wealth. The authors examined whether areduction in the non-performing credits in banks’ loan portfolio will reveal a possible correlationbetween effective credit risk management administration and shareholder’s wealth. In testing this,secondary data were sourced from the randomly selected five banks financials (between the period of2006 to 2010 with the use of relevant ratios. Twohypotheses were tested using multiple regressionand correlation method. The result of hypothesis one showed that the calculated r – statistics (r =.429,p<0.05 was greater than the tabulated r – statistics (r =.381 showing that the test was significantat0.05 alpha level. The result of hypothesis two alsoshowed that the calculated r-statistics (r=.403,p<0.05 was greater than tabulated r-statistics (r=.381 at 0.05 level of significance which impliedthat, there was a significant relationship betweencredit risk management and shareholders’ wealth.Based on these results, the authors recommended that, the banking sector should strive to employobjective standards of professionalism, experienceand high integrity in placement of managers whoare responsible for managing the credit portfolios;for this will largely influence the quality of riskassets management and debt recovery which will in-turn engender confidence in the banking industryand ensure the sustenance of shareholders’ wealth and investment.

  2. 我国商业银行信贷风险的成因与对策%Causes of Commercial Banks' Credit Risk and Countermeasures

    Institute of Scientific and Technical Information of China (English)

    赵丽

    2012-01-01

    Commercial banks' credit risk management has become an important part of business management. Starting from the feature of commercial banks' credit risk, the paper analyzes the causes of commercial banks' credit risk, and, combining with present situation of commercial banks' credit risk, puts forward the measures to improve commercial banks' credit risk management.%商业银行的信贷风险管理已经成为商业经营管理中的重要内容.文章首先以商业银行信贷风险的特征为研究基础,在分析商业银行信贷风险产生的原因的基础上,结合我国商业银行信贷风险的现状,提出了改善我国商业银行信贷风险管理的措施.

  3. LEED Credit Review System and Optimization Model for Pursuing LEED Certification

    Directory of Open Access Journals (Sweden)

    Jin Ouk Choi

    2015-09-01

    Full Text Available Incorporating sustainability in construction can result in desirable building attributes and project life cycle. The Leadership in Engineering and Environmental Design (LEED® Rating System helps project teams make the right green building decisions for their projects through a process. However, in current practice, project teams do not have a systematic procedure or tool for choosing the LEED credits appropriate for a particular project. The researchers have developed a tool, which support the LEED integrative process during a charrette, and developed an optimization model that can be utilized to assist project teams determine which credits to pursue for LEED certification, taking into account potential benefits associated with any LEED credit. The tool enables owners to incorporate sustainability in construction by helping the project teams make the right green building decisions for their projects through an integrated procedure.

  4. On the Existence and Uniqueness of JML Estimates for the Partial Credit Model

    Science.gov (United States)

    Bertoli-Barsotti, Lucio

    2005-01-01

    A necessary and sufficient condition is given in this paper for the existence and uniqueness of the maximum likelihood (the so-called joint maximum likelihood) estimate of the parameters of the Partial Credit Model. This condition is stated in terms of a structural property of the pattern of the data matrix that can be easily verified on the basis…

  5. 49 CFR 526.5 - Earning offsetting monetary credits in future model years.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 6 2010-10-01 2010-10-01 false Earning offsetting monetary credits in future model years. 526.5 Section 526.5 Transportation Other Regulations Relating to Transportation (Continued) NATIONAL HIGHWAY TRAFFIC SAFETY ADMINISTRATION, DEPARTMENT OF TRANSPORTATION PETITIONS AND PLANS FOR RELIEF UNDER THE AUTOMOBILE FUEL EFFICIENCY...

  6. OPTIMAL STOCK MODELING FOR NON-FOODS RETAILER SELLING ON-CREDIT

    Directory of Open Access Journals (Sweden)

    Vladimir V. Manakhov

    2016-01-01

    Full Text Available The article is dedicated to the problem of retail stock optimization within mo-nopolistic competition market while selling non-food goods to customers on-credit. Optimization model has been developed and appropriate technique of stock volume planning has been introduced

  7. Assessing Credit with Equity : A CEV Model with Jump to Default

    NARCIS (Netherlands)

    Campi, L.; Polbennikov, S.Y.; Sbuelz, A.

    2005-01-01

    Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero

  8. Pricing model of credit default swap with stochastic foreign exchange rate

    Directory of Open Access Journals (Sweden)

    WANG Yang

    2013-04-01

    Full Text Available A pricing model is established by using the structure approach and the backward Kolmogrov equation under the assumption of stochastic foreign exchange rate.The explicit solution of credit default swap is obtained for the dollar market.And a correlative financial analysis is given.

  9. Parent Ratings of ADHD Symptoms: Generalized Partial Credit Model Analysis of Differential Item Functioning across Gender

    Science.gov (United States)

    Gomez, Rapson

    2012-01-01

    Objective: Generalized partial credit model, which is based on item response theory (IRT), was used to test differential item functioning (DIF) for the "Diagnostic and Statistical Manual of Mental Disorders" (4th ed.), inattention (IA), and hyperactivity/impulsivity (HI) symptoms across boys and girls. Method: To accomplish this, parents completed…

  10. Assessing Credit with Equity : A CEV Model with Jump to Default

    NARCIS (Netherlands)

    Campi, L.; Polbennikov, S.Y.; Sbuelz, A.

    2005-01-01

    Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero ba

  11. Cooperative credit banks and regional growth: creation of a local development model and analysis of the «G. Toniolo» Cooperative Credit Bank in San Cataldo

    Directory of Open Access Journals (Sweden)

    Massimo Cermelli

    2015-11-01

    Full Text Available The economic crisis has called into question not only the banking systems, but also the development model. Cooperative credit banks have returned to occupy a central role, demonstrating with his broad background that another way of providing financial services can exist. In Italy, cooperative credit banks are principal players in the banking economic system. One of those banks is the «G. Toniolo», which has become over the years a reference in the local banking system.Received: 07.06.2015Accepted: 30.07.2015

  12. Application of decision trees in credit scoring

    Directory of Open Access Journals (Sweden)

    Ljiljanka Kvesić

    2013-12-01

    Full Text Available Banks are particularly exposed to credit risk due to the nature of their operations. Inadequate assessment of the borrower directly causes losses. The financial crisis the global economy is still going through has clearly shown what kind of problems can arise from an inadequate credit policy. Thus, the primary task of bank managers is to minimise credit risk. Credit scoring models were developed to support managers in assessing the creditworthiness of borrowers. This paper presents the decision tree based on exhaustive CHAID algorithm as one such model. Since the application of credit scoring models has not been adequately explored in the Croatian banking theory and practice, this paper aims not only to determine the characteristics that are crucial for predicting default, but also to highlight the importance of a quantitative approach in assessing the creditworthiness of borrowers.

  13. A simple model of money, credit and aggregate demand

    OpenAIRE

    Spencer Dale; Andrew Haldane

    1993-01-01

    The paper presents a theoretical model of how banks and the non-bank private sector respond to changes in monetary policy. Unlike many textbook models in which banks play no active role, the banking sector is recognised here as playing a key part in transmitting changes in monetary policy to the real economy. In a conventional IS/LM model, the impact of a change in monetary policy arises from the response of expenditure to changes in interest rates (the "monetary" channel). If, however, bank ...

  14. 浅析运用计量经济模型的缺陷%A optimal stimulating method to calculate the VAR of credit risk of loan Analysis of drawbacks of econometric models

    Institute of Scientific and Technical Information of China (English)

    李志强; 詹锋

    2003-01-01

    At present, Econometric models have found a wide range of applications on economic research.However their reliability can be easily understand by intend or unintended abuses. No doubt, econometricmodels have the advantage of revealing the numerical relationships on economic phenomena, but thereexist certain fatal flaws on these econometric models, which if not treated properly will lead to unexpectedmistakes in economic forecast or analysis. In this article some common flaws in econmetric models areinvestigated and some useful measures are suggested for their improvement.

  15. Measuring the coupled risks: A copula-based CVaR model

    Science.gov (United States)

    He, Xubiao; Gong, Pu

    2009-01-01

    Integrated risk management for financial institutions requires an approach for aggregating risk types (such as market and credit) whose distributional shapes vary considerably. The financial institutions often ignore risks' coupling influence so as to underestimate the financial risks. We constructed a copula-based Conditional Value-at-Risk (CVaR) model for market and credit risks. This technique allows us to incorporate realistic marginal distributions that capture essential empirical features of these risks, such as skewness and fat-tails while allowing for a rich dependence structure. Finally, the numerical simulation method is used to implement the model. Our results indicate that the coupled risks for the listed company's stock maybe are undervalued if credit risk is ignored, especially for the listed company with bad credit quality.

  16. 基于 KMV 和关联规则算法的行业供应链信用风险传染研究%Study on the Transmission of Industry Supply Chain Credit Risk with KMV Model and Association Rule Algorithm

    Institute of Scientific and Technical Information of China (English)

    单汨源; 陈立立; 张人龙

    2015-01-01

    从行业供应链视角,以钢铁行业和医药流通行业供应链中上市企业市场数据为研究对象,上市公司信用风险大小以 KMV 模型中的违约距离值代替,利用 Apriori 算法挖掘上市公司信用风险传染的关联规则。研究结论表明,医药流通行业供应链中企业信用风险传染频率和传染强度均高于钢铁行业供应链中企业;供应链中上下游企业整合以及信用技术引进是影响供应链企业信用风险传染重要影响因素。%From the perspective of the supply chain industry,this paper studies the market data of the listed companies se-lected from the steel industry and the pharmaceutical distribution industry which come from the same supply chain.The credit risk indicators of listed companies are measured by the distance to default calculated through KMV computational method.Besides,Apriori algorithm is used to dig the transmission of credit risk between the listed companies.The result indicates that:compared with the steel industry supply chain,the frequency and intensity of supply chain credit risk conta-gion were higher in pharmaceutical distribution industry supply chain;supply chain integration and information sharing in the supply chain are important influence factors for reducing credit risk contagion between the enterprises in supply chain.

  17. Reviewing the Literature of Inventory Models under Trade Credit Contact

    Directory of Open Access Journals (Sweden)

    Zohreh Molamohamadi

    2014-01-01

    Full Text Available In the classical inventory models, it was assumed that the buyer pays for the purchased items as they are received from the seller. In practice, however, the seller allows the buyer to settle the account with a delay period. Such a contract has attracted the attention of many researchers and practitioners in recent years. Thus, this paper addresses the researches with delay in payment and presents pertinent information about developments and extensions of such models to provide an up-to-date review of the studies conducted since 1973 and assist in developing the future researches.

  18. Using Partial Credit and Response History to Model User Knowledge

    Science.gov (United States)

    Van Inwegen, Eric G.; Adjei, Seth A.; Wang, Yan; Heffernan, Neil T.

    2015-01-01

    User modelling algorithms such as Performance Factors Analysis and Knowledge Tracing seek to determine a student's knowledge state by analyzing (among other features) right and wrong answers. Anyone who has ever graded an assignment by hand knows that some answers are "more wrong" than others; i.e. they display less of an understanding…

  19. Credit risk management of commercial banks%商业银行信用风险管理

    Institute of Scientific and Technical Information of China (English)

    刘艳娟

    2012-01-01

    To deal with problems in risk management of commercial banks,an inductive analysis was made to analyze credit risk management system and risk management procedures in banks.Proposals were put forward for banks to establish a sound system of internal control,bad debt reserve system and credit evaluation system.Results will provide guidance for banks to improve credit risk management.%针对商业银行风险管理问题,采用归纳分析的方法,分析了银行信用风险管理机制、风险管理流程等,提出要建立健全内部控制体系、呆账准备金制度、信用评价体系等建议。研究结果对提高商业银行信用风险管理水平有指导意义。

  20. Bank networks and firm credit: an agent based model approach

    OpenAIRE

    Teixeira, Henrique Oliveira

    2016-01-01

    Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking wher...

  1. An empirical approach to the credit risk assessment of a microfinance institution in Peru

    National Research Council Canada - National Science Library

    Juan Lara Rubio; Manuel Pedro Rodríguez Bolívar; Salvador Rayo Cantón

    2011-01-01

    The growth of micro-credit along with the excellent conditions to carry out microfinance activity in the economy and financial system of the Republic of Peru are pushing for Microfinance Institutions (IMF...

  2. 12 CFR 701.21 - Loans to members and lines of credit to members.

    Science.gov (United States)

    2010-01-01

    ... individual federal credit unions as evidenced by adverse trends in liquidity, capital, earnings, and growth... servicer's organization, business model, financial health, and the related program risks; (ii) The credit.... (2) Permitted options transactions. A Federal credit union may, to manage risk of loss through a...

  3. Trial of a "credit card" asthma self-management plan in a high-risk group of patients with asthma.

    Science.gov (United States)

    D'Souza, W; Burgess, C; Ayson, M; Crane, J; Pearce, N; Beasley, R

    1996-05-01

    The "credit card" asthma self-management plan provides the adult asthmatic patient with simple guidelines for the self-management of asthma, which are based on the self-assessment of peak expiratory flow rate recordings and symptoms. The study was a trial of the clinical efficacy of the credit card plan in a high-risk group of asthmatic patients. In this "before-and-after" trial, patients discharged from the emergency department of Wellington Hospital, after treatment for severe asthma were invited to attend a series of hospital outpatient clinics at which the credit card plan was introduced. Questionnaires were used to compare markers of asthma morbidity, requirement for emergency medical care, and medication use during the 6-month period before and after intervention with the credit card plan. Of the 30 patients with asthma who attended the first outpatient clinic, 26 (17 women and 9 men) completed the program. In these 26 participants, there was a reduction in both morbidity and requirement for acute medical services: specifically, the proportion waking with asthma more than once a week decreased from 65% to 23% (p = 0.005) and the proportion visiting the emergency department for treatment of severe asthma decreased from 58% to 15% (p = 0.004). The patients attending the clinics commented favorably on the plan, in particular on its usefulness as an educational tool for monitoring and treating their asthma. Although the interpretation of this study is limited by the lack of a randomized control group, the findings are consistent with other evidence that the credit card asthma self-management plan can be an effective and acceptable system for improving asthma care in a high-risk group of adult patients with asthma.

