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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. Credit Risk Modeling

    DEFF Research Database (Denmark)

    Lando, David

    and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand......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...

  3. 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...... and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand...

  4. 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...

  5. 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.

  6. Credit risk & forward price models

    OpenAIRE

    Gaspar, Raquel Medeiros

    2006-01-01

    Doutoramento em Gestão This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. Part I is organized as follows. Chapter 1is divided in two main sections. The first section presents some of ...

  7. A Network Model of Credit Risk Contagion

    Directory of Open Access Journals (Sweden)

    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.

  8. Credit Risk Evaluation : Modeling - Analysis - Management

    OpenAIRE

    Wehrspohn, Uwe

    2002-01-01

    An analysis and further development of the building blocks of modern credit risk management: -Definitions of default -Estimation of default probabilities -Exposures -Recovery Rates -Pricing -Concepts of portfolio dependence -Time horizons for risk calculations -Quantification of portfolio risk -Estimation of risk measures -Portfolio analysis and portfolio improvement -Evaluation and comparison of credit risk models -Analytic portfolio loss distributions The thesis contributes to the evaluatio...

  9. Models for assessing and managing credit risk

    Directory of Open Access Journals (Sweden)

    Neogradi Slađana

    2014-01-01

    Full Text Available This essay deals with the definition of a model for assessing and managing credit risk. Risk is an inseparable component of any average and normal credit transaction. Looking at the different aspects of the identification and classification of risk in the banking industry as well as representation of the key components of modern risk management. In the first part of the essay will analyze how the impact of credit risk on bank and empirical models for determining the financial difficulties in which the company can be found. Bank on the basis of these models can reduce number of approved risk assets. In the second part, we consider models for improving credit risk with emphasis on Basel I, II and III, and the third part, we conclude that the most appropriate model and gives the best effect for measuring credit risk in domestic banks.

  10. Statistical credit risk assessment model of small and very small enterprises for Lithuanian credit unions

    OpenAIRE

    Špicas, Renatas

    2017-01-01

    While functioning in accordance with the new, business and efficiency-oriented operating model, credit unions develop and begin functioning outside the community. It is universally recognised in scientific literature that as credit unions expand their activities beyond a community, social relations with credit union members weaken and the credit unions lose their social control element, which help them to better assess and manage information asymmetry and credit risk. So far, the analysis of ...

  11. Discrete versus continuous state switching models for portfolio credit risk

    NARCIS (Netherlands)

    Lucas, A.; Klaassen, P.

    2006-01-01

    Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete states

  12. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

    NARCIS (Netherlands)

    Anagnostou, I.; Sourabh, S.; Kandhai, D.

    2018-01-01

    Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of

  13. A Macroeconomic Model of Credit Risk in Uruguay

    Directory of Open Access Journals (Sweden)

    Gabriel Illanes

    Full Text Available In this paper we evaluate credit risk of the economy as a whole, aiming at the study of the financial stability. This analysis uses as proxy the credit granted by the banking system. We use a non-linear parametric model based on Merton's structural framework for the analysis of the risk associated to a loan portfolio. In this model, default occurs when the return of an economic agent falls under certain threshold which depends on different macroeconomic variables. We use this model to assess the credit risk module in stress tests for the local banking system. We also estimate the "elasticities" of credit categories correspondig to corporate credit and consumer credit, both in national currency and american dollars. We obtain the parameters for the model using maximum likelihood, where the likelihood function contains a random latent factor which is assumed to follow a normal distribution.

  14. 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.

  15. Credit Scoring Models: Lack of Information and the Use of Data from a Credit Risk Register

    OpenAIRE

    Verónica Balzarotti; Fernando Castelpoggi

    2008-01-01

    The main purpose of this paper is to study the problem created by the lack of information about the credit history of some debtors in the databases used to develop credit scoring models and the use of information about behavior compiled by a credit risk register as a potential solution to the problem. The paper analyzes two problems: (i) the need to provide a credit risk estimation of debtors whose behavior is unknown (because they are deleted from the databases without indication of the reas...

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

    Directory of Open Access Journals (Sweden)

    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.

  17. 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)…

  18. Haar Wavelets-Based Methods for Credit Risk Portfolio Modeling

    OpenAIRE

    Ortiz Gracia, Luis

    2011-01-01

    In this dissertation we have investigated the credit risk measurement of a credit portfolio by means of the wavelets theory. Banks became subject to regulatory capital requirements under Basel Accords and also to the supervisory review process of capital adequacy, this is the economic capital. Concentration risks in credit portfolios arise from an unequal distribution of loans to single borrowers (name concentration) or different industry or regional sectors (sector concentration) an...

  19. Modelling Counterparty Credit Risk in Czech Interest Rate Swaps

    Directory of Open Access Journals (Sweden)

    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.

  20. Credit Risk Research

    DEFF Research Database (Denmark)

    Zamore, Stephen; Ohene Djan, Kwame; Alon, Ilan

    2018-01-01

    This article provides a comprehensive review of scholarly research on credit risk measurement during the last 57 years applying bibliometric citation analysis and elaborates an agenda for future research. The bibliography is compiled using the Institute for Scientific Information (ISI) Web...... of Science (WOS) database and includes all articles with citations over the period 1960–2016. Specifically, the review is carried out using 1695 articles across 72 countries published in 442 journals by 2928 authors. The findings suggest that credit risk research is multifaceted and can be classified...... into six streams: (1) defaultable security pricing, (2) default intensity modeling, (3) comparative analysis of credit models, (4) comparative analysis of credit markets, (5) credit default swap (CDS) pricing, and (6) loan loss provisions. The article contributes through synthesizing and identifying...

  1. Validation Techniques of the Intern Models for Credit Risk

    Directory of Open Access Journals (Sweden)

    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.

  2. 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

    2018-03-01

    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.

  3. 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.

  4. 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...

  5. Modern bank's credit risk

    Directory of Open Access Journals (Sweden)

    Šabović Šerif

    2015-01-01

    Full Text Available Credit risk is the most important risk banks have to face with. It occurs due to an obligation created because of debtors' capital and interest rate nonpayment. Debtors obligations non-fulfilment may lead to great losses and insolvency in bank's business. Credit risk is the crucial reason of bank's insolvency. Over 80% of bank's balance sheet is exposed to credit risk.

  6. Survey of credit risk models in relation to capital adequacy framework for financial institutions

    Directory of Open Access Journals (Sweden)

    Poomjai Nacaskul

    2016-12-01

    Full Text Available This article (i iterates what is meant by credit risks and the mathematical-statistical modelling thereof, (ii elaborates the conceptual and technical links between credit risk modelling and capital adequacy framework for financial institutions, particularly as per the New Capital Accord (Basel II’s Internal Ratings-Based (IRB approach, (iii proffer a simple and intuitive taxonomy on contemporary credit risk modelling methodologies, and (iv discuses in some details a number of key models pertinent, in various stages of development, to various application areas in the banking and financial sector.

  7. Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors

    Czech Academy of Sciences Publication Activity Database

    Gapko, Petr; Šmíd, Martin

    2012-01-01

    Roč. 62, č. 2 (2012), s. 125-140 ISSN 0015-1920 R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965 Grant - others:Univerzita Karlova(CZ) GAUK 46108 Institutional research plan: CEZ:AV0Z10750506 Keywords : credit risk * probability of default * loss given default * credit loss * credit loss distribution * Basel II Subject RIV: AH - Economics Impact factor: 0.340, year: 2012 http://library.utia.cas.cz/separaty/2012/E/smid-dynamic multi-factor credit risk model with fat -tailed factors.pdf

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

    Directory of Open Access Journals (Sweden)

    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.

  9. 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...

  10. Validation Techniques of the Intern Models for Credit Risk

    OpenAIRE

    Bogdan Moinescu; Nicolae Dardac

    2006-01-01

    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 ...

  11. 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.

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

    Directory of Open Access Journals (Sweden)

    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.

  13. Measuring Credit Spread Risk

    NARCIS (Netherlands)

    R.A.J. Campbell-Pownall (Rachel); R. Huisman (Ronald)

    2002-01-01

    textabstractIt is widely known that the small but looming possibility of default renders the expected return distribution for financial products containing credit risk to be highly skewed and fat tailed. In this paper we apply recent techniques developed for incorporating the additional risk faced

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

    Directory of Open Access Journals (Sweden)

    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.

  15. Risk adjustment model of credit life insurance using a genetic algorithm

    Science.gov (United States)

    Saputra, A.; Sukono; Rusyaman, E.

    2018-03-01

    In managing the risk of credit life insurance, insurance company should acknowledge the character of the risks to predict future losses. Risk characteristics can be learned in a claim distribution model. There are two standard approaches in designing the distribution model of claims over the insurance period i.e, collective risk model and individual risk model. In the collective risk model, the claim arises when risk occurs is called individual claim, accumulation of individual claim during a period of insurance is called an aggregate claim. The aggregate claim model may be formed by large model and a number of individual claims. How the measurement of insurance risk with the premium model approach and whether this approach is appropriate for estimating the potential losses occur in the future. In order to solve the problem Genetic Algorithm with Roulette Wheel Selection is used.

  16. 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...

  17. 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

    Directory of Open Access Journals (Sweden)

    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.

  18. 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

  19. APPLICATION OF KMV MODEL TO ASSESS CREDIT RISK OF INDIVIDUAL ENTREPRENEURS

    Directory of Open Access Journals (Sweden)

    Taishin A. A.

    2014-09-01

    Full Text Available The problem of credit risk is relevant for the bank. The purpose of scientific research - to develop a technique of adaptation and application of the model for the evaluation risk of KMV Russian entrepreneurs. The proposed method of evaluation credit risk of KMV Russian entrepreneurs has many advantages. Automation of calculations, based on plausible assumptions, will significantly reduce the time to process the customer's request. The article contains analysis of the KMV model based on the up-to-date results of the theory. The author investigates the possibility of modification, generalization of the model and practical implementation of the risk estimate of default entrepreneur KMV model using software package Visual Basic for Application on the example Management reporting of the entrepreneur. Showing the features of its application in the light of the modern achievements in the theory and practice of financial analysis. In this article suggested the finished result of evaluation risk of KMV Russian entrepreneurs, for risk assessment offered more precise recommendations for the practical use of KMV as a basic tool.

  20. 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...... of a counterparty and the expert rating. For any counterparty the model can identify the rating, which would be agreed upon by the majority of experts. Furthermore, the model can quantify the concurrence among experts. The approach is illustrated by a case study regarding the construction of an application score...

  1. KARAKTERISTIK PERUSAHAAN DAN CREDIT RISK

    Directory of Open Access Journals (Sweden)

    Erma Wahdani Permanasari

    2014-05-01

    Full Text Available The purpose of this study is to determine the effect of characteristic of firm to the level of creditrisk. Characteristics of the firm is proxied by size, leverage, spread ownership, net profit margin,return on equity, industry type and scope of the company’s operations. Measurement of level creditrisk uses PT Pefindo bond rating. Annual reports of listed companies in PT Pefindo and IndonesiaStock Exchange (IDX 2010-2011 are collected based on purposive sampling techniques. Thepopulation is 238 companies. Sample used amounted to 84 companies. The analysis model usedin this study is multiple linear regression. Results of this study indicate that the level of corporatecredit risk in Indonesia is high because it is below the 50.00%. The test result of multiple regressionshowed that firm of characteristic affect the level of credit risk. Firm characteristics that affectthe level of credit risk are size, leverage, dispersion of ownership, net profit margin and returnon equity.

  2. Credit derivatives: new financial instruments for controlling credit risk

    OpenAIRE

    Robert Neal

    1996-01-01

    One of the risks of making a bank loan or investing in a debt security is credit risk, the risk of borrower default. In response to this risk, new financial instruments called credit derivatives have been developed in the past few years. Credit derivatives can help banks, financial companies, and investors manage the credit risk of their investments by insuring against adverse movements in the credit quality of the borrower. If a borrower defaults, the investor will suffer losses on the inves...

  3. CONTINGENCIES FOR MEASUREMENT OF THE CREDIT RISK

    Directory of Open Access Journals (Sweden)

    Marinela BARBULESCU

    2015-12-01

    Full Text Available The Global Financial Crisis, which affected various banks, some of them very important banks, highlighted the importance of an accurate credit risk measurement in order to be able to overcome it. There are a variety of such credit risk measurement models, so we can say that banks face a real dilemma when having to choose the most appropriate one. The aim of this paper is to examine the most popular methods used to measure the credit risk and to identify the strengths and the weaknesses of each one of it. The research was accomplished from a double perspective, in which the conceptual methodological approach is correlated to a variety of references to practical actions aiming the measurement and the prevention of credit risk. The study includes the presentation of the objectives of credit risk analysis, the most appropriate moments for doing such an analysis, the steps that have to be done in order to measure the credit risk, the errors that can overcome in the credit risk measurement system, generated by the misclassifications of the studied company, and the presentation of the specific information of financial creditors. The findings expressed in this paper were mainly the result of a qualitative analysis which showed that there is no best model for credit risk measurement, each one having both strengths and weaknesses, some providing a comprehensive analysis of the individual customer’s financial strength others allowing banks permanently monitor fluctuating default risk and identify the possibly problems at an early stage.

  4. Scoring Models of Bank Credit Policy Management

    OpenAIRE

    Aida Hanic; Emina Zunic; Adnan Dzelihodzic

    2013-01-01

    The aim of this paper is to present how credit scoring models can be used in financial institutions, in this case in banks, in order to simplify credit lending. Unlike traditional models of credit analysis, scoring models provides valuation based on numerical score who represent clients’ possibility to fulfil their obligation. Using credit scoring models, bank can create a numerical snapshot of consumers risk profile. One of the most important characteristic of scoring models is objectivity w...

  5. Credit risk migration rates modeling as open systems: A micro-simulation approach

    Science.gov (United States)

    Landini, S.; Uberti, M.; Casellina, S.

    2018-05-01

    The last financial crisis of 2008 stimulated the development of new Regulatory Criteria (commonly known as Basel III) that pushed the banking activity to become more prudential, either in the short and the long run. As well known, in 2014 the International Accounting Standards Board (IASB) promulgated the new International Financial Reporting Standard 9 (IFRS 9) for financial instruments that will become effective in January 2018. Since the delayed recognition of credit losses on loans was identified as a weakness in existing accounting standards, the IASB has introduced an Expected Loss model that requires more timely recognition of credit losses. Specifically, new standards require entities to account both for expected losses from when the impairments are recognized for the first time and for full loan lifetime; moreover, a clear preference toward forward looking models is expressed. In this new framework, it is necessary a re-thinking of the widespread standard theoretical approach on which the well known prudential model is founded. The aim of this paper is then to define an original methodological approach to migration rates modeling for credit risk which is innovative respect to the standard method from the point of view of a bank as well as in a regulatory perspective. Accordingly, the proposed not-standard approach considers a portfolio as an open sample allowing for entries, migrations of stayers and exits as well. While being consistent with the empirical observations, this open-sample approach contrasts with the standard closed-sample method. In particular, this paper offers a methodology to integrate the outcomes of the standard closed-sample method within the open-sample perspective while removing some of the assumptions of the standard method. Three main conclusions can be drawn in terms of economic capital provision: (a) based on the Markovian hypothesis with a-priori absorbing state at default, the standard closed-sample method is to be abandoned

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

    Directory of Open Access Journals (Sweden)

    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

  7. 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.

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

    Directory of Open Access Journals (Sweden)

    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.

  9. Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

    OpenAIRE

    Ortiz-Gracia, Luís

    2011-01-01

    To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation pr...

  10. Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

    OpenAIRE

    Masdemont Soler, Josep; Ortiz-Gracia, Luis

    2014-01-01

    To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consum- ing method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computati...

  11. Credit risk assessment: Evidence from banking industry

    Directory of Open Access Journals (Sweden)

    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.

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

    OpenAIRE

    Bekhet, Hussain Ali; Eletter, Shorouq Fathi Kamel

    2014-01-01

    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 th...

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

    Directory of Open Access Journals (Sweden)

    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.

  14. CREDIT RISK MINIMIZATION WAYS AND PRICING OF BANKING SERVICES

    Directory of Open Access Journals (Sweden)

    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.

  15. 76 FR 34010 - Credit Risk Retention

    Science.gov (United States)

    2011-06-10

    ... 2501-AD53 Credit Risk Retention AGENCIES: Office of the Comptroller of the Currency, Treasury (OCC... credit risk retention requirements of section 15G of the Securities Exchange Act of 1934, as added by the Dodd-Frank Wall Street Reform and Consumer Protection Act (``Credit Risk NPR'' or ``proposed rule...

  16. 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.

  17. 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

  18. A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk

    Directory of Open Access Journals (Sweden)

    Albert Cohen

    2017-12-01

    Full Text Available In this work, we introduce a general framework for incorporating stochastic recovery into structural models. The framework extends the approach to recovery modeling developed in Cohen and Costanzino (2015, 2017 and provides for a systematic way to include different recovery processes into a structural credit model. The key observation is a connection between the partial information gap between firm manager and the market that is captured via a distortion of the probability of default. This last feature is computed by what is essentially a Girsanov transformation and reflects untangling of the recovery process from the default probability. Our framework can be thought of as an extension of Ishizaka and Takaoka (2003 and, in the same spirit of their work, we provide several examples of the framework including bounded recovery and a jump-to-zero model. One of the nice features of our framework is that, given prices from any one-factor structural model, we provide a systematic way to compute corresponding prices with stochastic recovery. The framework also provides a way to analyze correlation between Probability of Default (PD and Loss Given Default (LGD, and term structure of recovery rates.

  19. 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.

  20. Dynamics Evolution of Credit Risk Contagion in the CRT Market

    Directory of Open Access Journals (Sweden)

    Tingqiang Chen

    2013-01-01

    Full Text Available This work introduces a nonlinear dynamics model of credit risk contagion in the credit risk transfer (CRT market, which contains time delay, the contagion rate of credit risk, and nonlinear resistance. The model depicts the dynamics behavior characteristics of evolution of credit risk contagion through numerical simulation. Meanwhile, numerical simulations show that, in the CRT market, the contagion rate of credit risk and the nonlinear resistance among CRT activities participants have some significant effects on the dynamics behaviors of evolution of credit risk contagion. Specifically, on the one hand, we find that the status curve of credit risk contagion that causes some significant changes with the increase in the contagion rate of credit risk, moreover, emerges a series of Hopf bifurcation and chaotic phenomena in the process of credit risk contagion. On the other hand, Hopf bifurcation and chaotic phenomena appear in advance with the increase in the nonlinear resistance coefficient and time-delay. In addition, there are a series of periodic windows in the chaotic interval inside, including Hopf bifurcation, inverse bifurcation, and chaos.

  1. Information Asymmetry and Credit Risk

    Directory of Open Access Journals (Sweden)

    Lorena TUPANGIU

    2017-11-01

    Full Text Available Information asymmetry defines relationships where an agent holds information while another does not hold it. Thus, to the extent that one of the parties to the financing agreement has information more or less accurate than another, the asymmetry of information appears to be a major constraint in the financing of a project. Banks, in their capacity of financial intermediary, operate the transfer of funds to agents in need of financing, to the borrowers, being necessary in this process to have more information in order to benefit of expertise in assessing borrowers. The research of information asymmetry and credit risk consists of interrogating the following aspects: information issues between the bank and borrowers; settlement of information issues; bank’s activism towards information asymmetry. In our approach we will look at the first aspect, namely the information issues between the bank and the borrowers.

  2. Credit risk management in the power sector

    International Nuclear Information System (INIS)

    Allen, D.