  4. Logistic-KMV模型对广西上市公司的信用风险评估%Credit Risks Appraisal on Listed Companies in Guangxi Zhuang Autonomous Region Using Logistic-KMV Model

    Institute of Scientific and Technical Information of China (English)

    黄吉; 蒋正祥

    2012-01-01

    In this article,the author selects 11 financial indices of 28 listed companies in Guangxi Zhuang Autonomous Region in Shanghai Stock Exchange and Shenzhen Stock Exchange in 2011.Among these financial indices,five indices are chosen as the major variables of explanation to establish the logistic regression model.After that,the logistic regression model is combined with the KMV Model.Through empirical analysis,the author finds that the logistic-KMV mixed model can attain better appraisal result.%文章选取沪深两市2011年28家广西上市公司的11个财务指标进行分析,选取5个为主要的解释变量,建立logistic回归模型。然后将logistic回归模型与KMV模型进行结合,通过实证分析发现,Logistic-KMV混合模型能取得更好的评价结果。

  5. Vice-Chairman Wang Attended the 4th China Int'l Credit and Risk Management Conference

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    @@ The 4th China International Credit and Risk Management Conference was held September 19-21,2007 in Shenzhen,China.The 3-day Conference was co-hosted by the China Council for the Promotion of International Trade (CCPIT),China's National Office of Rectification and Standardization of Market Economic Order(NORSMEO),FCIB-China,the Export-Import Bank of China,and the Shenzhen Municipal Government.

  6. An Inventory Model with Finite Replenishment Rate, Trade Credit Policy and Price-Discount Offer

    Directory of Open Access Journals (Sweden)

    Biswajit Sarkar

    2013-01-01

    Full Text Available When some suppliers offer trade credit periods and price discounts to retailers in order to increase the demand of their products, retailers have to face different types of discount offers and credits within which they have to take a decision which is the best offer for them to make more profit. The retailers try to buy perfect-quality items at a reasonable price, and also they try to invest returns obtained by selling those items in such a manner that their business is not hampered. In this point of view, we consider an economic order quantity (EOQ model for various types of time-dependent demand when delay in payment and price discount are permitted by suppliers to retailers. The models of various demand patterns are discussed analytically. Some numerical examples and graphical representations are considered to illustrate the model.

  7. FraudMiner: A Novel Credit Card Fraud Detection Model Based on Frequent Itemset Mining

    Directory of Open Access Journals (Sweden)

    K. R. Seeja

    2014-01-01

    Full Text Available This paper proposes an intelligent credit card fraud detection model for detecting fraud from highly imbalanced and anonymous credit card transaction datasets. The class imbalance problem is handled by finding legal as well as fraud transaction patterns for each customer by using frequent itemset mining. A matching algorithm is also proposed to find to which pattern (legal or fraud the incoming transaction of a particular customer is closer and a decision is made accordingly. In order to handle the anonymous nature of the data, no preference is given to any of the attributes and each attribute is considered equally for finding the patterns. The performance evaluation of the proposed model is done on UCSD Data Mining Contest 2009 Dataset (anonymous and imbalanced and it is found that the proposed model has very high fraud detection rate, balanced classification rate, Matthews correlation coefficient, and very less false alarm rate than other state-of-the-art classifiers.

  8. FraudMiner: A Novel Credit Card Fraud Detection Model Based on Frequent Itemset Mining

    Science.gov (United States)

    Seeja, K. R.; Zareapoor, Masoumeh

    2014-01-01

    This paper proposes an intelligent credit card fraud detection model for detecting fraud from highly imbalanced and anonymous credit card transaction datasets. The class imbalance problem is handled by finding legal as well as fraud transaction patterns for each customer by using frequent itemset mining. A matching algorithm is also proposed to find to which pattern (legal or fraud) the incoming transaction of a particular customer is closer and a decision is made accordingly. In order to handle the anonymous nature of the data, no preference is given to any of the attributes and each attribute is considered equally for finding the patterns. The performance evaluation of the proposed model is done on UCSD Data Mining Contest 2009 Dataset (anonymous and imbalanced) and it is found that the proposed model has very high fraud detection rate, balanced classification rate, Matthews correlation coefficient, and very less false alarm rate than other state-of-the-art classifiers. PMID:25302317

  9. 商业银行对微型企业信用风险评价%Credit Risk Evaluation of Miniature Enterprises in Commercial Banks

    Institute of Scientific and Technical Information of China (English)

    李倩楠; 孙玉娟

    2016-01-01

    针对我国微型企业融资难问题,根据微型企业特点,从财务因素和非财务因素两个角度出发构建了信用风险评价模型。对于财务指标,采用主成分分析法和 Logistic 回归分析建立财务因素信用评价模型;对于非财务指标,通过模拟人们在决策行为中的逻辑思维方式,结合多层次模糊综合评价法构建非财务因素信用评价模型。最后将这两种模型有机结合,实现了对微型企业信用风险的量化考核,为商业银行开展微型企业信贷业务提供了可靠的技术支持。%Aiming at the problem of financing difficult of miniature enterprises in China and based on the characteristics of these companies,this article selects financial and non-financial factors,and finally builds a credit risk evaluation model.For the financial indicators,principal component analysis and Logistic re-gression analysis are adopted to establish the credit evaluation model of financial factors;for non-financial indicators,through simulating the logic way of thinking during people's decision-making behavior,this ar-ticle combines with multi-level fuzzy comprehensive evaluation method to build credit evaluation model of non-financial factors.The combination of the two models in the end implements the quantitative assess-ment of microenterprise credit risk,and provides reliable technical support for carrying out microenterprise credit business of commercial banks.

  10. Credit scoring model of credit card based on data mining%基于数据挖掘的信用卡信用评分模型

    Institute of Scientific and Technical Information of China (English)

    刘武成; 谈超洪

    2014-01-01

    On the base of three scoring models, which are classification and regression tree model, Bayes model and neural network model, this paper constructs the relevant credit scoring criterion and provides more accurate parameters of credit information in order to get better judge whether to accept credit card applications. Results show that modified neural network model has higher accuracy, the CART is 68.11%, Bayes is 67.83%, NN is 69.27%.%在分类回归树模型、Bayes 判别模型和神经网络模型3种评分模型的基础上,构建了相应的信用评分准则,提供更精准的信用卡信用信息评估参数,以便能更好地判别是否接受信用卡申请人的申请。实验结果表明,扩展神经网络评估模型具有相对较高的预测验证准确性,即CART=68.11%, Bayes=67.83%, NN=69.27%。

  11. Research on Using of Credit Derivatives in Credit Risk Management of Commercial Banks in China%信用衍生品在我国商业银行信用风险管理中的应用

    Institute of Scientific and Technical Information of China (English)

    成倩雯

    2015-01-01

    我国商业银行针对其面临最重要的风险之一的信用风险采取的信用风险管理方式长期以传统模式为主,这种方式较为被动,缺少积极性及动态有效性。该种方式的缺陷在经济全球化的形势下显得更为严峻,而信用衍生品作为能够有效转移信用风险的创新产品,很有须要将其引进到信用风险管理中。在学习与借鉴前人关于信用衍生品在银行信用风险管理应用的经验上,运用了实证分析方法,对银行信用资产质量与信用衍生品交易量的关系作出了研究,得出了信用衍生品在一定程度上对于降低或转移商业银行信用风险产生了作用,进而保证了信用资产质量的结论,结合了信用衍生品在我国实际的发展现状与条件,提出了该产品在我国商业银行信用风险管理中运用的建议。%Credit risk is one of the most important risks of State-owned commercial banks, commercial banks has been dominated by traditional credit risk management in China, which is relatively passive and lack of a pro-active, dynamic man-agement methods. These management defects is more serious under the situation of economic globalization, credit derivatives as the innovative products to transfer credit risk effectively, it is necessary to use this product for bank credit risk management. Based on the study and reference of previous studies on credit derivatives for credit risk management in commercial banks, using empirical research on the influence of credit derivatives to credit asset quality and came to the conclusion that credit derivative play a protective effect in the management of credit assets of commercial banks in a certain extent. Finally based on the present development situation and conditions for credit derivatives, this paper makes recommendations on using credit derivatives to manage credit risk.

  12. A Bayesian Analysis of a Random Effects Small Business Loan Credit Scoring Model

    Directory of Open Access Journals (Sweden)

    Patrick J. Farrell

    2011-09-01

    Full Text Available One of the most important aspects of credit scoring is constructing a model that has low misclassification rates and is also flexible enough to allow for random variation. It is also well known that, when there are a large number of highly correlated variables as is typical in studies involving questionnaire data, a method must be found to reduce the number of variables to those that have high predictive power. Here we propose a Bayesian multivariate logistic regression model with both fixed and random effects for small business loan credit scoring and a variable reduction method using Bayes factors. The method is illustrated on an interesting data set based on questionnaires sent to loan officers in Canadian banks and venture capital companies

  13. Variance-covariance based risk allocation in credit portfolios: analytical approximation

    OpenAIRE

    Mikhail Voropaev

    2009-01-01

    High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The accuracy of the approximation as well as its speed are compared to and shown to be superior to those of Monte Carlo simulation.

  14. A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    A hyperbolic function is introduced to reflect the attenuation effect of one firm's default to its partner. If two firms are competitors (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, and the fair swap premium of a credit default swap (CDS) can be valued.

  15. Self-Fulfilling Credit Cycles

    OpenAIRE

    Costas Azariadis; Leo Kaas; Yi Wen

    2015-01-01

    In U.S. data 1981–2012, unsecured firm credit moves procyclically and tends to lead GDP, while secured firm credit is acyclical; similarly, shocks to unsecured firm credit explain a far larger fraction of output fluctuations than shocks to secured credit. In this paper we develop a tractable dynamic general equilibrium model in which unsecured firm credit arises from self-enforcing borrowing constraints, preventing an efficient capital allocation among heterogeneous firms. Unsecured credit re...

  16. 农村信用社风险及其防范%Countryside credit cooperation risk and its prevention

    Institute of Scientific and Technical Information of China (English)

    邢媛媛

    2011-01-01

    农村信用社作为农村合作金融的主体,是我国农村金融的主力军和联系农民的金融纽带。本文对我国农村信用社金融风险的表现及成因进行了分析,提出建立适应农村信用社发展的对策建议。%the rural credit cooperatives as rural cooperative finance subject,is the mainstay of Chinese rural finance and contact farmers' financial nexus.In this paper,China's rural credit cooperatives of financial risk manifestations and causes are analyzed,to es

  17. Concentration of credit exposure as a significant source of risk in banking activities: the idea and methods of estimation

    Directory of Open Access Journals (Sweden)

    Sylwester Kozak

    2016-01-01

    Full Text Available The simultaneous activation of many sources of risk can slow bank operations and even lead to bankruptcy. Credit risk is the greatest threat to the orderly functioning of a bank. To protect against its materialization banks spend nearly 90% of their total capital requirement. Concentration of credit exposure to single entities, as well as to single economic sectors, can be a source of additional risks. Estimation of the additional portion of the capital requirement in selected banks in Poland in 2008-2013 indicates that banks should assign additional 4% and 2% of the capital requirement to cover the risk of exposure concentrations in: respectively, individual entities and individual economic sectors. For banks with a retail profile more important was the risk of large exposures in individual economic sectors, and for banks with a corporate profile in individual entities. Estimates were carried out according to the procedure used by the Bank of Spain and the Bank of Slovenia, and the data derived from the annual financial reports of selected banks listed on the WSE.

  18. A Panel Ordered Response Model for Sovereign Credit ratings in Africa

    OpenAIRE

    Marinda Pretorius and Ilse Botha

    2014-01-01

    In recent times there has been an increased focus on the myriad investment opportunites in Africa. According to Pricewater Coopers (2011:1) "the continent is home to some of the world’s fastest-growing economies and offer the highest risk-adjusted returns on foreign direct investment among emerging economies." Sovereign credit ratings plays an imperative role in the decision-making process of where and when to invest and determine the interest that is paid to investors for sovereign debt bo...

  19. Asymptotic traveling wave solution for a credit rating migration problem

    Science.gov (United States)

    Liang, Jin; Wu, Yuan; Hu, Bei

    2016-07-01

    In this paper, an asymptotic traveling wave solution of a free boundary model for pricing a corporate bond with credit rating migration risk is studied. This is the first study to associate the asymptotic traveling wave solution to the credit rating migration problem. The pricing problem with credit rating migration risk is modeled by a free boundary problem. The existence, uniqueness and regularity of the solution are obtained. Under some condition, we proved that the solution of our credit rating problem is convergent to a traveling wave solution, which has an explicit form. Furthermore, numerical examples are presented.

  20. An Empirical Study of the Relationship between the Listed Company Stock Returns and the Credit Rating

    Directory of Open Access Journals (Sweden)

    Wang Yong

    2015-01-01

    Full Text Available Based on the analysis of stock price changes motives, we select five indicators (market systemic risk, book-to-market ratio, net income per share, net profit growth rate and size of the company from the factors which affect stock yields, introduce the variable-credit rating, construct a multi-factor model which is suitable for China's stock market, study the relationship between stock yields of listed companies and credit rating. It was found that stock yields are negatively related to credit risk, and listed companies with low credit risk will get higher stock returns in the future than those with high credit risk.

  1. Critical analysis of realibility of the model of investment credit approval in agriculture and food processing industry

    Directory of Open Access Journals (Sweden)

    Barjaktarović Lidija

    2016-01-01

    Full Text Available Investments are funds which are invested in certain manufacturing goods, revenue on investments, the process of investment, subject in which it is invested, and which is obtained as a result of the assessment of investment. Every rational investor entering into an investment expects some benefits. Entry decision into a particular investment project carries a business risk, both for investors and for the bank as co-financier of the project. Accordingly, the subject of this paper-research is a critical analysis of the reliability of the model of investment credit approval in agriculture and food processing industry (MICA used by local banks when considering whether to financially support investment needs of large corporate customers in the segment of secondary agriculture production and food processing industry. Applying the model of the correlation analysis, the degree of interconnectedness of indicators of the quality of assets and business performances of Serbian banking sector are quantified.

  2. Efficient PDE based numerical estimation of credit and liquidity risk measures for realistic derivative portfolios

    NARCIS (Netherlands)

    de Graaf, C.S.L.

    2016-01-01

    In the Basel III accords in 2013, it was stated that financial institutions should charge Credit Value Adjustment (CVA) to their counterparties for (previously under-regulated) Over-The-Counter (OTC) trades. This CVA can be used to hedge a possible default of the counterparty. One important

  3. Efficient PDE based numerical estimation of credit and liquidity risk measures for realistic derivative portfolios

    NARCIS (Netherlands)

    de Graaf, C.S.L.

    2016-01-01

    In the Basel III accords in 2013, it was stated that financial institutions should charge Credit Value Adjustment (CVA) to their counterparties for (previously under-regulated) Over-The-Counter (OTC) trades. This CVA can be used to hedge a possible default of the counterparty. One important ingredie

  4. 网贷模式的信用风险探析征信视角下 P2P%Lending Mode from Credit Reference Perspective An Analysis on Credit Risk for P2P Online

    Institute of Scientific and Technical Information of China (English)

    王嵩青; 田芸; 沈霞

    2014-01-01

    近年来,我国 P2P 网络贷款作为互联网金融创新模式获得爆发式增长,但同时在信息不对称、征信主体权益保护等方面存在的信用风险问题也日益突出。为促进 P2P 网络贷款等互联网金融的发展,应加强征信管理与服务,将 P2P 网贷平台纳入征信管理范畴,强化 P2P 网贷平台信用管理和平台资金流动监管,加大网贷平台信用信息保护力度。%In recent years, as the Internet financial innovation mode, China’s P2P network loan has gained an ex-plosive growth. However, credit risk owing to information asymmetry and protection of the rights and interests of credit subjects is increasingly outstanding. In order to promote Internet financial development e. g. the P2P network lending, we should strengthen the credit reference management and service, classify the P2P online credit platform into the credit reference management, strengthen credit management of P2P online credit platform and supervision o-ver the liquidity of the platform, and take greater efforts on protecting credit information on the online lending plat-form.

  5. 信用传染违约Aalen加性风险模型%Credit Contagion Default Aalen Additive Hazard Model

    Institute of Scientific and Technical Information of China (English)

    田军; 周勇

    2012-01-01

    In this paper we consider the credit risk default models based on additive hazard model. Not only do we incorporate the macroeconomic and firm-specific conditions, but also by introducing industry-specific covariates we characterize the credit contagion between industries. In this way, we overcome underestimating by models before. We provide maximum likelihood estimators and their asymptotic properties for the parametric additive hazard model. Two estimating methods are considered, and then we get that optimal weight estimate is more effective. This paper also consider the semi-parametric additive hazard model, under this model we provide estimators and their asymptotic properties based on estimating equations of martingale. Finally we get good results through simulation.%本文考虑了基于加性风险模型的信用风险违约预报模型,不但考虑了宏观因素和公司个体因素,并且通过引入行业因素来刻画公司间可能存在的不同于宏观因素的信用传染效应,由此克服了以往模型对违约相关性的低估.本文在参数加性风险模型下给出极大似然估计及渐近性,提出两种估计方法并比较二者表现,得到最优权估计更加有效.同时本文还考虑了半参数的风险模型,并基于鞅的估计方程得到其估计及渐近性,均得到不错的结果.

  6. Application of a rule extraction algorithm family based on the Re-RX algorithm to financial credit risk assessment from a Pareto optimal perspective

    Directory of Open Access Journals (Sweden)

    Yoichi Hayashi

    2016-01-01

    Full Text Available Historically, the assessment of credit risk has proved to be both highly important and extremely difficult. Currently, financial institutions rely on the use of computer-generated credit scores for risk assessment. However, automated risk evaluations are currently imperfect, and the loss of vast amounts of capital could be prevented by improving the performance of computerized credit assessments. A number of approaches have been developed for the computation of credit scores over the last several decades, but these methods have been considered too complex without good interpretability and have therefore not been widely adopted. Therefore, in this study, we provide the first comprehensive comparison of results regarding the assessment of credit risk obtained using 10 runs of 10-fold cross validation of the Re-RX algorithm family, including the Re-RX algorithm, the Re-RX algorithm with both discrete and continuous attributes (Continuous Re-RX, the Re-RX algorithm with J48graft, the Re-RX algorithm with a trained neural network (Sampling Re-RX, NeuroLinear, NeuroLinear+GRG, and three unique rule extraction techniques involving support vector machines and Minerva from four real-life, two-class mixed credit-risk datasets. We also discuss the roles of various newly-extended types of the Re-RX algorithm and high performance classifiers from a Pareto optimal perspective. Our findings suggest that Continuous Re-RX, Re-RX with J48graft, and Sampling Re-RX comprise a powerful management tool that allows the creation of advanced, accurate, concise and interpretable decision support systems for credit risk evaluation. In addition, from a Pareto optimal perspective, the Re-RX algorithm family has superior features in relation to the comprehensibility of extracted rules and the potential for credit scoring with Big Data.

  7. Melanoma Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing melanoma cancer over a defined period of time will help clinicians identify individuals at higher risk of specific cancers, allowing for earlier or more frequent screening and counseling of behavioral changes to decrease risk.

  8. 17 CFR 240.15c3-1f - Optional market and credit risk requirements for OTC derivatives dealers (Appendix F to 17 CFR...

    Science.gov (United States)

    2010-04-01

    ... risk, foreign exchange rate risk, and commodity price risk. For material exposures in the major... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Optional market and credit... 240.15c3-1f Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION (CONTINUED) GENERAL...

  9. An Analysis of Credit Scoring for Agricultural Loans in Thailand

    Directory of Open Access Journals (Sweden)

    Visit Limsombunchai

    2005-01-01

    Full Text Available Loan contract performance determines the profitability and stability of the financial institutions and screening the loan applications is a key process in minimizing credit risk. Before making any credit decisions, credit analysis (the assessment of the financial history and financial backgrounds of the borrowers should be completed as part of the screening process. A good credit risk assessment assists financial institutions on loan pricing, determining amount of credit, credit risk management, reduction of default risk and increase in debt repayment. The purpose of this study is to estimate a credit scoring model for the agricultural loans in Thailand. The logistic regression and Artificial Neural Networks (ANN are used to construct the credit scoring models and to predict the borrower’s creditworthiness and default risk. The results of the logistic regression confirm the importance of total asset value, capital turnover ratio (efficiency and the duration of a bank - borrower relationship as important factors in determining the creditworthiness of the borrowers. The results also show that a higher value of assets implies a higher credit worthiness and a higher probability of a good loan. However, the negative signs found on both capital turnover ratio and the duration of bank-borrower relationship, which contradict with the hypothesized signs, suggest that the borrower who has a long relationship with the bank and who has a higher gross income to total assets has a higher probability to default on debt repayment.

  10. RISK ANALYSIS DEVELOPED MODEL

    Directory of Open Access Journals (Sweden)

    Georgiana Cristina NUKINA

    2012-07-01

    Full Text Available Through Risk analysis developed model deciding whether control measures suitable for implementation. However, the analysis determines whether the benefits of a data control options cost more than the implementation.

  11. LOAN RISK MANAGEMENT RELATED FORMS OF APPLICATION MODELS BY BANKING INSTITUTIONS

    National Research Council Canada - National Science Library

    Shaqir Rexhepi

    2015-01-01

    The study on the functioning of the models on the financial management of credit risk in banking institutions, is the special importance on developing strategic financial objectives and application...

  12. 商业银行对矿业企业绿色信贷项目风险度量的研究%Research on risk measurement of green credit projects of mining companies by commercial banks

    Institute of Scientific and Technical Information of China (English)

    叶巧云; 冷建飞

    2016-01-01

    In case that commercial banks underestimate the investment value of green credit projects,the paper takes listed mining companies as the research subject and, from the perspective of commercial banks and based on KMV model and equity DCF model,measures the default risk faced by green credit projects. Empirical analysis shows that A listed mining company has a relatively low default probability in green credit projects;KMV model has a good effect in dynamically measuring credit default risks;commercial banks can to some extent trust the measurement result of the model.%为避免商业银行低估绿色信贷项目的投资价值,以矿业上市公司为研究对象,从商业银行视角出发,基于KMV模型和股权现金流量折现模型度量了绿色信贷项目面临的违约风险。实证研究表明:A矿业上市公司在绿色信贷项目期间具有较低的违约概率,且KMV模型具有较好地动态度量信贷违约风险的效果,商业银行在一定程度上可以信赖该模型的度量结果。

  13. Seeking Universal Credit Ratings

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    Amid the EU’s ongoing sovereign debt crisis,the current international credit rating system has been accused of aggravating the world’s economic woes.Recently,Guan Jianzhong,Chairman of the Board and President of the Beijing-based Dagong Global Credit Rating Co.Ltd.,spoke to Beijing Review reporter Yu Yan about reforms in the current international credit rating system and Dagong’s role.Dagong is the first non-Western rating agency to assess the world’s sovereign credit and risks.

  14. Rasch-Master's Partial Credit Model in the assessment of children's creativity in drawings.

    Science.gov (United States)

    Nakano, Tatiana de Cássia; Primi, Ricardo

    2014-01-01

    The purpose of the present study was to use the Partial Credit Model to study the factors of the Test of Creativity in Children and identify which characteristics of the creative person would be more effective to differentiate subjects according to their ability level. A sample of 1426 students from first to eighth grades answered the instrument. The Partial Credits model was used to estimate the ability of the subjects and item difficulties on a common scale for each of the four factors, indicating which items required a higher level of creativity to be scored and will differentiate the more creative individuals. The results demonstrated that the greater part of the characteristics showed good fit indices, with values between 0.80 and 1.30 both infit and outfit, indicating a response pattern consistent with the model. The characteristics of Unusual Perspective, Expression of Emotion and Originality have been identified as better predictors of creative performance because requires greater ability level (usually above two standard deviation). These results may be used in the future development of an instrument's reduced form or simplification of the current correction model.

  15. Supply chain model with price- and trade credit-sensitive demand under two-level permissible delay in payments

    Science.gov (United States)

    Giri, B. C.; Maiti, T.

    2013-05-01

    This article develops a single-manufacturer and single-retailer supply chain model under two-level permissible delay in payments when the manufacturer follows a lot-for-lot policy in response to the retailer's demand. The manufacturer offers a trade credit period to the retailer with the contract that the retailer must share a fraction of the profit earned during the trade credit period. On the other hand, the retailer provides his customer a partial trade credit which is less than that of the manufacturer. The demand at the retailer is assumed to be dependent on the selling price and the trade credit period offered to the customers. The average net profit of the supply chain is derived and an algorithm for finding the optimal solution is developed. Numerical examples are given to demonstrate the coordination policy of the supply chain and examine the sensitivity of key model-parameters.

  16. Three stage trade credit policy in a three-layer supply chain-a production-inventory model

    Science.gov (United States)

    Pal, Brojeswar; Sankar Sana, Shib; Chaudhuri, Kripasindhu

    2014-09-01

    The main purpose of this paper is to investigate the optimal replenishment lot size of supplier and optimal production rate of manufacturer under three levels of trade credit policy for supplier-manufacturer-retailer supply chain. The supplier provides a fixed credit period to settle the accounts to the manufacturer, while the manufacturer gives a fixed credit period to settle the account to the retailer and the retailer, in turn, also offers a credit period to each of its customers to settle the accounts. We assume that the supplier supplies the raw material to the manufacturer and sends back the defective raw materials to the outside supplier after completion of inspection at one lot with a sales price. The system always produces good items in the model. Also, we consider the idle times of supplier and manufacturer. Finally, numerical examples are provided to illustrate the behaviour and application of the model with graphical simulation.

  17. Research on Risk Control and Evaluation of Farmer Household Micro-credit in Ningxia%宁夏小额信贷农户信用风险评价与风险管理研究

    Institute of Scientific and Technical Information of China (English)

    高坚; 王宁兰

    2012-01-01

    小额信贷自20世纪90年代初期引入到我国后,在解决贫困农户融资方面发挥了积极作用。但随着小额信贷业务不断拓展,资金量逐渐增多,信贷风险也随之加大。世界银行对全球银行业危机的研究表明,导致银行和信贷机构破产最常见的原因就是信用风险。利用层次分析法从贷款农户角度对宁夏小额信贷信用风险进行综合评估研究,根据相关资料构建多层次模糊综合评价模型,通过数学统计方法得到信用风险综合评价结果。%Since the micro-credit model was introduced in China in the early 90's, it has played an important role in solving the problem of the shortage of rural financial resources and the loan for poor farmers. However, with the development of the micro-credit in China, the credit funds and the scale are increasing gradually, and the risk of micro-credit was increasing. The research on the global banking crisis by the world bank illustrated that credit risks has been the most common reason for bankruptcy of the financial institutions. It is obvious that credit risks control and objective evaluation is very important for farmer household. In this study, the fuzzy AHP index system is established based on the credit risks evaluation and ap- praisal for farmer households who get loan from the banks in Ningxia, and the results of comprehensive evaluation for credit risks will be obtained by this methods.