    2002-01-01

    Deregulation of the electric power industry has the potential to put power businesses at market risk particularly when the value of an asset or liability will change with market movements. Market risk gives rise to credit risk where a contract cannot be fulfilled. This presentation describes how credit risks can be identified and measured. Most practitioners use some variant of value-at-risk (VAR) technology for measuring market risk. Under this approach, risk is determined by the volatility implied by the market. Volatility of electricity prices and natural gas prices has increased significantly in Alberta in recent years. The consequence is an increase in both market and credit risk. The author described the difference between the two risks and their significance. An overview of credit risk management with derivatives, an over-the counter contract, was also presented. The author also discusses issue of protection buyers in the event of a failed contract. 9 figs

  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. Modelling the predictive performance of credit scoring

    Directory of Open Access Journals (Sweden)

    Shi-Wei Shen

    2013-07-01

    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.

  5. 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...... 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...... there is a structural change in this relationship. Other global systemic factors also a ffect market liquidity, but the speci c credit risk of primary dealers plays only a modest role in a ffecting market liquidity, especially under conditions of stress. Moreover, the data indicate that there is a clear structural...

  6. Credit Default Swap Valuation with Counterparty Risk

    OpenAIRE

    Leung, Seng Yuen; Kwok, Yue Kuen

    2005-01-01

    Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases when the default of another party occurs. We explore how settlement risk and replacement cost affect th...

  7. Wholesale funding, coordination, and credit risk

    OpenAIRE

    Zhang, Lei; Zhang , Lin; Zheng, Yong

    2013-01-01

    We use the global games approach to study key factors affecting the credit risk\\ud associated with roll-over of bank debt. When creditors are heterogenous, these include\\ud the extent of short-term borrowing and capital market liquidity for repo financing.\\ud Specifically, in a model with a large institutional creditor and a continuum of small\\ud creditors independently making their roll-over decisions based on private information,\\ud we find that increasing the proportion of short-term debt and/...

  8. 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 activities...

  9. 78 FR 57927 - Credit Risk Retention

    Science.gov (United States)

    2013-09-20

    ..., Collateral B. Proposed General Definitions III. General Risk Retention Requirement A. Minimum Risk Retention... Commercial Real Estate Loans 1. Ability To Repay 2. Loan-to-Value Requirement 3. Collateral Valuation 4. Risk... 43, 244, 373, et al. 17 CFR Part 246 24 CFR Part 267 Credit Risk Retention; Proposed Rule #0;#0...

  10. Effects of economic interactions on credit risk

    International Nuclear Information System (INIS)

    Hatchett, J P L; Kuehn, R

    2006-01-01

    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. Credit Risk and Regional Economic Disparities

    Directory of Open Access Journals (Sweden)

    Tomáš Vaněk

    2017-09-01

    Full Text Available This paper aims to bridge the areas of credit risk and regional economic disparities, and investigates the relationship between credit risk and economic indicators in the Czech Republic at the regional (NUTS 3 level. This relationship is consecutively examined using graphical and correlation analysis, regression techniques, and different types of clustering methods. Regions are then clustered into three groups according to their economic similarities and disparities. Subsequently, it is shown on the real data that region-specific information has the potential to be utilizable in credit scoring and possibly other applications.

  12. 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.

  13. Risk management in Lithuanian and Irish credit unions: Trends and impacts on credit union development

    OpenAIRE

    Kaupelyte, Dalia; McCarthy, Olive

    2006-01-01

    The aim of this article is to examine the Irish and Lithuanian credit union movements in terms of risk management and risk performance, and to discuss credit union risk regulation. Risk management in credit unions often closely relates to credit union development stages so that as credit unions mature, higher standards of risk management should be implemented. In some cases these changes are accompanied by shifts in the regulatory framework. A comparison of the situations in Lithuania and Ire...

  14. Improving Credit Scorecard Modeling Through Applying Text Analysis

    OpenAIRE

    Omar Ghailan; Hoda M.O. Mokhtar; Osman Hegazy

    2016-01-01

    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 ...

  15. 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...

  16. 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.

  17. Credit Risk Analysis and Prediction Modelling of Bank Loans Using R

    OpenAIRE

    Sudhamathy G

    2016-01-01

    Nowadays there are many risks related to bank loans, especially for the banks so as to reduce their capital loss. The analysis of risks and assessment of default becomes crucial thereafter. Banks hold huge volumes of customer behaviour related data from which they are unable to arrive at a judgement if an applicant can be defaulter or not. Data Mining is a promising area of data analysis which aims to extract useful knowledge from tremendous amount of complex data sets. In this paper we aim t...

  18. Modeling a Distribution of Mortgage Credit Losses

    Czech Academy of Sciences Publication Activity Database

    Gapko, Petr; Šmíd, Martin

    2010-01-01

    Roč. 23, č. 23 (2010), s. 1-23 R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045 Grant - others:Univerzita Karlova - GAUK(CZ) 46108 Institutional research plan: CEZ:AV0Z10750506 Keywords : Credit Risk * Mortgage * Delinquency Rate * Generalized Hyperbolic Distribution * Normal Distribution Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2010/E/gapko-modeling a distribution of mortgage credit losses-ies wp.pdf

  19. Modeling a Distribution of Mortgage Credit Losses

    Czech Academy of Sciences Publication Activity Database

    Gapko, Petr; Šmíd, Martin

    2012-01-01

    Roč. 60, č. 10 (2012), s. 1005-1023 ISSN 0013-3035 R&D Projects: GA ČR GD402/09/H045; GA ČR(CZ) GBP402/12/G097 Grant - others:Univerzita Karlova(CZ) 46108 Institutional research plan: CEZ:AV0Z10750506 Institutional support: RVO:67985556 Keywords : credit risk * mortgage * delinquency rate * generalized hyperbolic distribution * normal distribution Subject RIV: AH - Economics Impact factor: 0.194, year: 2012 http://library.utia.cas.cz/separaty/2013/E/smid-modeling a distribution of mortgage credit losses.pdf

  20. 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

  1. Network topology and interbank credit risk

    International Nuclear Information System (INIS)

    González-Avella, Juan Carlos; Hoffmann de Quadros, Vanessa; Iglesias, José Roberto

    2016-01-01

    Modern financial systems are greatly entangled. They exhibit a complex interdependence, including a network of bilateral exposures in the interbank market. The most frequent interaction consists in operations where institutions with surplus liquidity lend to those with a liquidity shortage. These loans may be interpreted as links between the banks and the links display features in some way representative of scale-free networks. While the interbank market is responsible for efficient liquidity allocation, it also introduces the possibility for systemic risk via financial contagion. Insolvency of one bank can propagate through links leading to insolvency of other banks. In this paper, we explore the characteristics of financial contagion in interbank networks whose distribution of links approaches a power law, as well as we improve previous models by introducing a simple mechanism to describe banks’ balance sheets, that are obtained from information on network connectivity. By varying the parameters for the creation of the network, several interbank networks are built, in which the concentration of debt and credit comes from the distribution of links. The results suggest that more connected networks that have a high concentration of credit are more resilient to contagion than other types of networks analyzed.

  2. 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...

  3. INVESTMENT RISKS OF CREDIT INSTITUTIONS

    Directory of Open Access Journals (Sweden)

    A. V. Russavskaya

    2011-01-01

    Full Text Available Development and implementation of investment projects are usually carried out under conditions of uncertainty determined by several factors. Eleven classification features are given for external risks divided into two groups: those that can be forecasted and those that can not. Investment risks areclassified according to the following main features: situation, scale, time to take decision, admissibility, specific aspects. Author’s risk management system structure is proposed.

  4. 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. Copyright © 2015 Elsevier Inc. All rights reserved.

  5. Credit risk management in banks from the perspective of jurisprudence

    Directory of Open Access Journals (Sweden)

    Sovilj Ranko

    2017-01-01

    Full Text Available The level, structure and nature of problem loans are a significant source of credit risk in the banking business, with the main reason for developing and increasing problem loans indicate the need for a comprehensive and strategic approach to solving them. In addition, the accumulation of problem loans in banks' balance sheets negatively affects the credit activity of banks and, consequently has a negative impact on economic activity, primarily due to reduced availability of possible sources of financing both for companies and for the population. One of the main reasons for the increased credit risk exposure of banks, especially before the outbreak of the subprime crisis, are less developed models for evaluation and measurement of credit risk, as well as a poor assessment of collateral. Therefore, this paper points out to the importance of careful management of credit risk as well as the need to develop appropriate methods and models for the early detection of problem loans and reducing exposure to credit risk. In the last part of the paper, the author provides an overview of the most important collaterals, with specific reference to domestic jurisprudence.

  6. 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...

  7. 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...

  8. 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. ...

  9. 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...... 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...

  10. assessing the effectiveness of credit risk man- agement techniques ...

    African Journals Online (AJOL)

    User

    There is another model known as Loan Pricing. Model which is typically a spreadsheet pro- gramme that takes ... The Loan pricing model is used for pricing individual loans based on the risk involved, rather than the .... interviewed clearly defined their target market. They also had a clear credit granting process as indicated ...

  11. 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

  12. 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 ...

  13. 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.…

  14. 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

  15. 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.

  16. 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.

  17. Credit securitization and credit derivatives: Financial instruments and the credit risk management of middle market commercial loan portfolios

    OpenAIRE

    Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd

    1998-01-01

    Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and industrial credit concentrations and reduce the detected concentrations through diversification. In recent years, the development of markets for credit securitization and credit derivatives has provided n...

  18. 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.

  19. Customers and Markets: Both are Essential to Credit-Risk Measurement

    Directory of Open Access Journals (Sweden)

    David E. Allen

    2011-03-01

    Full Text Available This paper compares credit models that incorporate a market component to those that are solely customerbased. We found that customer-only models understated credit risk during the Global Financial Crisis (GFCand do not adequately differentiate between industries. Models that focus too heavily on the market canoverstate credit risk in times of high volatility. We recommend a two-factor modelling approach thatincorporates both customer and market risk to improve the accuracy of credit-risk measurement as well asassist lenders with early risk detection.