  18. Credit Risk Management of Commercial Bank%商业银行贷款风险管理

    Institute of Scientific and Technical Information of China (English)

    韩文广

    2009-01-01

    Credit risk of commercial bank has caused significant influence on commercial bank's financial security and business develop-ment. Clarifying different types of credit risk for commercial bank and make good management on them is the very important content of commercial bank raanagement.%商业银行贷款风险,是指银行贷出去的款项,借款人到期偿还不了形成逾期、呆滞或根本无法偿还成为呆账贷款,银行蒙受损失具有可能性.商业银行信贷资产风险主要表现形式是逾期贷款、呆滞贷款、呆账贷款.商业银行贷款无法收回主要是由于借款人不愿或无力归还借款,所以商业银行贷款风险来源于借款人.

  19. Avaliação da aplicabilidade de um modelo de credit scoring com varíaveis sistêmicas e não-sistêmicas em carteiras de crédito bancário rotativo de pessoas físicas An evaluation on the applicability of a credit scoring model, with systemic and non-systemic variables in revolving bank credit portfolio for individuals

    Directory of Open Access Journals (Sweden)

    José Odálio dos Santos

    2007-08-01

    capability. Likewise, a more significant historical exposition of the banks to insolvency risk is being observed, such as the risk of not getting paid (partially or totally and the revolving credit borrowed by consumers. Considering the size and the importance of this market to the great commercial banks and to the economy as a whole, the scope of this research comprises the following points: 1. detailing the processes of subjective and objective credit analysis carried out by the main domestic private banks; 2. approaching the selective function of interest rates in revolving credits; 3. highlighting the main characteristics of credit scoring models; and 4. proposing a model of credit scoring for revolving credits. This model is based on systemic and non-systemic variables and directed to the reduction of insolvency risk. The applicability of the credit scoring model proposed in a sample, extracted from the consumers credit portfolio which belongs to an important medium size Brazilian private commercial bank (Bank X - fictitious name, presented a satisfactory accuracy level in the identification of prospective (96% and non-prospective (92% clients, which led to the conclusion that it included and considered adequately the representative variables of borrowers’ payment capability.

  20. 农村信用社农户贷款信用风险影响因素研究——以黑龙江省为例%Study on the Credit Risk Influencing Factors of the Loans to Farmers of Rural Credit Cooperatives Based on the Survey of Heilongjiang Province

    Institute of Scientific and Technical Information of China (English)

    刘立研; 李晓红

    2013-01-01

    Based on a relevant theories analysis of the credit risk influencing factors of the loans to farmers of rural credit cooperatives,relying on the survey data of rural credit cooperatives in Heilongjiang Province,Logistic model was used to analyze these factors,the influencing factors were obtained,which will provide a reference basis for reducing loans to farmers risk of rural credit cooperatives in Heilongjiang Province,improving management level and service effciency.%在对农村信用社农户贷款信用风险影响因素进行理论分析的基础上,通过对从黑龙江省农村信用社和农户的实地调研,运用Lo-gistic模型对调研数据进行了实证分析,得出了影响当地农户贷款信用风险的若干因素,为黑龙江省农村信用社降低农户贷款风险,提高管理水平和服务“三农”效率提供了借鉴依据.

  1. Small- Credit Guarantee'S Existing Problems and Risk Evasion%小额信贷担保存在的问题及风险规避

    Institute of Scientific and Technical Information of China (English)

    李丽

    2012-01-01

    As a kind of intermediary between individual and bank credit management, the guarantee of small credit is not only an important way to avoid the credit risk of bank in the future, but also an important means of individual credit. In recent years, small credit guarantees have obtained the primary development, but still have lots of questions, in particularly, guarantee credit can not be acquired practical protection. Therefore, it needs to start from the diversification of the guarantee business, by establishing risk sharing mechanisms, using successful ideas of western credit guarantees for reference, setting up credit guarantee funds to solve some prominent social problems by applying credit guarantee mechanisms in social security systems, such as agriculture, housing, medical care, disaster relief, and so on.%小额信贷的担保作为个人与银行信贷业务的一种中介,既是银行今后规避信贷风险的重要方式,又是个人信贷的一种重要手段。近年来,小额信贷的担保得到了初步的发展,但其中存在的问题较多,尤其是担保信用得不到切实保障。因此需要从实现担保业务的多元化入手,建立风险分担机制,借鉴西方信贷担保的成功思路,设立信贷担保基金,以尝试在农业、住房、医疗、救灾等社会保障体系中运用信贷担保机制来解决一些突出的社会问题。

  2. 面板数据模型在信贷资产证券化中的应用%Panel Data Model Applied in Credit Asset Securitization

    Institute of Scientific and Technical Information of China (English)

    包安娜

    2015-01-01

    根据信贷资产证券化试点实况的面板数据及时间序列数据,采用固定效应模型,实证分析了信贷资产证券化对商业银行的 Z 分数、加权资产资本充足率及贷款损失准备的影响。结果表明,信贷资产证券化规模的扩张会显著提高银行的 Z 分数和资本充足率,而对贷款损失准备具有显著的负效应,即信贷资产证券化业务可以减小银行面临的风险。%On the basis of panel data and time series data,we made empirical analysis concentrating on the actual participants engaged in the securitization of credit assets.With constructing a Fixed-Effect Model,the impact of credit asset securitization on Z-score was analyzed,Capital to Risk-Weighted Asset Ratio and Loan Loss Provision commonly,which were used as measures of bank risk taking.The empirical result showed that the expansion of the Credit Asset Securitization in our country significantly improved Z-score as well as Capital to Risk-Weighted Asset Ratio,and has a negative effect on the banks'Loan Loss Provision.In general,Credit Asset Securitization in China has made great contribution to reducing bank risks.

  3. CREDIT SCORING MODELS IN ESTIMATING THE CREDITWORTHINESS OF SMALL AND MEDIUM AND BIG ENTERPRISES

    Directory of Open Access Journals (Sweden)

    Robert Zenzerović

    2011-02-01

    Full Text Available This paper is focused on estimating the credit scoring models for companies operating in the Republic of Croatia. According to level of economic and legal development, especially in the area of bankruptcy regulation as well as business ethics in the Republic of Croatia, the models derived can be applied in wider region particularly in South-eastern European countries that twenty years ago transferred from state directed to free market economy. The purpose of this paper is to emphasize the relevance and possibilities of particular financial ratios in estimating the creditworthiness of business entities what was realized by performing the research among 110 companies. Along most commonly used research methods of description, analysis and synthesis, induction, deduction and surveys, the mathematical and statistical logistic regression method took the central part in this research. The designed sample of 110 business entities represented the structure of firms operating in Republic of Croatia according to their activities as well as to their size. The sample was divided in two sub samples where the first one consist of small and medium enterprises (SME and the second one consist of big business entities. In the next phase the logistic regression method was applied on the 50 independent variables – financial ratios calculated for each sample unit in order to find ones that best discriminate financially stable from unstable companies. As the result of logistic regression analysis, two credit scoring models were derived. First model include the liquidity, solvency and profitability ratios and is applicable for SME’s. With its classification accuracy of 97% the model has high predictive ability and can be used as an effective decision support tool. Second model is applicable for big companies and include only two independent variables – liquidity and solvency ratios. The classification accuracy of this model is 92,5% and, according to criteria of

  4. THE RISK OF FRAUD WITHOUT IMPLEMENTATION OF THE PILLARS OF CORPORATE GOVERNANCE AT THE LEVEL OF CREDIT INSTITUTIONS IN ROMANIA

    Directory of Open Access Journals (Sweden)

    VLAD MARIANA

    2013-02-01

    Full Text Available In this article, the authors seek to emphasize the risk factors that may occur due to not implementing or faultyimplementation of corporate governance for credit institutions, and its role in fraud prevention and detection. To avoidinappropriate governance, top management should have special preoccupations for the development of strategies,developing internal control policies by which to determine and evaluate the risks of the organization. Corporategovernance starts with a broad range of beneficiaries (stakeholders who contribute with resources to an organization(investments, taxes, charitable contributions, etc. Those members are the direct and indirect beneficiaries of theorganizational unit to be regulated. Corporate governance involving several parties: the leadership board, the internalauditors or those of the external environment. In some cases, regulatory authorities or professional associations,contribute to this process.

  5. The Role of Credit in Predicting US Recessions

    DEFF Research Database (Denmark)

    Pönkä, Harri

    are useful predictors of US recessions over and above the control variables both in and out of sample. Especially the excess bond premium, capturing the cyclical changes in the relationship between default risk and credit spreads, is found to be a powerful predictor. Overall, models that combine credit......We study the role of credit in forecasting US recession periods with probit models. We employ both classical recession predictors and common factors based on a large panel of financial and macroeconomic variables as control variables. Our findings suggest that a number of credit variables...

  6. CRank: A Credit Assessment Model in C2C e-Commerce

    Science.gov (United States)

    Zhang, Zhiqiang; Xie, Xiaoqin; Pan, Haiwei; Han, Qilong

    An increasing number of consumers not only purchase but also resell merchandise through C2C web sites. One of the greatest concerns for the netizens is the lacking of a fair credit assessment system. Trust and trustworthiness are crucial to the survival of online markets. Reputation systems that rely on feedback from traders help to sustain the trust. And reputation systems provide one of the ways of building trusts online. In this chapter, we investigate a credit assessment model, CRank, for the members in the context of e-market systems, such as Alibaba, eBay, to solve such problem as how to choose a credible business partner when the customer wants to purchase some products from the Internet. CRank makes use of feedback profile made up of ranks from other users as well as an overall feedback rating for the user based on the idea of PageRank. This model can be used to build a trustable relation network among business participants.

  7. Pre-counseling education for low literacy women at risk of Hereditary Breast and Ovarian Cancer (HBOC): patient experiences using the Cancer Risk Education Intervention Tool (CREdIT).

    Science.gov (United States)

    Joseph, Galen; Beattie, Mary S; Lee, Robin; Braithwaite, Dejana; Wilcox, Carolina; Metrikin, Maya; Lamvik, Kate; Luce, Judith

    2010-10-01

    The Cancer Risk Education Intervention Tool (CREdIT) is a computer-based (non-interactive) slide presentation designed to educate low-literacy, and ethnically and racially diverse public hospital patients at risk of Hereditary Breast and Ovarian Cancer (HBOC) about genetics. To qualitatively evaluate participants' experience with and perceptions of a genetic education program as an adjunct to genetic counseling, we conducted direct observations of the intervention, semi-structured in person interviews with 11 women who viewed CREdIT, and post-counseling questionnaires with the two participating genetic counselors. Five themes emerged from the analysis of interviews: (1) genetic counseling and testing for breast/ovarian cancer was a new concept; (2) CREdIT's story format was particularly appealing; (3) changes in participants' perceived risk for breast cancer varied; (4) some misunderstandings about individual risk and heredity persisted after CREdIT and counseling; (5) the context for viewing CREdIT shaped responses to the presentation. Observations demonstrated ways to make the information provided in CREdIT and by genetic counselors more consistent. In a post-session counselor questionnaire, counselors' rating of the patient's preparedness before the session was significantly higher for patients who viewed CREdIT prior to their appointments than for other patients. This novel educational tool fills a gap in HBOC education by tailoring information to women of lower literacy and diverse ethnic/racial backgrounds. The tool was well received by interview participants and counselors alike. Further study is needed to examine the varied effects of CREdIT on risk perception. In addition, the implementation of CREdIT in diverse clinical settings and the cultural adaptation of CREdIT to specific populations reflect important areas for future work.

  8. 我国农村信用社操作风险管理浅析%Analysis of operation risk management of rural credit cooperatives in China

    Institute of Scientific and Technical Information of China (English)

    王君宇

    2016-01-01

    农村信用社在我国的金融机构里有着独特的作用,其具有主要服务群体的特殊性,其主要服务群体是广大农民。随着近些年国家对农村信用社的改革和农村信用社自身业务发展需要,农村信用社的操作风险呈现加大的趋势。因此,有必要对农村信用社的操作风险进行分析研究,使农村信用社的改革更顺畅、业务进展更顺利,更好地服务于“三农”。就此,从农村信用社的操作风险定义、我国农村信用社的若干案例、农村信用社操作风险成因、农村信用社操作风险治理展开论述。%Rural Credit Cooperatives plays a unique role in China's financial institutions,the particularity of the main service groups,the main service group is the majority of farmers in recent years. With the country on the reform of rural credit cooperatives and rural credit cooperatives in the development of their own business,increase the operational risk of rural credit cooperatives. Present. Therefore,it is necessary to analyze the operational risk of rural credit cooperatives,the rural credit cooperatives reform more smoothly,business progress more smoothly,to better serve the "three rural". In this connection,from the definition of the operational risk of rural credit cooperatives, several cases of China's Rural credit cooperatives,causes of operational risk of rural credit cooperatives,rural credit cooperatives operational risk management is discussed.

  9. The Financial Indicators' Application in the Evaluation of Credit Risk%财务指标评价银行信贷风险的实例运用

    Institute of Scientific and Technical Information of China (English)

    伍宇冰

    2011-01-01

    纵观古今,对于全球银行业来说,信贷风险管理的好坏决定了银行的生死存亡。近年来,随着我国银行业体制改革深入,各家银行信贷业务发展迅速,但是我国银行业信贷风险管理观念薄弱,管理水平仍较低,信贷业务快速发展和风险管理相对滞后的矛盾日益凸显,国内关于银行信贷风险管理手段和技术的研究也比较落后,本文将着重从财务报表分析角度探讨财务指标在信贷风险评价中的运用,探讨财务指标在信贷风险评价中的有效性。%Historically,it is the performance of credit risk management that determines the survival of banks for the global banking.In recent years,with the further structural reforms in the banking of our country,the credit risk management of banks develop rapidly.However,owing to the weakness of the conception of credit risk management,the low level of the management and the debasing ability to withstand risks in our country's banking,the contradiction between the rapid development of credit and relatively lag of the risk management is becoming increasingly conspicuous.Domestic research on the methods and technology of bank credit risk management is relatively backward.From the perspective of financial statements analysis,this paper arms at discussing the financial indicators' application and effectiveness in the evaluation of credit risk.