  20. 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 the......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....

  1. 49 CFR 260.15 - Credit risk premium.

    Science.gov (United States)

    2010-10-01

    ... the recovery of collateral. (c) The Credit Risk Premium must be paid before the disbursement of a... 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...

  2. 49 CFR 260.17 - Credit risk premium analysis.

    Science.gov (United States)

    2010-10-01

    ... 49 Transportation 4 2010-10-01 2010-10-01 false Credit risk premium analysis. 260.17 Section 260... Financial Assistance § 260.17 Credit risk premium analysis. (a) When Federal appropriations are not available to cover the total subsidy cost, the Administrator will determine the Credit Risk Premium...

  3. 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... CAPITAL STANDARDS FEDERAL HOME LOAN BANK CAPITAL REQUIREMENTS § 932.4 Credit risk capital requirement. (a) General requirement. Each Bank's credit risk capital requirement shall be equal to the sum of the Bank's...

  4. Customer classification in banking system of Iran based on the credit risk model using multi-criteria decision-making models

    Directory of Open Access Journals (Sweden)

    Khalil Khalili

    2015-11-01

    Full Text Available One of the most important factors of survival of financial institutes and banks in the current competitive markets is to create balance and equality among resources and consumptions as well as to keep the health of money circulation in these institutes. According to the experiences obtained from recent financial crises in the world. The lack of appropriate management of the demands of banks and financial institutions can be considered as one of the main factors of occurrence of this crisis. The objective of the present study is to identify and classify customers according to credit risk and decisions of predictive models. The present research is a survey research employing field study in terms of the data collection method. The method of collecting theoretical framework was library research and the data were collected by two ways of data of a questionnaire and real customers’ financial data. To analyze the data of the questionnaire, analytical hierarchy process and to analyze real customers’ financial data, the TOPSIS method were employed. The population of the study included files of real customers in one of the branches of RefahKargaran Bank in city of Tabriz, Iran. From among 800 files, 140 files were completed and using Morgan’s table, 103 files were investigated. The final model was presented and with 95% of probability, if the next customer’s data is entered the model, it will capable of identifying accurately the degree of customer risk.

  5. 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.

  6. 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.

  7. 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.

  8. 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.

  9. 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.

  10. 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.

  11. 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.

  12. 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...

  13. IMPLICATIONS OF CREDIT RISK TRANSFER ON BANK PERFORMANCES

    Directory of Open Access Journals (Sweden)

    Victoria COCIUG

    2015-07-01

    Full Text Available The impact of the financial crisis has demonstrated the fragility of the banking sector and the need to implement new technologies that would allow not only insurance against the most important credit risk - credit risk, but development of lending segment. In such conditions, transfer of credit risk is an efficient and actual way to diversify the banks exposure for credit risk by the presence of those who are willing to take on some of this risk. Taking of credit risk can be achieved through credit derivatives, securitization and sale of loans, being selected the most advantageous technique for the bank. The current situation of the national banking sector requires solving the problem of bad loans, which, unfortunately, are increasing, by implementing new techniques for credit risk management according with EU directives.

  14. 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.

  15. 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 lead...

  16. Credit risk identification and suggestions of electricity market

    Science.gov (United States)

    He, Chuan; Wang, Haichao; Chen, Zhongyuan; Hao, Yuxing; Jiang, Hailong; Qian, Hanhan; Wang, Meibao

    2018-03-01

    The power industry has a long history of credit problems, and the power industry has credit problems such as power users defaulting on electricity bills before the new electricity reform. With the reform of the power system, the credit problems in the power industry will be more complicated. How to effectively avoid the risk factors existing in the course of market operation and how to safeguard the fairness and standardization of market operation is an urgent problem to be solved. This paper first describes the credit risk in power market, and analyzes the components of credit risk identification in power market, puts forward suggestions on power market risk management.

  17. 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.

  18. Does segmentation always improve model performance in credit scoring?

    OpenAIRE

    Bijak, Katarzyna; Thomas, Lyn C.

    2012-01-01

    Credit scoring allows for the credit risk assessment of bank customers. A single scoring model (scorecard) can be developed for the entire customer population, e.g. using logistic regression. However, it is often expected that segmentation, i.e. dividing the population into several groups and building separate scorecards for them, will improve the model performance. The most common statistical methods for segmentation are the two-step approaches, where logistic regression follows Classificati...

  19. Directions of coordination of financial accounting standards with principles for credit risk management in banks

    OpenAIRE

    Voloshyn, Ihor

    2014-01-01

    This paper examines ways of overcoming inconsistencies between IFRS and modern concepts of credit risk management, namely, expected loss model and risk-adjusted loan pricing. Also, it is considered an issue of acceptable levels of concentration risk in bank credit portfolio.

  20. 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.

  1. 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...

  2. The Evaluation of Trade Credit Insurance in Lithuanian Business Market as a Credit Risk Management Tool

    Directory of Open Access Journals (Sweden)

    Lezgovko Aleksandra

    2017-06-01

    Full Text Available In today’s trade, the vast majority of commercial transactions in both domestic and international trade are concluded by applying trade credit terms. The aim of this article is to analyse the trade credit insurance and, according to the methodology, to evaluate it as a credit risk management tool in the context of Lithuanian business market. The authors have proposed a methodology that combines theoretical and practical research methods. First of all, with assistance of qualitative analysis, the alternative external credit risk management tools were examined. Such analysis allows not only to identify the advantages, disadvantages and benefits of researched risk management tools but also to assess the efficiency and rationality of trade credit insurance in the context of alternative methods. In order to carry out an assessment in the practical aspect, considering the lack of statistical data, it was decided additionally to perform an expert evaluation. After performing an assessment of trade credit insurance, it was concluded that in international trade, with a large buyer portfolio and high sales volume, the trade credit insurance becomes the most effective and rational way to manage credit risk, which eliminates the losses because of the debtor’s insolvency or bankruptcy, manages countries and sector’s risks and helps to discipline the debtor, what determines the decline in overdue accounts frequencies, amounts and volumes.

  3. 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.

  4. Econometric analyses of microfinance credit group formation, contractual risks and welfare impacts in Northern Ethiopia

    NARCIS (Netherlands)

    Berhane Tesfay, G.

    2009-01-01

    Key words Microfinance, joint liability, contractual risk, group formation, risk-matching, impact evaluation, Panel data econometrics, dynamic panel probit, trend models, fixed-effects, composite counterfactuals, propensity score matching, farm households, Ethiopia. Lack of access to credit is a

  5. 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.

  6. Credit risk in liberalised power and natural gas markets

    International Nuclear Information System (INIS)

    Lapson, E.; Hunter, Richard

    1999-01-01

    This chapter examines the relationship of market structure and price volatility to credit risk, and discusses credit risk and energy market structures, credit risk in bilateral contracts, market evolution, and the effect of liberalising power markets on credit quality considering the power liberalising in Europe, the pace of change, and the new risks and opportunities. The market structure in Europe is addressed, and the EU Directive 96/92/EC, structural requirements, access for new generation capacity, and transmission costs are considered. Details of the liberalisation in the UK electricity market, the German market, and the Nord Pool are given, and the best credit practices in bilateral markets, and the quantifying of expected credit loss are described. Panels highlighting the need to know your counterparty in evaluating and negotiating bilateral contracts, and lessons learnt from the June 1998 US power price spike are presented

  7. Credit Risk Evaluation of Large Power Consumers Considering Power Market Transaction

    Science.gov (United States)

    Fulin, Li; Erfeng, Xu; ke, Sun; Dunnan, Liu; Shuyi, Shen

    2018-03-01

    Large power users will participate in power market in various forms after power system reform. Meanwhile, great importance has always attached to the construction of the credit system in power industry. Due to the difference between the awareness of performance and the ability to perform, credit risk of power customer will emerge accordingly. Therefore, it is critical to evaluate credit risk of large power customers in the new situation of power market. Firstly, this paper constructs index system of credit risk of large power customers, and establishes evaluation model of interval number and AHP-entropy weight method.

  8. Business and Default Cycles for Credit Risk

    NARCIS (Netherlands)

    Koopman, S.J.; Lucas, A.

    2005-01-01

    Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether these cycles coincide. Recent papers suggest by their empirical research set-up that they do, or at least that defaults and credit spreads tend to

  9. 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.

  10. 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.

  11. Credit Risk Evaluation System: An Artificial Neural Network Approach

    African Journals Online (AJOL)

    On the other hand, this kind of bank's activity is connected with high risk as big amount of bad decisions may even cause bankruptcy. The key problem consists of distinguishing good (that surely repay) and bad (that likely default) credit applicants. Credit risk evaluation is an important and interesting management science ...

  12. Closed-form pricing formula for exchange option with credit risk

    International Nuclear Information System (INIS)

    Kim, Geonwoo; Koo, Eunho

    2016-01-01

    In this paper, we study the valuation of Exchange option with credit risk. Since the over-the-counter (OTC) markets have grown rapidly in size, the counterparty default risk is very important and should be considered for the valuation of options. For modeling of credit risk, we use the structural model of Klein [13]. We derive the closed-form pricing formula for the price of the Exchange option with credit risk via the Mellin transform and provide the experiment results to illustrate the important properties of option with numerical graphs.

  13. 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

  14. 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.

  15. Global Financial Crisis And Credit Risk Disclosure In The UAE Banks

    Directory of Open Access Journals (Sweden)

    Magdi El-Bannany

    2015-03-01

    Full Text Available The aim of this study is to establish a model to explain the reasons for changing the level of credit risk disclosure among the UAE Banks over the period 2006-2009. Multiple regression analysis is used to test the relationship between the level of credit risk disclosure as a dependent variable and global financial crisis and other independent variables. The results show that global financial crisis, foreign ownership, bank age, investment in information technology systems and bank profitability variables have a significant impact on the level of credit risk disclosure. In addition the results show that listing age has no impact on the level of credit risk disclosure. More evidence is needed on the determinants of the level of credit risk disclosure before any generalization of the results can be made. In addition, the empirical tests were conducted only on the UAE Banks Group over the period 2006-2009 and hence the results of the study cannot be assumed to extend beyond this group of banks or to different study periods. The study might help the reporting regulators in formulating guidelines or/and standards for disclosing information about credit risk in banks. In addition, knowing the factors which might affect the level of credit risk disclosure might help in formulating strategies and policies to help in that extent. This paper adds to the literature of credit risk disclosure studies through explaining for the first time the determinants of level of credit risk disclosure only in banks. In particular, it tests the new theories that global financial crisis, foreign ownership, bank age, investment in information technology systems, bank profitability and listing age have a significant impact on the level of credit risk disclosure.

  16. 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.

  17. 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

  18. 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.

  19. 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.

  20. Leading internal and external sources of credit risk in the top South African banks

    Directory of Open Access Journals (Sweden)

    Tankiso Moloi

    2014-09-01

    Full Text Available This paper aimed at identifying the leading credit risk indicators in the South African banking context as well as the development of an integrated leading credit risk indicator model. A content analysis was used as a data extraction methodology and structural equation modelling was used as a data analysis methodology. The results obtained indicated that utilising the structural equation modelling, gross savings, and prime overdraft rates, number of judgements, business insolvencies and unemployment rates were formulated as leading economic and market (external indicators of credit risk in the South African banking context. Similarly, utilising the principal component analysis, bank asset quality, bank asset concentration as well as bank trading and hedging activities were formulated as leading bank specific (internal indicators of credit risk in the South African banking context. The Integrated Leading Credit Risk Indicator Model (ICRIM was formulated utilising the accepted leading credit risk indicators. The ICRIM parameters were benchmarked against the generally accepted fit indices such as the RMSEA, comparative fit (baseline comparison as well as the Hoelter and its results output were found to be consistent with these generally accepted fit indices

  1. Credit Risk in the Banking Sector in Kosovo

    Directory of Open Access Journals (Sweden)

    Muhamet Aliu

    2017-05-01

    Full Text Available Loans make up the bulk of a bank’s assets, and thus credit risk is the most significant risk for commercial banks in Kosovo and throughout the world. Despite its complexity, effective management of credit risk is a prerequisite for the success of a bank and the banking system in general. A special role in this aspect is played by the separation of reserves to cover the risk of failure to repay the loan or in cases of nonfulfilment of contractual obligations by the loan recipient. Therefore, this research aims to address this issue and analyses the credit risk management of the banking system of the Republic of Kosovo in general and the effects of separation of reserves for loan losses in particular.

  2. 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.

  3. Confidence sets for asset correlations in portfolio credit risk

    Directory of Open Access Journals (Sweden)

    Carlos Castro

    2012-06-01

    Full Text Available Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007.Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

  4. 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.

  5. 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.

  6. The Diagnostics of the Bank Financial Status: Credit Risk Management

    Directory of Open Access Journals (Sweden)

    Sementsov Ruslan V.

    2017-10-01

    Full Text Available This article analyzes the methodology for determining the credit risk of active operations of bank, as laid down in the Regulation on determining by banks of Ukraine the credit risk size on active banking transactions; a simplified algorithm for using it in practice has been provided. A study of the methodology, proposed by the National Bank of Ukraine, has revealed outstanding issues, such as adjusting the probability factor of borrower’s default, taking into consideration the retrospective. In view of this situation, it has been suggested that any generally acceptable methodology should be used. It is emphasized that the quality of the bank’s credit risk management can be determined by evaluating its credit portfolios for compliance with the regulatory acts and by comparing the difference between the bank’s actual risk and the actual amount of reserve funds, established by the bank. At present, the process of determining credit risk is excessively complex and cannot be fully automatized, and therefore needs to be substantially further elaborated.

  7. 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.

  8. 76 FR 13902 - Fair Credit Reporting Risk-Based Pricing Regulations

    Science.gov (United States)

    2011-03-15

    ... TRADE COMMISSION 16 CFR Parts 640 and 698 RIN R411009 Fair Credit Reporting Risk-Based Pricing... 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...

  9. 76 FR 41602 - Fair Credit Reporting Risk-Based Pricing Regulations

    Science.gov (United States)

    2011-07-15

    ... TRADE COMMISSION 16 CFR Parts 640 and 698 RIN R411009 Fair Credit Reporting Risk-Based Pricing... rules to implement the risk-based pricing provisions in section 311 of the Fair and Accurate Credit... require disclosure of credit scores and information relating to credit scores in risk-based pricing...

  10. Using non-performing loan ratios as default rates in the estimation of credit losses and macroeconomic credit risk stress testing: A case from Turkey

    Directory of Open Access Journals (Sweden)

    Guray Kucukkocaoglu

    2016-02-01

    Full Text Available In this study, inspired by the Credit Portfolio View approach, we intend to develop an econometric credit risk model to estimate credit loss distributions of Turkish Banking System under baseline and stress macro scenarios, by substituting default rates with non-performing loan (NPL ratios. Since customer number based historical default rates are not available for the whole Turkish banking system’s credit portfolio, we used NPL ratios as dependent variable instead of default rates, a common practice for many countries where historical default rates are not available. Although, there are many problems in using NPL ratios as default rates such as underestimating portfolio losses as a result of totally non-homogeneous total credit portfolios and transferring non-performing loans to asset management companies from banks’ balance sheets, our aim is to underline and limit some ignored problems using accounting based NPL ratios as default rates in macroeconomic credit risk modeling. Developed models confirm the strong statistical relationship between systematic component of credit risk and macroeconomic variables in Turkey. Stress test results also are compatible with the past experiences

  11. 76 FR 24089 - Credit Risk Retention

    Science.gov (United States)

    2011-04-29

    .... \\33\\ See proposed rules at Sec. --.2. Assets or other property collateralize an issuance of ABS interests if the assets or property serves as collateral for such issuance. Assets or other property serve.... Ability To Repay 2. Loan-to-Value Requirement 3. Valuation of the Collateral 4. Risk Management and...

  12. 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

  13. 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.

  14. 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

  15. 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

  16. 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

  17. Assessing the Effectiveness of Credit risk Management Techniques ...

    African Journals Online (AJOL)

    One fundamental problem faced by the Microfinance industry in Ghana during the period 2003-2007 was the technique adopted for credit risk management by the Microfinance firms (MFFs). This problem prompted this deductive study which was to assess the effectiveness of the techniques adopted by the MFFs to manage ...

  18. 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

  19. 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

  20. 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.

  1. 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.

  2. 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.

  3. 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.

  4. DEVELOPMENT OF A RISK SCREENING METHOD FOR CREDITED OPERATOR ACTIONS

    International Nuclear Information System (INIS)

    HIGGINS, J.C.; O'HARA, J.M.; LEWIS, P.M.; PERSENSKY, J.; BONGARRA, J.

    2002-01-01

    DEVELOPMENT OF A RISK SCREENING METHOD FOR CREDITED OPERATOR ACTIONS. THE U.S. NUCLEAR REGULATORY COMMISSION (NRC) REVIEWS THE HUMAN FACTORS ASPECTS OF PROPOSED LICENSE AMENDMENTS THAT IMPACT HUMAN ACTIONS THAT ARE CREDITED IN A PLANTS SAFETY ANALYSIS. THE STAFF IS COMMITTED TO A GRADED APPROACH TO THESE REVIEWS THAT FOCUS RESOURCES ON THE MOST RISK IMPORTANT CHANGES. THEREFORE, A RISK INFORMED SCREENING METHOD WAS DEVELOPED BASED ON AN ADAPTATION OF EXISTING GUIDANCE FOR RISK INFORMED REGULATION AND HUMAN FACTORS. THE METHOD USES BOTH QUANTITATIVE AND QUALITATIVE INFORMATION TO DIVIDE THE AMENDMENT REQUESTS INTO DIFFERENT LEVELS OF REVIEW. THE METHOD WAS EVALUATED USING A VARIETY OF TESTS. THIS PAPER WILL SUMMARIZE THE DEVELOPMENT OF THE METHODOLOGY AND THE EVALUATIONS THAT WERE PERFORMED TO VERIFY ITS USEFULNESS

  5. 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.

  6. Computing credit valuation adjustment for Bermudan options with wrong way risk

    NARCIS (Netherlands)

    Q. Feng (Qian); C.W. Oosterlee (Cornelis)

    2018-01-01

    textabstractWe study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty's default. Two WWR models are proposed, based on a deterministic function and a

  7. A dynamic model of unsecured credit

    OpenAIRE

    Daniel R. Sanches

    2010-01-01

    The author studies the terms of credit in a competitive market in which sellers (lenders) are willing to repeatedly finance the purchases of buyers (borrowers) by engaging in a credit relationship. The key frictions are: (i) the lender is unable to observe the borrower's ability to repay a loan; (ii) the borrower cannot commit to any long-term contract; (iii) it is costly for the lender to contact a borrower and to walk away from a contract; and (iv) transactions within each credit relationsh...

  8. 76 FR 79379 - Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and...

    Science.gov (United States)

    2011-12-21

    ..., 225, et al. Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and... RIN 3064-AD70 Risk-Based Capital Guidelines: Market Risk; Alternatives to Credit Ratings for Debt and... credit ratings to determine the specific risk add-on for a debt position that is a covered position under...

  9. 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.