  10. 贝叶斯方法在信用风险度量中的应用研究综述%Bayesian Methods in Credit Risk Measurement: A Survey

    Institute of Scientific and Technical Information of China (English)

    丁东洋; 周丽莉; 刘乐平

    2013-01-01

    贝叶斯方法可以有效的处理信用风险度量中常见的数据缺失问题,而且为科学使用专家意见等主观经验提供了有效途径,已被广泛应用于信用风险度量领域.本文从模型构建、估计方法及模型比较三个方面对应用贝叶斯方法度量信用风险的重要文献进行综述,重点关注信用风险的违约相关性和风险蔓延性等最新研究热点,为深入研究信用风险度量问题提供参考,并引起国内风险分析人员对贝叶斯方法的兴趣.%Bayesian methods can effectively deal with the common problem of missing data, and provide a formal way for the scientific use of subjective experience, has been widely used in credit risk measurement. This paper presents a survey of important literature of credit risk measurement using Bayesian methods in three aspects of modeling, estimation methods and model comparison, and focus on the hot issues of default correlation and risk contagion of the latest credit risk research, in order to provide reference for further research in the credit risk measurement, and raise the domestic risk analyzer interest in Bayesian methods.

  11. 邮储银行信贷风险控制问题与成因分析%On Credit Risk Control of Postal Savings Bank

    Institute of Scientific and Technical Information of China (English)

    刘志坚; 邓莹; 晏艳珍

    2012-01-01

    Due to tryiug credit business for a short time,Postal Savings Bank of China in the credit operation and credit management is lack of experience,the corresponding credit risk control level is low.This article takes the basic situation of credit to the postal savings bank as a starting point,discusses the credit risk control problems of the postal savings bank and explores the causes in-depth analysis of the causes.%邮储银行由于试水信贷业务不久,其在信贷经营和信贷管理上经验缺乏,相应的信贷风险控制水平也较低下。文章以邮储银行信贷基本情况为出发点,对邮储银行现阶段信贷风险控制存在的问题进行了探讨,并深入剖析了引发的原因所在。

  12. Melanoma risk prediction models

    Directory of Open Access Journals (Sweden)

    Nikolić Jelena

    2014-01-01

    Full Text Available Background/Aim. The lack of effective therapy for advanced stages of melanoma emphasizes the importance of preventive measures and screenings of population at risk. Identifying individuals at high risk should allow targeted screenings and follow-up involving those who would benefit most. The aim of this study was to identify most significant factors for melanoma prediction in our population and to create prognostic models for identification and differentiation of individuals at risk. Methods. This case-control study included 697 participants (341 patients and 356 controls that underwent extensive interview and skin examination in order to check risk factors for melanoma. Pairwise univariate statistical comparison was used for the coarse selection of the most significant risk factors. These factors were fed into logistic regression (LR and alternating decision trees (ADT prognostic models that were assessed for their usefulness in identification of patients at risk to develop melanoma. Validation of the LR model was done by Hosmer and Lemeshow test, whereas the ADT was validated by 10-fold cross-validation. The achieved sensitivity, specificity, accuracy and AUC for both models were calculated. The melanoma risk score (MRS based on the outcome of the LR model was presented. Results. The LR model showed that the following risk factors were associated with melanoma: sunbeds (OR = 4.018; 95% CI 1.724- 9.366 for those that sometimes used sunbeds, solar damage of the skin (OR = 8.274; 95% CI 2.661-25.730 for those with severe solar damage, hair color (OR = 3.222; 95% CI 1.984-5.231 for light brown/blond hair, the number of common naevi (over 100 naevi had OR = 3.57; 95% CI 1.427-8.931, the number of dysplastic naevi (from 1 to 10 dysplastic naevi OR was 2.672; 95% CI 1.572-4.540; for more than 10 naevi OR was 6.487; 95%; CI 1.993-21.119, Fitzpatricks phototype and the presence of congenital naevi. Red hair, phototype I and large congenital naevi were

  13. Analysis on Risk Prevention Mechanism for Farmers' Default in Small Amount Credit%农户小额信贷违约风险防范机制的博弈分析

    Institute of Scientific and Technical Information of China (English)

    张姣姣

    2012-01-01

    Through analysis, it is believed that major reasons for default risks in operation of small amount credit include low management level and vacancy of normative system,vacancy of risk sharing mechanism,rating distortion due to imperfect credit investigation system,and uncertainty of borrower' s credit. On the basis of these, static and dynamic models are established to analyze the prevention mechanism for default risk in small amount credit. It is concluded that we must establish a restriction mechanism during operation of small amount credit as long as three values increase ,namely ,N ( potential loss of bad credit record due to farmers' default) , Q ( probability of successful recovery by small amount credit institution) ,and S (cost of small amount credit institution punishing farmers after successful recovery). Finally,following countermeasures and suggestions are put forward: perfect laws and regulations and credit reward and punishment mechanism for risk management of small amount credit; bring into play proper function of loan officer in small amount credit practice; widely promote rural " Group Credit Union" system.%分析了小额信贷运作过程中的违约风险存在的成因,主要是小额信贷管理水平低,缺失规范制度;小额信贷业务缺乏风险分担机制;不健全的征信制度导致评级失真;借款人信用不确定引致违约风险.分别建立了静态的和动态的博弈模型,对小额信贷违约风险防范机制进行了分析,得出结论:只要能保证农户违约所产生不良信用记录的潜在损失N、小额信贷机构追讨成功的概率Q、小额信贷发放机构追讨成功会对农户施加惩罚的成本S都增大,在小额信贷运作过程中,就必须要增加一种约束机制——可置信的战略威胁.并提出了相应的对策建议:健全关于小额信贷信用风险管理的法律法规和信用奖惩机制;加强信贷员在小额信贷实践中应有作用的发挥;广泛推

  14. Functional Risk Modeling for Lunar Surface Systems

    Science.gov (United States)

    Thomson, Fraser; Mathias, Donovan; Go, Susie; Nejad, Hamed

    2010-01-01

    We introduce an approach to risk modeling that we call functional modeling , which we have developed to estimate the capabilities of a lunar base. The functional model tracks the availability of functions provided by systems, in addition to the operational state of those systems constituent strings. By tracking functions, we are able to identify cases where identical functions are provided by elements (rovers, habitats, etc.) that are connected together on the lunar surface. We credit functional diversity in those cases, and in doing so compute more realistic estimates of operational mode availabilities. The functional modeling approach yields more realistic estimates of the availability of the various operational modes provided to astronauts by the ensemble of surface elements included in a lunar base architecture. By tracking functional availability the effects of diverse backup, which often exists when two or more independent elements are connected together, is properly accounted for.

  15. The At-Risk Student's Journey with Online Course Credit: Looking at Perceptions of Care

    Science.gov (United States)

    Barnett, Karis K.

    2016-01-01

    Studies addressing at-risk students' perceptions of valuable caring relationships within their unique online environment are rare. While the phrase at-risk has a variety of meanings, this study examined the term pertaining to students who were labeled due to endangerment of not graduating from high school based on their life circumstances. Through…

  16. A Multidimensional Partial Credit Model with Associated Item and Test Statistics: An Application to Mixed-Format Tests

    Science.gov (United States)

    Yao, Lihua; Schwarz, Richard D.

    2006-01-01

    Multidimensional item response theory (IRT) models have been proposed for better understanding the dimensional structure of data or to define diagnostic profiles of student learning. A compensatory multidimensional two-parameter partial credit model (M-2PPC) for constructed-response items is presented that is a generalization of those proposed to…

  17. What You Don't Know Can Hurt You: Missing Data and Partial Credit Model Estimates.

    Science.gov (United States)

    Thomas, Sarah L; Schmidt, Karen M; Erbacher, Monica K; Bergeman, Cindy S

    2016-01-01

    The authors investigated the effect of missing completely at random (MCAR) item responses on partial credit model (PCM) parameter estimates in a longitudinal study of Positive Affect. Participants were 307 adults from the older cohort of the Notre Dame Study of Health and Well-Being (Bergeman and Deboeck, 2014) who completed questionnaires including Positive Affect items for 56 days. Additional missing responses were introduced to the data, randomly replacing 20%, 50%, and 70% of the responses on each item and each day with missing values, in addition to the existing missing data. Results indicated that item locations and person trait level measures diverged from the original estimates as the level of degradation from induced missing data increased. In addition, standard errors of these estimates increased with the level of degradation. Thus, MCAR data does damage the quality and precision of PCM estimates.

  18. Credit commercial et limitation du credit des entreprises canadiennes

    OpenAIRE

    Cunningham, Rose

    2005-01-01

    Burkart et Ellingsen (2004) ont elabore un modele de credit commercial et de limitation du credit bancaire selon lequel les entreprises a faible ou moyenne rentabilite auraient recours au credit commercial pour attenuer les effets de limitation du credit bancaire. Nous testons cette prediction et plusieurs autres produites par ce modele a partir d'un vaste echantillon compose de plus de 28 000 entreprises canadiennes. Au lieu de choisir arbitrairement les entreprises susceptibles de voir leur...

  19. VaR方法在商业银行信用风险度量中的应用--基于行为金融学%VaR Method Applied to the Measure of Commercial Banks’ Credit Risk--Based on Behavioral Finance

    Institute of Scientific and Technical Information of China (English)

    杨莹

    2016-01-01

    信用风险是商业银行面临的重要风险之一,当前信用风险度量的主流方法多侧重通过客观因素估计信用风险,忽视主观因素对投资收益的影响,这限制了信用风险度量的准确性。基于行为金融学研究成果,结合信用风险特征,通过VaR方法量化风险,探索商业银行信用风险度量新思路。%Credit Risk is one of important risk which commercial banks are faced with.Now the main stream in the measure of credit risk tends to objective factors while ignoring subjective factors, which limits the accuracy in credit risk qualification.For the purpose of exploring a new way of measuring credit risk in commercial banks,we establish a VaR(Value at Risk) model to qualify risk based on research results of behavioral finance,coupled with features of credit risk.

  20. Control of Credit Risk of Commercial Bank%商业银行信贷风险的控制研究

    Institute of Scientific and Technical Information of China (English)

    杜文浩

    2015-01-01

    在信贷业务丰厚获利的同时,无论是国家还是商业银行都无疑承担着与之成正比的各种风险。因此,引入适当有效的量化分析方法把信贷风险降低到可控范围内,是国内商业银行在信贷业务中的重中之重。%While getting huge profits from credit business, whether the nation or commercial banks are undoubtedly bear the various risks. Therefore, the introduction of effective quantitative analysis method to reduce credit risk to the controllable range is a top priority in domestic commercial banks in the credit business.

  1. Dynamic Diversification in Corporate Credit

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Jin, Xisong;

    We characterize diversification in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between credit spread and equity return dependence dynamics. Modeling a decade...... the crisis and remain high as well. The most important shocks to credit dependence occur in August of 2007 and in August of 2011, but interestingly these dates are not associated with significant changes to median credit spreads....

  2. The Dilemmas over Credit Policy Management in a Company

    Directory of Open Access Journals (Sweden)

    Maria Gorczyńska

    2013-11-01

    Full Text Available Purpose of the article: The paper identifies the core dilemmas over the establishment of the credit policy in a company. It considers the general scope and basic stages of credit policy management and analyses each stage of credit policy in terms of decisive aspects. The main areas of concerns are discussed within the settlement of credit policy and its implementation with regard to the model of optimal credit policy. Scientific aim: The paper aims at constructing a unified model of issues rising dilemmas while setting and implementing the credit policy management. It also aims at identifying core decisive problems in each of these fields and at providing a structured questions framework. Methodology/methods: The paper is based on conceptual analysis and deduction of the literature and general review of issues related to credit policy management. It containts autors’ own view on the problems included in each stage of credit policy management. Findings: Credit policy management is a subject for numerous dilemmas. The main areas of concerns are related to: the decision about the goal of credit policy managemet with regard to its restrictiveness, the settlement of credit policy with regard to elements of credit policy, and finally the implementation with regard to the risk of bad debts occurrence. Conclusions: (limits, implications etc The establishment of credit policy in a company requires to balance contrary interests and thus involves wide variety of issues to be considered. The presented model of decisive problems might be applied in each company regardless to their size.

  3. Credit Risk and Precaution of Commercial Banks under the New Economic Situation%新经济形势下商业银行的信用风险与防范

    Institute of Scientific and Technical Information of China (English)

    邓雨菡

    2016-01-01

    This paper makes a survey of the forms of credit risk of commercial banks in China and the deficiency existing in the credit risk management of our commercial banks. By drawing on foreign advanced ideas and related systems, gives the main suggestions as follows: Improving the risk management mechanism of China's commercial banks, perfecting commercial bank information system, introducing advanced modern credit risk measurement model and improving the accounting information disclosure system of enterprises. In this way, we may reduce credit risk of the commercial banks, and promote the healthy and sustainable development of China's commercial banks.%本文就我国商业银行信用风险的表现形式、我国商业银行信用风险管理中的不足做出了相应的调查研究,并通过借鉴国外先进的理念和相关体系,得出一些诸如完善我国商业银行的风险管理机制、完善我国商业银行的信息系统、引进先进的现代信用风险计量模型、完善企业的会计信息披露制度等建议,以此来降低我国商业银行的信用风险,促进我国商业银行的健康与持续发展。

  4. Risk management of commercial bank's real estate credit%商业银行房地产信贷风险管理

    Institute of Scientific and Technical Information of China (English)

    刘萍; 牟晓一

    2011-01-01

    当前,我国商业银行所面临的最大风险是房地产信贷风险。由于我国房地产行业发展所需资金大部分是依赖商业银行贷款,因此,商业银行在给房地产行业开辟"绿色通道"来获取资金效益的同时,也给自己增添了大量的信贷风险。以商业银行房地产信贷风险为研究对象,对商业银行房地产信贷面临的宏观、微观形势进行分析,阐述风险成因,旨在为加强房地产信贷管理、增强风险意识提供决策依据。%At present,China's commercial bank are facing the biggest risk is real extate credit risk.Because what China's real estate industry development funds need most is dependent on the commercial bank loans,commercial banks in real estate industry should open up a"green channel" to get the capital efficiency,meanwhile they also bring about a lot of credit risk.This paper studies the risk of commercial bank's real estate credit and analyzes the current situation of real estate credit of commercial bank faced with,from macro and micro two aspects,expound the causes of risk.The article aims to provide decision-making basis for enhancing the management of real estate credit and raising the risk consciousness.