  10. 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. The authors' purpose was to examine these possible associations. They used a retrospective design with existing data from a sample of 45,213 US college students and several ordinal regression models, which corresponded with high priority college health issues. Students with high-risk credit behavior were more likely to have driven after drinking, used amphetamines in the previous 30 days, felt functionally impaired by depression in the previous 12 months, had a higher body mass index (BMI), or had a lower grade-point average (GPA). They were less likely to have participated in vigorous physical activity, used condoms for oral or vaginal sex in the prior 30 days, or used marijuana. The findings support the notion that high-risk health and credit behaviors are associated. Further research could clarify the nature of this relation.

  11. 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…

  12. 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.

  13. 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...

  14. 75 FR 2723 - Fair Credit Reporting Risk-Based Pricing Regulations

    Science.gov (United States)

    2010-01-15

    ... Fair Credit Reporting Risk-Based Pricing Regulations; Final Rule #0;#0;Federal Register / Vol. 75 , No... 3084-AA94 Fair Credit Reporting Risk-Based Pricing Regulations AGENCIES: Board of Governors of the... the Fair Credit Reporting Act (FCRA). The final rules generally require a creditor to provide a risk...

  15. Financial performance as a decision criterion of credit scoring models selection [doi: 10.21529/RECADM.2017004

    Directory of Open Access Journals (Sweden)

    Rodrigo Alves Silva

    2017-09-01

    Full Text Available This paper aims to show the importance of the use of financial metrics in decision-making of credit scoring models selection. In order to achieve such, we considered an automatic approval system approach and we carried out a performance analysis of the financial metrics on the theoretical portfolios generated by seven credit scoring models based on main statistical learning techniques. The models were estimated on German Credit dataset and the results were analyzed based on four metrics: total accuracy, error cost, risk adjusted return on capital and Sharpe index. The results show that total accuracy, widely used as a criterion for selecting credit scoring models, is unable to select the most profitable model for the company, indicating the need to incorporate financial metrics into the credit scoring model selection process. Keywords Credit risk; Model’s selection; Statistical learning.

  16. 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

  17. 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.

  18. 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.

  19. 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:…

  20. 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%.

  1. "Financial-Sector Shocks in a Credit-View Model"

    OpenAIRE

    Burton A. Abrams

    2011-01-01

    A variation of the Bernanke-Blinder credit-view model reveals that holding constant the money supply following various financial-sector shocks, including an autonomous drop in the money multiplier, is insufficient to prevent aggregate demand from decreasing.

  2. Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates

    Directory of Open Access Journals (Sweden)

    Jianbo Huang

    2013-01-01

    Full Text Available The convertible bonds usually have multiple additional provisions that make their pricing problem more difficult than straight bonds and options. This paper uses the binary tree method to model the finance market. As the underlying stock prices and the interest rates are important to the convertible bonds, we describe their dynamic processes by different binary tree. Moreover, we consider the influence of the credit risks on the convertible bonds that is described by the default rate and the recovery rate; then the two-factor binary tree model involving the credit risk is established. On the basis of the theoretical analysis, we make numerical simulation and get the pricing results when the stock prices are CRR model and the interest rates follow the constant volatility and the time-varying volatility, respectively. This model can be extended to other financial derivative instruments.

  3. 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.

  4. Credit Risk Versus Performance in the Romanian Banking System

    Directory of Open Access Journals (Sweden)

    Sbârcea Ioana Raluca

    2017-12-01

    Full Text Available The Romanian banking sector, predominantly governed by the capital of foreign banks, is, as well as other international banking sectors, under the sign of the necessary balance that should exist between risk and performance. This is a result of banks trying to take risks that they can control, given that they need to generate financial results that are satisfactory for all categories of bank creditors, namely shareholders, depositors and other lenders. In this paper, I wanted to analyze the risk situation assumed by the main banks in the system versus the performance gained in recent years. This article is part of a wider research, so I will refer only to the main risk assumed by a bank, namely the credit risk, I will highlight the evolution of the indicators of this risk, so that I can finally analyze their degree of correlation with indicators for measuring bank performance. The situation of other financial risks in banking activity will be addressed in other works.

  5. 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

  6. 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.

  7. 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.

  8. 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

  9. CREDIT ASSEMBLY-LINE AS A WAY TO REDUCE THE UNFAIR BEHAVIOR RISK OF BANK EMPLOYEES

    Directory of Open Access Journals (Sweden)

    M. S. Liuft

    2014-01-01

    Full Text Available Summary. One of the most important characteristics of the unfair behavior risk is a circle of people influencing the risk’s probability: bank staff, a customer or a third party. The article deals with this issue (bank staff’s participation in cheating. It is given the statistics of the losses caused by the bank staff participation in facts of unfair behavior. According to the author, the improving package for work with the risk of unfair behavior must be implemented to solve this problem within the lending of borrowers - small and medium enterprises (SMEs. Developing stages of the model of a lending process and its deals with SME are devised as part of these measures, the content and objectives of a stage are defined as well. In author’s opinion the first stage of this betterment is a development and adoption of a new mechanism – a credit assembly-line. It is given the definition of a credit assembly-line in the network of SME lending, the purposes of the mechanism’s adoption are defined. The result of credit assembly-line adoption concerning each credit transaction of probable forms of unfair behavior is presented. One of the reasons for the staff’s participation in the realization of unfair behavior risk is the presence of different motives (including material and a measure or a sense of responsibility. The author offers the system of motives of players in credit process to solve the problem. As the conclusions of the article the author gives recommendations in relation to the regulatory framework improvement and to give more attention to the staff motivation system in case of the probability of the unfair behavior risk.

  10. 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...

  11. Direct potable reuse microbial risk assessment methodology: Sensitivity analysis and application to State log credit allocations.

    Science.gov (United States)

    Soller, Jeffrey A; Eftim, Sorina E; Nappier, Sharon P

    2018-01-01

    Understanding pathogen risks is a critically important consideration in the design of water treatment, particularly for potable reuse projects. As an extension to our published microbial risk assessment methodology to estimate infection risks associated with Direct Potable Reuse (DPR) treatment train unit process combinations, herein, we (1) provide an updated compilation of pathogen density data in raw wastewater and dose-response models; (2) conduct a series of sensitivity analyses to consider potential risk implications using updated data; (3) evaluate the risks associated with log credit allocations in the United States; and (4) identify reference pathogen reductions needed to consistently meet currently applied benchmark risk levels. Sensitivity analyses illustrated changes in cumulative annual risks estimates, the significance of which depends on the pathogen group driving the risk for a given treatment train. For example, updates to norovirus (NoV) raw wastewater values and use of a NoV dose-response approach, capturing the full range of uncertainty, increased risks associated with one of the treatment trains evaluated, but not the other. Additionally, compared to traditional log-credit allocation approaches, our results indicate that the risk methodology provides more nuanced information about how consistently public health benchmarks are achieved. Our results indicate that viruses need to be reduced by 14 logs or more to consistently achieve currently applied benchmark levels of protection associated with DPR. The refined methodology, updated model inputs, and log credit allocation comparisons will be useful to regulators considering DPR projects and design engineers as they consider which unit treatment processes should be employed for particular projects. Published by Elsevier Ltd.

  12. The Foundations of Developing a Bank’s Credit Risk Management Strategy

    Directory of Open Access Journals (Sweden)

    Zveruk Liudmyla А.

    2017-04-01

    Full Text Available The issue of credit risk management becomes especially relevant for the banking system of Ukraine nowadays, in the context of opening up the worldwide economic space. The objective need to improve the efficiency of bank’s credit risk management requires improvement of the legal, methodological, and organizational foundations of banking activity. The carried out research discloses the nature and place of credit risk among bank risks, its specific characteristics, and the factors of influence upon. The article emphasizes that, in order to make the functioning of bank efficient, credit risk should not be perceived as the probability of a negative event or danger, but rather as the income-generating activity. The main elements of the credit risk management system have been provided. The types and levels of credit risk have been distributed by the classification attributes. The role of internal and external environment factors influencing the bank lending policy has been explored. The role of the credit risk management strategy and tactics has been emphasized. The stages of the credit risk management strategy, its main methods and tools have been disclosed. Ways to successfully implement the credit risk management strategy for contemporary banks have been determined.

  13. A dynamic approach merging network theory and credit risk techniques to assess systemic risk in financial networks.

    Science.gov (United States)

    Petrone, Daniele; Latora, Vito

    2018-04-03

    The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network of exposures among banks. A potential loss distribution is obtained through a multi-period Monte Carlo simulation that considers the probability of default (PD) of the banks and their tendency of defaulting in the same time interval. A contagion process increases the PD of banks exposed toward distressed counterparties. The systemic risk is measured by statistics of the loss distribution, while the contribution of each node is quantified by the new measures PDRank and PDImpact. We illustrate how the model works on the network of the European Global Systemically Important Banks. For a certain range of the banks' capital and of their assets volatility, our results reveal the emergence of a strong contagion regime where lower default correlation between banks corresponds to higher losses. This is the opposite of the diversification benefits postulated by standard credit risk models used by banks and regulators who could therefore underestimate the capital needed to overcome a period of crisis, thereby contributing to the financial system instability.

  14. Exchange credit risk: Measurement and implications on the stability of partially dollarized financial systems

    Directory of Open Access Journals (Sweden)

    Ernesto Mordecki

    2013-06-01

    Full Text Available Some emergent economies present a high financial dollarization in loans and deposits, generating a specific risk in the banking activity. We quantify this exchange credit risk as the price of an option equivalent to this loan, and discuss the financial stability implications due to the (implicit issuance of these options. The exchange rate is modeled through a Levy process. The depth of the market depends on the type of the currencies involved. Whenever possible, we depart from option prices to calibrate a model, like in the EUR/USD market. But if the market is not liquid, as the USD/UYU market, we provide alternative pricing methodologies.

  15. A Pruning Neural Network Model in Credit Classification Analysis

    Directory of Open Access Journals (Sweden)

    Yajiao Tang

    2018-01-01

    Full Text Available Nowadays, credit classification models are widely applied because they can help financial decision-makers to handle credit classification issues. Among them, artificial neural networks (ANNs have been widely accepted as the convincing methods in the credit industry. In this paper, we propose a pruning neural network (PNN and apply it to solve credit classification problem by adopting the well-known Australian and Japanese credit datasets. The model is inspired by synaptic nonlinearity of a dendritic tree in a biological neural model. And it is trained by an error back-propagation algorithm. The model is capable of realizing a neuronal pruning function by removing the superfluous synapses and useless dendrites and forms a tidy dendritic morphology at the end of learning. Furthermore, we utilize logic circuits (LCs to simulate the dendritic structures successfully which makes PNN be implemented on the hardware effectively. The statistical results of our experiments have verified that PNN obtains superior performance in comparison with other classical algorithms in terms of accuracy and computational efficiency.

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

    OpenAIRE

    Margarita Janeska; Suzana Taleska; Kosta Sotiroski

    2014-01-01

    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 ...

  17. A SIMPLE METHOD FOR MEASURING SYSTEMIC RISK USING CREDIT DEFAULT SWAP MARKET DATA

    OpenAIRE

    SANGWON SUH; INWON JANG; MISUN AHN

    2013-01-01

    This paper proposes a simple method that employs credit default swap (CDS) data for analyzing systemic risk. The proposed method overcomes inconsistency problems in existing methods and can produce various indicators of systemic risk in a consistent manner. In addition, this method can measure systemic risk contributions. In particular, the method measures systemic risk contributions in both directions, that is, the overall effect of systemic risk on individual credit risks and vice versa. Us...

  18. Formation of borrower’s bank credit scoring integrated model

    Directory of Open Access Journals (Sweden)

    O.V. Lysenok

    2017-03-01

    Full Text Available The article proposes the borrower’s bank credit scoring model that is of particular relevance in an unstable world and Ukrainian financial markets. The essence of this integrated model is the consistent definition of indicators, which analyze the financial and economic situation and development of scoring that allows to calculate overall index, that is, the integral factor of credit scoring level of the bank to calculate which one uses the formed set of factors characterizing riskiness, profitability and liquidity of the banking institution. The author determines the factors according to their functional purpose; the former ones are divided into four groups: capital adequacy, loan portfolio quality, profitability and liquidity. Each group consists of four indicators; each indicator is assigned thresholds to determine the appropriate credit scoring level of the bank for one or another direction. The higher is the value of the integral factor, the more efficient and less risky is the financial and economic activity of banks and the higher is their credit scoring level. The study concludes that the proposed model for bank credit scoring differs with its transparency and clarity due to use in its implementation only public information. The disadvantages include the presence of the subjective factor in assigning a certain number of points based on expert and normative methods.

  19. Analysis of empirical determinants of credit risk in the banking sector of the Republic of Serbia

    Directory of Open Access Journals (Sweden)

    Račić Željko

    2016-01-01

    Full Text Available The aim of this paper is the detection and analysis of empirical determinants of credit risk in the banking sector of the Republic of Serbia. The paper is based on an analysis of results of the application of the linear regression model, during the period from the third quarter of 2008 to the third quarter of 2014. There are three main findings. Firstly, the higher lending activity of banks contributes to the increasing share of high-risk loans in the total withdrawn loans (delayed effect of 3 years. Secondly, the growth of loans as opposed to deposits contributes to the increased exposure of banks to credit risk. Thirdly, the factors that reduce the exposure of banks to credit risk increase profitability, growth of interest rate spread and real GDP growth. Bearing in mind the overall market conditions and dynamics of the economic recovery of the country, there is a general conclusion based on the results that in the coming period the question of non-performing loans (NPLs in the Republic of Serbia will present a challenge for both lenders and borrowers.

  20. 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

  1. 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.

  2. 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.

  3. THE ISSUE AND IMPORTANCE OF CREDIT RISK MANAGEMENT EXEMPLIFIELD BY THE COLLAPSE OF AMERICAN MORTGAGE MARKET

    OpenAIRE

    Karolina Przenajkowska

    2008-01-01

    The risk is connected to all types of economic activities. It is especially important for the functioning of banks, which are institutions based on the trust of the society. The most common risk banks have to face is the credit risk. The first part of the paper refers to the reasons, classification and consequences of its appearance. Serious negative effects of credit risk existence force banks to design programs of this type of risk management. The credit risk management is founded on the ba...

  4. Advanced empirical estimate of information value for credit scoring models

    Directory of Open Access Journals (Sweden)

    Martin Řezáč

    2011-01-01

    Full Text Available Credit scoring, it is a term for a wide spectrum of predictive models and their underlying techniques that aid financial institutions in granting credits. These methods decide who will get credit, how much credit they should get, and what further strategies will enhance the profitability of the borrowers to the lenders. Many statistical tools are avaiable for measuring quality, within the meaning of the predictive power, of credit scoring models. Because it is impossible to use a scoring model effectively without knowing how good it is, quality indexes like Gini, Kolmogorov-Smirnov statisic and Information value are used to assess quality of given credit scoring model. The paper deals primarily with the Information value, sometimes called divergency. Commonly it is computed by discretisation of data into bins using deciles. One constraint is required to be met in this case. Number of cases have to be nonzero for all bins. If this constraint is not fulfilled there are some practical procedures for preserving finite results. As an alternative method to the empirical estimates one can use the kernel smoothing theory, which allows to estimate unknown densities and consequently, using some numerical method for integration, to estimate value of the Information value. The main contribution of this paper is a proposal and description of the empirical estimate with supervised interval selection. This advanced estimate is based on requirement to have at least k, where k is a positive integer, observations of socres of both good and bad client in each considered interval. A simulation study shows that this estimate outperform both the empirical estimate using deciles and the kernel estimate. Furthermore it shows high dependency on choice of the parameter k. If we choose too small value, we get overestimated value of the Information value, and vice versa. Adjusted square root of number of bad clients seems to be a reasonable compromise.

  5. 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

  6. Smile and Default: The Role of Stochastic Volatility and Interest Rates in Counterparty Credit Risk

    NARCIS (Netherlands)

    Simaitis, S.; de Graaf, C.S.L.; Hari, N.; Kandhai, D.

    2016-01-01

    In this research, we investigate the impact of stochastic volatility and interest rates on counterparty credit risk (CCR) for FX derivatives. To achieve this we analyse two real-life cases in which the market conditions are different, namely during the 2008 credit crisis where risks are high and a

  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. Economic policy uncertainty, credit risks and banks’ lending decisions: Evidence from Chinese commercial banks

    Directory of Open Access Journals (Sweden)

    Qinwei Chi

    2017-03-01

    Full Text Available Using data for Chinese commercial banks from 2000 to 2014, this paper examines the effects of economic policy uncertainty (EPU on banks’ credit risks and lending decisions. The results reveal significantly positive connections among EPU and non-performing loan ratios, loan concentrations and the normal loan migration rate. This indicates that EPU increases banks’ credit risks and negatively influences loan size, especially for joint-equity banks. Given the increasing credit risks generated by EPU, banks can improve operational performance by reducing loan sizes. Further research indicates that the effects of EPU on banks’ credit risks and lending decisions are moderated by the marketization level, with financial depth moderating the effect on banks’ credit risks and strengthening it on lending decisions.

  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 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.

  11. A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio

    Directory of Open Access Journals (Sweden)

    Andreea Costea

    2017-03-01

    Full Text Available The core of this paper encloses a mathematical approach of credit risk management, based on a scorecard model used in the bank’s underwriting process. The main purpose of this paper is to present how to develop, validate and apply a rating model in practice. Using 21568 loan applications provided by one of the largest banks from Romania, a scorecard is built for the underwriting purposes. The customer data used in the modeling is based on socio-demographic characteristics. The model is developed according to a set of statistical methods for parameter estimation. A real-life example of how to use such a model in the strategic decisions of a bank is presented. The cut-off score for the acceptance of the applications is calibrated to a potential risk appetite of the main four banks in Romania. From an evaluative perspective, this paper is compatible with an exploratory approach to quantitative research methodology.

  12. The impact of macroeconomic variables on the evolution of the credit risk rate

    Directory of Open Access Journals (Sweden)

    Luminița Gabriela Istrate

    2018-03-01

    Full Text Available The dynamics of the real economy is a major driver of the evolution of arrears at the level of the pool of loans granted to non-financial companies, completed by the financial pressure induced by the monetary conditions. Lending allows on the one hand providing resources for companies that need financing for investment projects, on the other hand, it supports the fund holders to place resources for obtaining profit. The role of the lending policy in the activity of commercial banks is very important, as it may influence both the cost of credits and the loan portfolio quality in the future. The purpose of this research is to find the macroeconomic variables that significantly influence credit risk and to develop a statistical model for predicting the doubtful and non-performing loans rate. Thus, it is envisaged the research of mechanisms by which the dynamics of the real economy and the money market conditions influence the evolution of the credit risk in different business sectors.

  13. 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.

  14. 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.

  15. The Effect of Credit Lines and Risks on Operations of Microfinance ...

    African Journals Online (AJOL)

    ... and make sure that loans are used for the purpose for which they were given as this will reduce the number of non performing loans. Keywords: Microfinance, Microfinance banks, Credit lines, Credit risks, Banks' depositors. International Journal of Development and Management Review (INJODEMAR) Vol. 7 June, 2012 ...

  16. Global Credit Risk: World, Country and Industry Factors

    NARCIS (Netherlands)

    Schwaab, B.; Koopman, S.J.; Lucas, A.

    2017-01-01

    We investigate the dynamic properties of systematic default risk conditions for firms in different countries, industries and rating groups. We use a high-dimensional nonlinear non-Gaussian state-space model to estimate common components in corporate defaults in a 41 country samples between 1980:Q1

  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. 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.

  19. Credit Default Risk and its Determinants of Microfinance Industry in ...

    African Journals Online (AJOL)

    user

    Microfinance has evolved as an approach to economic development intended to benefit low income women and men. ... financial sources. However, credit from such sources is not only inadequate, but also exploitative and costly. ...... New York: Cambridge University Press. Pindyck, R. S. and Rubinfeld, D. L. 1981.