  5. A Study of At-Risk Students' Perceptions of an Online Academic Credit Recovery Program in an Urban North Texas Independent School District

    Science.gov (United States)

    Buckley, Mychl K.

    2012-01-01

    The purpose of this research study was to describe and analyze at-risk high school students' perceptions of their experiences with online academic credit recovery classes offered to them through an urban school district's dropout prevention department. The review of literature concerning curricula for online programs revealed that the variety of…

  6. A Study of At-Risk Students' Perceptions of an Online Academic Credit Recovery Program in an Urban North Texas Independent School District

    Science.gov (United States)

    Buckley, Mychl K.

    2012-01-01

    The purpose of this research study was to describe and analyze at-risk high school students' perceptions of their experiences with online academic credit recovery classes offered to them through an urban school district's dropout prevention department. The review of literature concerning curricula for online programs revealed that the variety of…

  7. A Study of At-Risk Students' Perceptions of an Online Academic Credit Recovery Program in an Urban North Texas Independent School District

    Science.gov (United States)

    Buckley, Mychl K.

    2012-01-01

    The purpose of this research study was to describe and analyze at-risk high school students' perceptions of their experiences with online academic credit recovery classes offered to them through an urban school district's dropout prevention department. The review of literature concerning curricula for online programs revealed that the…

  8. The Application of Genetic Algorithms and Multidimensional Distinguishing Model in Forecasting and Evaluating Credits for Mobile Clients

    Institute of Scientific and Technical Information of China (English)

    Li Zhan; Xu Ji-sheng

    2003-01-01

    To solve the arrearage problem that puzzled most of the mobile corporations, we propose an approach to forecast and evaluate the credits for mobile clients, devising a method that is of the coalescence of genetic algorithm and multidimensional distinguishing model. In the end of this pa-per, a result of a testing application in Zhuhai Branch, GMCC was provided. The precision of the forecasting and evaluation of the client's credit is near 90%. This study is very signifi-cant to the mobile communication corporation at all levels.The popularization of the techniques and the result would pro-duce great benefits of both society and economy.

  9. The Application of Genetic Algorithms and Multidimensional Distinguishing Model in Forecasting and Evaluating Credits for Mobile Clients

    Institute of Scientific and Technical Information of China (English)

    LiZhan; XuJi-sheng

    2003-01-01

    To solve the arrearage problem that puzzled most of the mobile corporations, we propose an approach to forecast and evaluate the credits for mobile clients, devising a method that is of the coalescence of genetic algorithm and multidimensional distinguishing model. In the end of this paper, a result of a testing application in Zhuhai Branch, GMCC was provided. The precision of the forecasting and evaluation of the client's credit is near 90%. This study is very significant to the mobile communication corporation at all levels.The popularization o{ the techniques and the result would produce great benefits of both society and economy.

  10. The Assessment of Partial Knowledge: The Use of the Credit Model in Scoring Multiple-Choice Items.

    Science.gov (United States)

    Smith, Richard M.

    One of the recurrent themes of the psychometric literature has been the idea that the incorrect responses a person makes to test items contain information that might be useful in determining the person's position on the variable the items are intended to define. The "Partial Credit" model, a member of the family of latent trait models…

  11. An EPQ Model with Increasing Demand and Demand Dependent Production Rate under Trade Credit Financing

    Directory of Open Access Journals (Sweden)

    Juanjuan QIN

    2015-05-01

    Full Text Available This paper investigates an EPQ model with the increasing demand and demand dependent production rate involving the trade credit financing policy, which is seldom reported in the literatures. The model considers the manufacturer was offered by the supplier a delayed payment time. It is assumed that the demand is a linear increasing function of the time and the production rate is proportional to the demand. That is, the production rate is also a linear function of time. This study attempts to offer a best policy for the replenishment cycle and the order quantity for the manufacturer to maximum its profit per cycle. First, the inventory model is developed under the above situation. Second, some useful theoretical results have been derived to characterize the optimal solutions for the inventory system. The Algorithm is proposed to obtain the optimal solutions of the manufacturer. Finally, the numerical examples are carried out to illustrate the theorems, and the sensitivity analysis of the optimal solutions with respect to the parameters of the inventory system is performed. Some important management insights are obtained based on the analysis.

  12. 78 FR 72537 - Credit Union Service Organizations

    Science.gov (United States)

    2013-12-03

    ... significant value to the credit union industry by acting as a collaborative means to share risk, manage costs... mainly to CUSOs engaged in more complex or high-risk activities, such as credit and lending, information... continues to believe that CUSOs present material risks to the credit union industry. Past experience...

  13. 我国商业银行信贷风险管理与防范%Risk Management and Prevention of Commercial Bank Credit in Our Country

    Institute of Scientific and Technical Information of China (English)

    李雪寒

    2015-01-01

    信贷风险是我国国有商业银行经营中的面临的一个非常突出的问题,也是制约国有商业银行建立现代金融制度的主要障碍。尽管国家采取了相关办法来化解信贷风险,国有商业银行在实行经营转制后应对防范信贷风险加以重视,并有针对性地提出防范信贷风险的对策。但银行的不良资产仍居高不下,这使商业银行的经营面临较大的困难。为此,深刻认识和分析商业银行的信贷风险,并在此基础上做好防范工作是必要的。%The credit risk of state-owned commercial Banks in our country are facing a very prominent question,and also restricts the main impediment to state-owned commercial Banks to establish the modern financial system.Although the state shall adopt relevant measures to solve the credit risk,the state-owned commercial Banks in the operation after the conversion of the response to prevent credit risk,and puts forward countermeasures to guard against credit risk.But the Banks non-per-forming assets is still high,which makes management of commercial Banks face greater difficulties.Therefore,the deep under-standing and analysis of the commercial bank credit risk,and on this basis,prevention work are necessary.

  14. Derivatives and credit contagion in interconnected networks

    Science.gov (United States)

    Heise, S.; Kühn, R.

    2012-04-01

    The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, but also by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit default swaps in a stylized economic network of corporates and financial institutions. We analyse such a system using a stochastic setting, which allows us to exploit limit theorems to exactly solve the contagion dynamics for the entire system. Our analysis shows that, by creating additional contagion channels, CDS can actually lead to greater instability of the entire network in times of economic stress. This is particularly pronounced when CDS are used by banks to expand their loan books (arguing that CDS would offload the additional risks from their balance sheets). Thus, even with complete hedging through CDS, a significant loan book expansion can lead to considerably enhanced probabilities for the occurrence of very large losses and very high default rates in the system. Our approach adds a new dimension to research on credit contagion, and could feed into a rational underpinning of an improved regulatory framework for credit derivatives.

  15. The Effect Mechanism of Credit Risk Transfer on Financial Stability: Based on the%信用风险转移对金融稳定性的影响机理——基于交叉持股的两部门模型

    Institute of Scientific and Technical Information of China (English)

    王凤荣; 成倩; 张珊

    2012-01-01

    mortgage crisis triggering the global economy crisis since 2008, a study on this problem is also practical significant. This paper combines the conditions of Chinese market development and institutional change characteristics. On the basis of F. Allen, and E. Carletti (2005), Zhang Wei (2010) model, two aspects of imperfect competitive insurance sector and two departments with cross-shareholdings are introduced. And then it builds the theoretical model. The model assumes an existing three periods (t = 0, 1, 2) economy system. There is an endowment which all departments can use for investment and consumption in this system. The financial system exists in two departments of the banking and insurance, and the two departments hold cross-holdings of each other. The trading stock market will be introduced in the first period and second period. On this basis, it studies two ca- ses. Firstly, it analyzes the case of no credit risk transfer between the two departments. It finds that the the insur- ance sector proceeds are related to the number of bank shares owned by itself and loan companies operating. In an- other word, The insurance sector is committed to the risk whether the banking sector and loan business will be suc- ceed. The greater the likelihood of loan business success , The smaller the risk born by the insurance sector , and vice versa. Secondly, it focus on the case with credit risk transfer between the two departments. It draws conclu- sions that in the conditions of two departments with cross-shareholdings, the transaction of credit risk can make the risk between two departments dispersed and the degree of concentration of risk reduced. Besides these, financial institutions ~ ability to resist sudden risk can be enhanced. And it is helpful for the stability of two departments. The appropriate transaction of credit risk has a positive impact on the overall financial system stability. But the negative impact of the credit risk transfer can not be ignored

  16. 基于F检验的模糊聚类小额农贷信用风险预测%Prediction of Credit Risk of Micro-loans to Farmer by Using Fuzzy Clustering Based on F Test

    Institute of Scientific and Technical Information of China (English)

    韦艳玲

    2011-01-01

    信用风险是贷款业务中的关键问题.对贷款农户的信用风险进行预测分析是搞好小额农贷业务的关键环节.笔者利用模糊聚类对农户进行软分类,并应用F检验找出合理分类,建立了小额农贷信用风险预测模型.实验表明使用该方法能取得较好的效果,具有良好的应用前景.%Credit risk is a key issue in the bank loans, therefore, the prediction of credit risk of offering loans to farmers is very important in the business of micro agricultural loans. The author adopts the fuzzy clustering to conduct a soft classification of farmers, searches for a reasonable classification by using F test and constructs a model for predictitg the credit risk of micro agricultural loans. The experiment results indicate that the method achieves good results and has bright application prospects.

  17. Self-Fulfilling Credit Cycles

    OpenAIRE

    Costas Azariadis; Leo Kaas

    2012-01-01

    This paper argues that self-fulfilling beliefs in credit conditions can generate endogenously persistent business cycle dynamics. We develop a tractable dynamic general equilibrium model with idiosyncratic firm productivity shocks. Capital from less productive firms is lent to more productive ones in the form of credit secured by collateral and also as unsecured credit based on reputation. A dynamic complementarity between current and future credit constraints permits uncorrelated sunspot sho...

  18. 工业企业资信监控中的市场风险%Market Risks in the Credit Standing and Respectability Monitoring over Industrial Businesses

    Institute of Scientific and Technical Information of China (English)

    张彤; 张世英

    2001-01-01

    Var(Value at risk)方法是近年来兴起的一种金融风险管理工具,本文尝试将这一方法用于企业资信监控中的市场风险评估,并给出了算例.%In this paper,the application of Var in the Company Credit Monitoring System to measure the market risk is studied,and a example is given.

  19. Risk Pricing Model of Credits and its Practical Use%授信业务的风险定价模型及其实践——基于中国商业银行新竞争战略视角的研究

    Institute of Scientific and Technical Information of China (English)

    李亚敏; 王浩

    2007-01-01

    授信业务的风险定价和度量是现代金融理论研究的前沿问题,本文首先回顾了已有的各种主流信用风险定价方法,并对目前国内外主要的信用风险定价的结构模型进行了研究和评述,包括定性模型(Qualitative Models)、信贷评级模型(Credit Scoring Models)、现代模型(Newer Models).接着对中国商业银行风险定价中的违约风险与授信业务的价值进行了定量分析.在此基础上,本文进一步探讨了这些信用风险定价模型在商业银行新竞争战略实践上的意义以及可能的发展方向.

  20. IFRS 9 replacing IAS 39 : A study about how the implementation of the Expected Credit Loss Model in IFRS 9 i beleived to impact comparability in accounting

    OpenAIRE

    Klefvenberg, Louise; Nordlander, Viktoria

    2015-01-01

    This thesis examines how the implementation process of Expected Credit Loss Model in the accounting standard IFRS 9 – Financial instruments is perceived and interpreted and how these factors can affect comparability in accounting. One of the main changes with IFRS 9 is that companies need to account for expected credit losses rather than just incurred ones. The data is primarily collected through a web survey where all of Nordic banks and credit institutes with a minimum book value of total a...

  1. The Research on Ordering Structure of Credit Targets

    Institute of Scientific and Technical Information of China (English)

    ZongfangZhou; XiaowoTang

    2004-01-01

    We put forward the credit targets sequences set and ordering structure of credit targets sequences and the dominance structure in credit targets sequences set. We also give a model to evaluate customer's credit by the deviation.

  2. The Credit Risk Measurement of Listed Companies in China and the Empirical Research of Its Influence Factors%我国上市公司信用风险度量及其影响因素的实证研究

    Institute of Scientific and Technical Information of China (English)

    陈浩; 夏红芳

    2012-01-01

    对KMV模型度量我国上市公司信用风险方法的有效性进行了实证研究。同时对影响上市公司信用风险的内在因素进行了探索。实证研究结果表明,KMV模型对我国上市公司信用风险度量具有良好的适用性。对信用风险影响因素的实证结果说明,我国上市公司的规模对其信用风险具有显著影响力。%The measurement of KMV model, which tests the validity of the method of credit risk for the listed companies in China, has been analysed on the empirical research. And the inner factors that affect listed company credit risk have also been explored. The empirical results show that KMV model,which tests the credit risk of listed companies in China, is of good applicability. The empirical results for credit risk factors indicate that the scale of the listed companies in China for the credit risk has significant influence.

  3. Credit Channel without the LM Curve

    OpenAIRE

    Victorio Y. T. Chu; Márcio I. Nakane

    2001-01-01

    This paper extends Bernanke and Blinder (1988)'s macroeconomic model of credit channel to an environment where the monetary authority has control over a short-term interest rate. The comparative statics regarding changes in the market interest rate, in the required reserve ratio over bank deposits, and in the risk of public bonds are highlighted.

  4. Integrated Inventory Model for Deteriorating Items with Price-Dependent Demand under Quantity-Dependent Trade Credit

    Directory of Open Access Journals (Sweden)

    Karuppuchamy Annadurai

    2013-01-01

    Full Text Available This paper explores an integrated inventory model when the deterioration rate follows exponential distribution under trade credit. Here, it is assumed that demand rate is a function of selling price and the permissible delay in payment depends on the order quantity. In the model shortages are completely backlogged. The maximization of the total profit per unit of time is taken as the objective function to study the retailer’s optimal ordering policy. This paper also presents a practical application example where the proposed inventory model is utilized to support business decision making. Particularly, the model developed in the paper could be useful in the area of supply chain management. Finally, sensitivity analysis of the optimal solution with respect to major parameters is carried out. Our result illustrates that this model can be quite useful in determining the optimal ordering policy when the trade credit period is being analyzed.

  5. 76 FR 79379 - Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and...

    Science.gov (United States)

    2011-12-21

    ... add-on is 8.0 percent of the net equity position, unless the bank's portfolio is both liquid and well-diversified, in which case the specific risk add-on is 4.0 percent. For positions that are index contracts comprising a well-diversified portfolio of equities, the specific risk add-on is 2.0 percent of the net long...

  6. Relationship between Credit Recovery Programs and Graduation Rates for At-Risk Students on the Navajo Indian Reservation

    Science.gov (United States)

    Fahey, John M.

    2010-01-01

    Low graduation rates of high school students are a problem for the Native American community. One possible solution for low graduation rates is a credit recovery program that may assist Native American students to recover credit not earned in their early high school years. The purpose of this study was to examine the effectiveness of a credit…

  7. Relationship between Credit Recovery Programs and Graduation Rates for At-Risk Students on the Navajo Indian Reservation

    Science.gov (United States)

    Fahey, John M.

    2010-01-01

    Low graduation rates of high school students are a problem for the Native American community. One possible solution for low graduation rates is a credit recovery program that may assist Native American students to recover credit not earned in their early high school years. The purpose of this study was to examine the effectiveness of a credit…

  8. The Struggle to Pass Algebra: Online vs. Face-to-Face Credit Recovery for At-Risk Urban Students

    Science.gov (United States)

    Heppen, Jessica B.; Sorensen, Nicholas; Allensworth, Elaine; Walters, Kirk; Rickles, Jordan; Taylor, Suzanne Stachel; Michelman, Valerie

    2017-01-01

    Students who fail algebra are significantly less likely to graduate on time, and algebra failure rates are consistently high in urban districts. Identifying effective credit recovery strategies is critical for getting students back on track. Online courses are now widely used for credit recovery, yet there is no rigorous evidence about the…

  9. 证据权重方法与信用风险控制%Weight of evidence method and credit risk control

    Institute of Scientific and Technical Information of China (English)

    甘信军; 杨维强

    2014-01-01

    The weight of evidence (WOE)method was adopted on the credit risk control in commercial bank and a full description of the algorithm was proposed.By employing this WOE approach on the real financial data of commercial bank,the risk control model was constructed such that the probability of default can be estimated more precisely.The significant advantages of WOE method over conventional methods were verified,especially in statistical power.%研究了证据权重方法在商业银行信用风险分析中的应用,给出了完整的证据权重逻辑回归算法,并且成功地将此算法应用到商业银行真实的企业财务数据,建立了信用风险评级模型,使得商业银行对于企业违约概率的定量刻画更加精准。此外通过与经典方法的比较,验证了该方法的可行性与效率。

  10. Explicit computations for a filtering problem with point process observations with applications to credit risk

    NARCIS (Netherlands)

    Leijdekker, V.; Spreij, P.

    2011-01-01

    We consider the filtering problem for a doubly stochastic Poisson or Cox process, where the intensity follows the Cox-Ingersoll-Ross model. In this article we assume that the Brownian motion, which drives the intensity, is not observed. Using filtering theory for point process observations, we first

  11. 49 CFR 536.4 - Credits.

    Science.gov (United States)

    2010-10-01

    ... category, and model year of origin (vintage). (b) Application of credits. All credits earned and applied... or transferred credits; VMTe = Lifetime vehicle miles traveled as provided in the following table for the model year and compliance category in which the credit was earned. VMTu = Lifetime vehicle...

  12. Trade credit: Elusive insurance of firm growth

    NARCIS (Netherlands)

    Bams, Dennis; Bos, Jaap; Pisa, Magdalena

    2016-01-01

    Firms depend heavily on trade credit. This paper introduces a trade credit network into a structural model of the economy. In an empirical analysis of the model, we find that trade credit is an elusive insurance: as long as a firm is financially unconstrained and times are good, more trade credit en

  13. Trade credit: Elusive insurance of firm growth

    NARCIS (Netherlands)

    Bams, Dennis; Bos, Jaap; Pisa, Magdalena

    2016-01-01

    Firms depend heavily on trade credit. This paper introduces a trade credit network into a structural model of the economy. In an empirical analysis of the model, we find that trade credit is an elusive insurance: as long as a firm is financially unconstrained and times are good, more trade credit

  14. Trade credit: Elusive insurance of firm growth

    NARCIS (Netherlands)

    Bams, Dennis; Bos, Jaap; Pisa, Magdalena

    2016-01-01

    Firms depend heavily on trade credit. This paper introduces a trade credit network into a structural model of the economy. In an empirical analysis of the model, we find that trade credit is an elusive insurance: as long as a firm is financially unconstrained and times are good, more trade credit en

  15. 中小企业信用再担保风险评价研究%Study on Risk Evaluation of SMEs' Credit Re-guarantee

    Institute of Scientific and Technical Information of China (English)

    马国建; 蔡静

    2013-01-01

    The paper mainly builds the qualification assessment of the SMEs credit guarantee companies to value the risk from the SMEs credit re - guarantee institution. By utilizing the data from one guarantee company in Jiangsu in 2010, the paper proposes series of scientific and reasonable indicators according to its asset quality, financial ratio and operative efficiency by the way of the gray fuzzy comprehensive evaluation to perform the empirical analysis about its credit. Finally, the paper achieves the prior identification and evaluation for the risk of SMEs' credit re - guarantee institution.%关于中小企业信用再担保机构的风险评价主要针对在保的担保公司进行资信评估,利用担保公司的资产质量、财务状况及运营效益等设计一套科学合理的指标体系,运用灰色模糊综合评价法对江苏省某担保公司的资信情况进行实证评价,从而实现对中小企业信用再担保机构风险的事前识别与评估.

  16. Maximum Marginal Likelihood Estimation of a Monotonic Polynomial Generalized Partial Credit Model with Applications to Multiple Group Analysis.

    Science.gov (United States)

    Falk, Carl F; Cai, Li

    2016-06-01

    We present a semi-parametric approach to estimating item response functions (IRF) useful when the true IRF does not strictly follow commonly used functions. Our approach replaces the linear predictor of the generalized partial credit model with a monotonic polynomial. The model includes the regular generalized partial credit model at the lowest order polynomial. Our approach extends Liang's (A semi-parametric approach to estimate IRFs, Unpublished doctoral dissertation, 2007) method for dichotomous item responses to the case of polytomous data. Furthermore, item parameter estimation is implemented with maximum marginal likelihood using the Bock-Aitkin EM algorithm, thereby facilitating multiple group analyses useful in operational settings. Our approach is demonstrated on both educational and psychological data. We present simulation results comparing our approach to more standard IRF estimation approaches and other non-parametric and semi-parametric alternatives.

  17. Custom v. Standardized Risk Models

    Directory of Open Access Journals (Sweden)

    Zura Kakushadze

    2015-05-01

    Full Text Available We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: (1 longer horizon risk factors (value, growth, etc. increase noise trades and trading costs; (2 arbitrary risk factors can neutralize alpha; (3 “standardized” industries are artificial and insufficiently granular; (4 normalization of style risk factors is lost for the trading universe; (5 diversifying risk models lowers P&L correlations, reduces turnover and market impact, and increases capacity. We discuss various aspects of custom risk model building.

  18. Credit Where Credit Is Due

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    Consumer finance companies will boost national consumption and allow Chinese citizens to broaden their purchasing horizons Buying refrigerators, washing machines or computers, in addition to paying for a variety of other expenses, will be made easier after consumer credit

  19. Volatility and Risk Controlling between Bank Credit and House Price%银行信贷与房价波动的关系及风险控制

    Institute of Scientific and Technical Information of China (English)

    李运蒙; 钱鑫

    2011-01-01

    选取全国房屋销售价格指数和居民中长期消费贷款2007年1月至2010年6月的月度统计数据,运用协整和Granger因果检验法分析了二者之间的关系,并建立了误差修正模型,结果显示在所考虑的数据区间内相关贷款和房价之间存在协整关系,且为双向因果关系.最后提出了对银行信贷风险控制的相关建议.%Monthly house selling price index and individual medium and long - term consumption loans from January 2007 to June 2010 were selected as statistics data. The relationship between the price index and the consumption loans was analyzed by co - integration model and Granger causality test,and then the error correction model was established. It showed that in the range of considered data the co - integration relationship between related loans and house price does exist, and can be two - way causality. Finally, some related suggestions were proposed to control the bank credit risk.

  20. 我国商业银行信用风险管理问题分析%On Credit Risk Management of Commercial Banks in China

    Institute of Scientific and Technical Information of China (English)

    杨菡

    2012-01-01

    With the acceleration of economic and financial globalization, banking industry is facing with increasingly complex risk. In particular, credit risk is the main cause of decline in the quality of bank assets as well as liquidity crisis. Based on the analysis of the status quo of credit risk in commercial bank, the paper analyzes the management of commercial bank credit risk, and provides four policy recommendations.%随着经济金融全球化进程的加快,银行业面临的风险日趋复杂。其中,信用风险是导致银行资产质量下降、出现流动性危机的主要原因。本文在对我国商业银行信用风险现状展开分析的基础上,深入剖析了商业银行信用风险管理问题,并就如何提升我国商业银行信用风险管理水平提出政策建议。

  1. Enterprise Risk Management Models

    CERN Document Server

    Olson, David L

    2010-01-01

    Enterprise risk management has always been important. However, the events of the 21st Century have made it even more critical. The top level of business management became suspect after scandals at ENRON, WorldCom, and other business entities. Financially, many firms experienced difficulties from bubbles. The problems of interacting cultures demonstrated risk from terrorism as well, with numerous terrorist attacks, to include 9/11 in the U.S. Risks can arise in many facets of business. Businesses in fact exist to cope with risk in their area of specialization. Financial risk management has focu

  2. Conference Innovations in Derivatives Market : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

    CERN Document Server

    Grbac, Zorana; Scherer, Matthias; Zagst, Rudi

    2016-01-01

    This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring D...

  3. PENGEMBANGAN MODEL CREDIT SCORING UNTUK PROSES ANALISA KELAYAKAN FASILITAS KREDIT PEMILIKAN RUMAH (STUDI KASUS DI BANK BUKOPIN

    Directory of Open Access Journals (Sweden)

    Dwi Andhayani

    2011-08-01

    Full Text Available Normal 0 false false false MicrosoftInternetExplorer4 /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Times New Roman"; mso-ansi-language:#0400; mso-fareast-language:#0400; mso-bidi-language:#0400;} Analysis of the parameters used in the model skoring E-Flow, which has 14 parameters, namely the interest rate, the amount of insurance, age / age, type of work, penghasilkan per month, the average balance, savings in the bank, the percentage of money face, the type of collateral, documents of ownership, broad building, Burden debt ratio, bad debts in the information and the position of BI / debtor position. In addition to design a credit scoring model application, a skoring system will have a very full prepayment behavior scoring and scoring. Accordingly at this time until a new stage in the application of determining the credit scoring model, to further research can be done model behavior prepayment scoring and scoring on the credit facility.

  4. Application of Generalized Hukuhara derivative approach in an economic production quantity model with partial trade credit policy under fuzzy environment

    Directory of Open Access Journals (Sweden)

    Pinki Majumder

    2016-01-01

    Full Text Available In this present study, a production inventory model with partial trade credit is formulated and solved in fuzzy environment via Generalized Hukuhara derivative approach. To capture the market, a supplier offers a trade credit period to its retailers. Due to this facility, retailer also offers a partial trade credit period to his/her customer to boost the demand of the item. In practical life situation, demands are generally dependent upon time. Constant demand of an item varies time to time. In this vague situation, demands are taken as time dependent, where its constant part is taken as Left Right - type fuzzy number. In this paper, Generalized Hukuhara derivative approach is used to solve the fuzzy inventory model. Four different cases are considered by using Generalized Hukuhara-(i differentiability and Generalized Hukuhara-(ii differentiability. The objective of this paper is to find out the optimal time so as the total inventory cost is minimum. Finally the model is solved by generalized reduced gradient method. The proposed model and technique are illustrated by numerical examples. Some sensitivity analyses both in tabular and graphical forms are presented and the effects of minimum cost with respect to various inventory parameters are discussed.

  5. Valuing Credit Default Swap under a double exp onential jump diff usion model

    Institute of Scientific and Technical Information of China (English)

    YANG Rui-cheng; PANG Mao-xiu; JIN Zhuang

    2014-01-01

    This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diff usion process, the value of the debt is driven by a geometric Brownian motion, and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory, we give the default probability of the first passage time, and more, derive the price of the Credit Default Swap.

  6. Penskalaan Butir Format Respons Pilihan dan Respons Bebas Berdasarkan Model Rasch dan Partial Credit

    Directory of Open Access Journals (Sweden)

    Eko Hariadi

    2007-06-01

    Full Text Available Penelitian melihat pengaruh jumlah parameter butir, kategori respons bebas (RB, pengaruh sampel terhadap akurasi estimasi parameter kemampuan untuk menghasilkan estimasi yang stabil dan pengaruh pembobotan butir RP dan butir RB terhadap kesalahan baku. Penelitian dalam dua tahap, simulasi menggunakan 30 kondisi dengan replikasi 50 dengan variabel panjang tes, jumlah kategori, dan jumlah parameter butir, dan analisis deskriptif, dilanjutkan penerapan penskalaan gabungan butir tipe respons pilihan (rp dan butir respons bebas (rb pada konstruksi tes elektronika yang terdiri 40 butir pilihan ganda dan 4 butir jawaban tersusun, 3 butir memiliki lima kategori jawaban dan 1 butir dengan 4 kategori jawaban, melibatkan 355 siswa. Hasil penelitian menunjukkan: ukuran sampel kurang berpengaruh pada root mean square error atau (RSME> dan korelasi antara 9 dengan 0, namun berpengaruh terhadap akurasi estimasi parameter butir pilihan ganda (/>/y,dan parameter butir respons tersusun (3^- Jumlah parameter butir berpengaruh terhadap parameter kemampuan, tetapi tidak berpengaruh terhadap akurasi dari b^, dan S„,. Estimasi dari parameter tingkat kesulitan butir jawaban tersusun tiga kategori lebih akurat daripada butir jawaban tersusun lima kategori. Estimasi tahan {robust untuk parameter kesulitan butir jawaban tersusun 5 kategori memerlukan sampel minimal 250 responden, sedangkan untuk butir respons tersusun 3 kategori memerlukan sampel minimal 100 responden. Estimasi parameter kemampuan dari skor total (0^^ tidak sama dengan rata-rata jumlah tbeta dari masing-masing subtes (0^ + 0CR. Theta dari tes yang dikalibrasi bersama-sama berbeda dengan theta dari total subtes yang dikalibrasi secara terpisah. Korelasi kemampuan yang mengunakan pembobotan dan kemampuan tanpa pembobotan mempunyai suatu rentang dari 0,988 sampai 0,948. Kata kunci: penyekaiaan, model rash dan partial credit.

  7. The Game Analysis of Credit Risk in International Trade%国际贸易中信用风险的博弈分析

    Institute of Scientific and Technical Information of China (English)

    何桃花

    2015-01-01

    在国际贸易中,信用风险是最传统的、最易发的风险。基于交易成本,从博弈论的角度,分析了信用风险产生的风险源,即由于信息的不对称、违约惩戒成本过低和内部信用管理机制不健全等原因导致交易成本过高,风险过大。通过对双方的博弈分析,提出了合理利用信息渠道、寻求信用风险的充足保障以及建立健全内部信息管理机制等措施降低交易成本,提高交易效率。%In international trade ,credit risk is one of the most traditional and incident risks .T he article is based on transaction costs ,analyzed the credit risk source from the perspective of game theory .Namely ,because of information asymmetry ,default low punishment cost and imperfect internal credit management mechanism ,w hich cause the transaction costs to increase too high , too risky .Based on the game analysis of both sides ,this paper puts forward the use of informa‐tion intermediary locking counterparties ,seek sufficient guarantee of credit risk ,and establish and improve the internal information management system and other measures to reduce transac‐tion costs ,improve the efficiency of deals .

  8. 个人信贷业务风险管理问题与对策%Issues and Countermeasures of Personal Credit Business Risk Management

    Institute of Scientific and Technical Information of China (English)

    刘芬芳

    2012-01-01

    The paper studies the development of personal credit business of a branch of Postal Savings bank of China and finds that the risks in personal credit are too serious to be ignored. Therefore, it puts forward the countermeasures such as perfecting bank's internal early-warning and grading mechanism, advancing risk management idea, exploring low risk clients and strengthening personal credit guarantee management.%本文在对个人信贷风险管理理论研究进行总结归纳的基础上,对某银行个人信贷业务中存在的问题及其原因进行了分析,并提出了完善银行内部预警与评分机制、提升风险管理理念、开发低风险客户群体、强化个人贷款担保管理等对策建议。

  9. Modelling of Systemic Risk of Banking Sector

    Directory of Open Access Journals (Sweden)

    Laura Gudelytė

    2014-03-01

    Full Text Available Purpose – to evaluate the general networking and simulation approaches of modelling of systemic risk and the financial contagion and their ability to assess the banking sector resilience in the case of external economic shocks and collapse of idiosyncratic financial institutions.Design/methodology/approach – a general overview of research papers presenting concepts and methodologies of assessment of systemic risk of the banking sector.Findings – limitations of the networking approach and possible ways to improve modelling of systemic risk. The network approach cannot explain the causes of initial default of bank. On the other hand, assumptions made on LGD and interbank exposures are very strong. These features are important limitations of network and simulation approaches.Research limitations/implications – the application of reviewed methods in the case of Lithuanian banking sector falls, however, due to the lack of exhaustive data. On the other hand, until now, applied methods for systemic risk due to the lack of data have been limited. Also, because of this reason, there are difficulties to create adequate dynamic assessment for systemic risk models. Therefore, in assessing systemic risk of the banking sector, the same problem remains: is it possible to parameterize the financial crisis, its spread and speed and other characteristics according to quantitative methods. Knowing the liquidity, credit risk and other standards set in Basel Accords, it is also not enough to properly manage the systemic risk of the whole banking sector because for the proper activity of the banking sector not only characteristics related to capital requirements have influence on it, but also external (mostly the macroeconomic, political factors.Practical implications – determination of the explicit connection based on quantitative methods determining the systemic risk of the banking sector would be exact and objective assessment and useful not only for the

  10. Cooperation between Bank and Guarantee,ART Insurance and Bank Credit Risk Transferring%银保协作、ART 保险与银行信用风险转移

    Institute of Scientific and Technical Information of China (English)

    顾海峰

    2015-01-01

    在分析银保协作与可选择性风险转移(Alternativ Risk Transfer,即 ART)保险的内在逻辑基础上,进一步分析 ART 保险实现银行信用风险转移的内在机理,并以此为依据设计银保信贷系统的 ART 保险机制。结果表明,ART 保险可以有效分担银保信贷系统的信用风险,降低银保信贷系统的风险运营成本,提升银保信贷系统的运营效率,并实现商业银行信用风险转移目标。可见,推行银保协作型信贷模式,对于治理信贷配给,从而提升信贷市场效率具有重要意义。%Credit-loan mode of cooperation between bank and guarantee exists great signifi-cance to credit rationing and enhance credit-loan market efficience.This paper analysizes the logic between cooperation between bank and guarantee and ART insurance,and further analysizes the mechanism to ATR insurance fufiling bank credit risk transferring,on basis of which,it designs ATR insurance mechanism of bank and guarantee credit-loan system.This paper research result shows that ATR insurance can share credit risk for bank and guarantee credit-loan system,and reduce risk operation costs of bank and guarantee credit-loan system,and elevate operation effi-cience of bank and guarantee credit-loan system,and fufil bank credit risk transferring goal.This research result will offer important theoretical guidance and decision-making reference.

  11. A Tentative Analysis of the Use of Potential by Commercial Bank in Controlling Credit Scale

    Institute of Scientific and Technical Information of China (English)

    YANG Wen-ze

    2008-01-01

    This article brings forward the conception of potential and filed potential in bank's competition under the inspiration of law of electric current in electrodynamics.It discusses the impact of potential shifting on commercial bank's credit scale and builds up a model for commercial bank to control the scale by credit pricing and risk policy in a dynamic way, and also gives some advice to domestic commercial bank for improving loan business, aiming to settle down the existing credit management problems.

  12. Operational Risk Modeling

    Directory of Open Access Journals (Sweden)

    Gabriela ANGHELACHE

    2011-06-01

    Full Text Available Losses resulting from operational risk events from a complex interaction between organizational factors, personal and market participants that do not fit a simple classification scheme. Taking into account past losses (ex. Barings, Daiwa, etc. we can say that operational risk is a major financial losses in the banking sector, although until recently have been underestimated, considering that they are generally minor, note setting survival of a bank.

  13. Wildfire Risk Main Model

    Data.gov (United States)

    Earth Data Analysis Center, University of New Mexico — The model combines three modeled fire behavior parameters (rate of spread, flame length, crown fire potential) and one modeled ecological health measure (fire regime...

  14. 77 FR 27255 - Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change To...

    Science.gov (United States)

    2012-05-09

    ... This rule change permits ICC to make two modifications to its risk model for clearing credit default... COMMISSION Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change To Reduce the Current Level of Risk Mutualization Among Clearing Participants and To Modify the...

  15. Discussion on the Construction of Risk Management in Rural Credit Cooperatives%浅议农村信用社风险管理文化建设

    Institute of Scientific and Technical Information of China (English)

    岳晓萍

    2011-01-01

    构建风险管理文化是一个漫长的过程,笔者从风险管理文化的概念出发,深刻剖析当前农村信用社加强风险管理的必要性和存在的问题,并针对自身实际,提出了构建风险管理文化的措施。也只有构建合理的风险管理文化才能有利于新经济条件下农村信用社的快速发展,才能增强农村信用社的整体竞争实力。%Building a risk management culture is a long process,from a risk management culture concept,a profound analysis of the current rural credit cooperatives and the need to strengthen risk management problems,and for their actual,the author proposed building a culture of risk management measures.Only to construct a reasonable risk management culture to new economic conditions conducive to the rapid development of rural credit cooperatives,can the overall competitive strength be enhanced.

  16. The Credit Risky Decision Mechanism and Analysis for Banks Based on Information Asymmetry (Ⅰ) —— Credit Risky Decision Model%基于信息不对称的银行信贷风险决策机制及分析(Ⅰ) ——信贷风险决策模型

    Institute of Scientific and Technical Information of China (English)

    庞素琳; 徐建闽; 黎荣舟; 刘永清

    2001-01-01

    In this paper, we study the credit fund's losses or its opportunity losses to banks with information asymmetry. The losses give birth to that banks have no way to judge exactly the entrepreneurs' risk types on their investing projects when there are two types of loan entrepreneurs of different risk in society, one is high-risk type and the other is low-risk type. We analyze the several common cases about two losses and study their mathematical principles. We establish the decision model on the bank's credit risk and give its Kuhn-Tucker's conditions. We point out, when collateral as borrower's risky types loses efficacy in order to avoid credit risk, banks claim special requirements to collateral value that entrepreneurs provide.%研究商业银行在信息不对称的信货市场中,当存在高、低两种不同风险类型的贷款企业时,银行因无法准确判断企业投资项目的风险类型,因而造成了信贷资金的损失或机会损失。分析并研究了这两种损失常见的几种情形及其数学原理,建立了银行信贷风险的决策模型,给出其Kuhn-Tucker条件。指出了在模型之下,当抵押品作为鉴别企业风险类型的手段失效时,为规避信贷风险,银行对企业提供的抵押品价值将有特殊的要求。

  17. An EOQ model for non-instantaneous deteriorating items with two levels of storage under trade credit policy

    Science.gov (United States)

    Udayakumar, R.; Geetha, K. V.

    2017-09-01

    A deterministic inventory model with two levels of storage (own warehouse and rented warehouse) with non-instantaneous deteriorating items is studied. The supplier offers the retailer a trade credit period to settle the amount. Different scenarios based on the deterioration and the trade credit period have been considered. In this article, we have framed two models considering single warehouse (Model-I) and two warehouses (Model-II) for non-instantaneous deteriorating items. The objective of this work is to minimize the total inventory cost and to find the optimal length of replenishment and the optimal order quantity. Mathematical theorems have been developed to determine the existence and the uniqueness of the optimal solution. Computational algorithms for the two different models are designed to find the optimal order quantity and the optimal cycle time. Comparison between the optimal solutions for the two models is also given. Numerical illustrations and managerial insights obtained demonstrate the application and the performance of the proposed theory.

  18. Efficacy of Online Algebra I for Credit Recovery for At-Risk Ninth Grade Students: Evidence from Year 1

    Science.gov (United States)

    Heppen, Jessica; Allensworth, Elaine; Walters, Kirk; Pareja, Amber Stitziel; Kurki, Anja; Nomi, Takako; Sorensen, Nicholas

    2012-01-01

    This study is an efficacy trial funded by a grant from the Institute of Education Sciences (IES) National Center for Education Research (NCER). Fifteen CPS high schools are receiving funding to implement two Algebra I credit recovery courses during the summer sessions of 2011 and 2012--one online and one face-to-face (f2f). These courses allow…

  19. A Program Evaluation of a Credit Recovery Program to Improve Graduation Rates for At-Risk High School Students

    Science.gov (United States)

    Parks, David R.

    2011-01-01

    Research has shown that low graduation rates are a problem in high schools across the United States. The problem is significant at a small, inner-city charter high school in a southwestern US state that had a 2008 graduation rate of 34%. After assessing the situation, educators at this school developed the Credit Retrieval Program (CRP) to help…

  20. Causal Models for Risk Management

    Directory of Open Access Journals (Sweden)

    Neysis Hernández Díaz

    2013-12-01

    Full Text Available In this work a study about the process of risk management in major schools in the world. The project management tools worldwide highlights the need to redefine risk management processes. From the information obtained it is proposed the use of causal models for risk analysis based on information from the project or company, say risks and the influence thereof on the costs, human capital and project requirements and detect the damages of a number of tasks without tribute to the development of the project. A study on the use of causal models as knowledge representation techniques causal, among which are the Fuzzy Cognitive Maps (DCM and Bayesian networks, with the most favorable MCD technique to use because it allows modeling the risk information witho ut having a knowledge base either itemize.