  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. Dynamics and determinants of credit risk discovery : evidence from CDS and stock markets.

    OpenAIRE

    Chau, F.; Han, C.; Shi, S.

    2018-01-01

    This paper investigates the dynamics and drivers of credit risk discovery between stock and CDS markets in the US. Our research is distinguished from the existing literature in three aspects: 1) we employ an improved method to measure the information share; 2) we discover new drivers of credit risk discovery; and 3) we assess the impact of central clearing counterparty (CCP) on the CDS market. By using the generalized information share (GIS) by Lien and Shrestha (2014), we address the issue t...

  2. Papers of a Canadian Institute conference on successfully managing counter party credit risk : fundamentals and essentials for the energy industry

    International Nuclear Information System (INIS)

    2003-01-01

    The main focus of this conference is the management of credit risk for major energy trading and marketing companies. The papers deal with pertinent issues such as the development and implementation of corporate credit risk management policy, credit risk exposure reporting systems, and the quality of ratings in the utility sector. Risk management strategies include quantitative and subjective credit factors, credit scoring, risk mitigation, limit-setting methodologies, measurement of liquidity, capital markets access, portfolio management, and the development of policies, procedures and control. Three presentations were indexed separately for inclusion in the database. refs., tabs., figs

  3. Credit risk disclosure in the annual financial statements of Bulgarian banks

    Directory of Open Access Journals (Sweden)

    Anita Atanassova

    2018-05-01

    Full Text Available The paper analyzes the credit risk disclosure in the annual financial statements of Bulgarian banks for 2015 and 2016. Banks are ranked according to the level of credit risk disclosure, in accordance with the requirements of international accounting regulations and in relation to financial and regulatory ratios linked to capital adequacy. As a result of the conducted empirical study, it is concluded that banks' management is not particularly inclined to make full disclosures and actively to declare internal qualitative and quantitative information. However, the level of disclosure of credit risk for banks in Bulgaria is high. Banks with a low degree of capital adequacy tend to make a more complete disclosure of credit risk, and vice versa. There were no indications of a link between the size of the bank assets, the existence of the bank as a public company and the disclosure of credit risk. We believe that, in the context of increased competition, the disclosure of credit risk from a formal requirement may become one of the many tools to stabilize the position of certain banks and create a positive image of the bank for public information users.

  4. 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.

  5. Implementing the Credit-based Education Model in Vietnamese Universities

    Directory of Open Access Journals (Sweden)

    Le, BV.

    2016-01-01

    Full Text Available The Vietnamese ministry of education and training (MOET has instructed universities to implement a credit-based education model that includes the training of skills. This paper discusses three issues in implementing the model; namely: (i difficulty to provide skills training, (ii lack of staff, quality lecturers and facilities such as library and laboratories and (iii mismatched habits and skills of students with those required by the new model. To fully benefit from this model, the authors give five recommendations for MOET and concerned universities to consider: (i strengthen the competence education of this new model; (ii enact policies to improve lecturers' qualifications and practical experience; (iii use facilities from outside groups or other universities; (iv improve soft skills of students by assigning them appropriate tasks and encouraging them to finish their tasks; and (v implement the model on a step by step approach based on the specific conditions of each university.

  6. 75 FR 54020 - Federal Housing Administration Risk Management Initiatives: New Loan-to-Value and Credit Score...

    Science.gov (United States)

    2010-09-03

    ... Housing Administration Risk Management Initiatives: New Loan-to-Value and Credit Score Requirements AGENCY... credit score threshold as well as reduce the maximum loan-to-value (LTV) for borrowers with lower credit scores who represent a higher risk of default and mortgage insurance claim; and to tighten underwriting...

  7. 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).

  8. Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System

    Directory of Open Access Journals (Sweden)

    Gila-Gourgoura, E.

    2017-03-01

    Full Text Available Purpose: The purpose of this paper is to investigate the determinants of non-performing loans in the Spanish banking system over the period 1997Q4–2015Q3. This timeframe includes not only the booming period for the Spanish economy but also an extended post-crises interval which is missing from other studies for Spain. Design/methodology/approach: Using quarterly data from the Central Bank of Spain and from the European Central Bank, the paper employs the ARDL approach to cointegration to identify the existence of a long or short-run relationship between NPLs and a set of macroeconomic, bank-related and country-specific indicators. Findings: Findings from the ARDL model indicate that macroeconomic, bank-specific variables and interest rates are important determinants of non-performing loans in the Spanish banking system. Specifically, the real GDP, the Spanish long-term government bond yield, the return on equity, the total credit granted by the Spanish banks and their capital to assets ratio, explain credit risk in Spain both in the short and the long run. Research limitations/implications: Data on the bank-specific variables are for the whole banking industry, and not for individual banks. If such data were available, a comparison of the credit risk determinants between small/ big banks, private/public or domestic/foreign could be possibly made. Originality/value: These findings provide useful evidence to bank managers and policymakers in dealing with loans' defaults in Spain and in undertaking crucial reforms to stabilize the economy.

  9. Credit Risk Determinants in Banking Sector: A Comparative Analysis of the PIB (Pakistan, India and Bangladesh

    Directory of Open Access Journals (Sweden)

    Muhammad Waqas

    2017-02-01

    Full Text Available The aim of the empirical study is to investigate credit risk determinants in banking sectors across three kinds of South Asian economies. An accumulated sample of 105 unbalanced panel data of financial firms over the period of 2000-2015, by applying General Method of Moment (GMM estimation techniques one-step at the difference in order to identify factors influencing credit risk. This study is inspired by two broad categories of explanatory variables which are bank-specific and macroeconomic. Bank-specific factors influencing unsystematic risk, while macroeconomic factors promoting systematic risk. The study uses a proxy of non-performing loans for credit risk in banking sectors of Pakistan, India, and Bangladesh. The empirical results have been found aligned with theoretical arguments and literature as expected. In comparison, NPLs in Pakistan is greater than India and Bangladesh, while India has the lowest ratio of non-performing loans. The study documents that bank-specific factors (inefficiency, profitability, capital ratio and leverage have a significant contribution towards credit risk. Further, the study also finds a significant impact of macroeconomic variables on non-performing loans. While, the result in the case of Bangladesh predict contradictions, that have no significant effect on non-performing loans at various level. The overall results indicate that credit risk is not influenced by only external factors but also affect by internal factors like bad management and skimping etc.

  10. 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.

  11. 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”.

  12. Multi Criteria Credit Rating Model for Small Enterprise Using a Nonparametric Method

    Directory of Open Access Journals (Sweden)

    Guotai Chi

    2017-10-01

    Full Text Available A small enterprise’s credit rating is employed to measure its probability of defaulting on a debt, but, for small enterprises, financial data are insufficient or even unreliable. Thus, building a multi criteria credit rating model based on the qualitative and quantitative criteria is of importance to finance small enterprises’ activities. Till now, there has not been a multicriteria credit risk model based on the rank sum test and entropy weighting method. In this paper, we try to fill this gap by offering three innovative contributions. First, the rank sum test shows significant differences in the average ranks associated with index data for the default and entire sample, ensuring that an index makes an effective differentiation between the default and non-default sample. Second, the rating equation’s capacity is tested to identify the potential defaults by verifying a clear difference between the average ranks of samples with default ratings (i.e., not index values and the entire sample. Third, in our nonparametric test, the rank sum test is used with rank correlation analysis made to screen for indices, thereby avoiding the assumption of normality associated with more common credit rating methods.

  13. Investigation of Burnup Credit Modeling Issues Associated with BWR Fuel

    Energy Technology Data Exchange (ETDEWEB)

    Wagner, J.C.

    2000-10-12

    /or decreasing the neutron absorber concentration. However, regulations associated with permanent disposal require consideration of scenarios and/or package conditions that are not relevant or credible for storage or transportation, and as a result, necessitate credit for burnup in BWR fuel to maintain capacity objectives. Burnup credit relies on depletion calculations to provide a conservative estimate of spent fuel contents and subsequent criticality calculations to assess the value of k{sub eff} for a spent fuel cask or a fuel configuration under a variety of postulated conditions. Therefore, validation is necessary to quantify biases and uncertainties between analytic predictions and measured isotopics. However, the design and operational aspects of BWRs result in a more heterogeneous and time-varying reactor configuration than those of PWRs. Thus, BWR spent fuel analyses and validation efforts are significantly more complicated than those of their PWR counterparts. BWR spent fuel assemblies are manufactured with variable enrichments, both radially and axially, are exposed to time- and spatially-varying void distributions, contain integral burnable absorber rods, and are subject to partial control-blade insertion during operation. The latter is especially true in older fuel assemblies. Away-from-reactor depletion tools used for characterization of spent fuel have typically been developed and validated for more homogeneous PWR fuel assemblies without integral burnable absorber rods, and thus must be reassessed for BWR configurations to determine a conservative methodology for estimating the isotopic content of spent BWR fuel. This report examines the use of SAS2H8 for calculating spent BWR fuel isotopics for burnup-credit criticality safety analyses and assesses the adequacy of SAS2H for this task. The effects of SAS2H modeling assumptions on calculated spent BWR fuel isotopics and the effects of depletion assumptions on calculated k{sub inf} values are investigated. Detailed

  14. 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...

  15. Credit risk in the pool-implications for private capital investments in Brazilian power generation

    International Nuclear Information System (INIS)

    Rocha, Katia; Alcaraz Garcia, Francisco A.

    2006-01-01

    The new Brazilian Electric Sector Regulation of 2004 introduced two negotiation markets: the regulated pool and the free market. Competition in the pool is enforced via energy auctions, where the winning generator has to sign long-term power purchase agreements simultaneously with all distributors at the bidding-price. To estimate the appropriate credit risk spread of the pool, we implement a clustering methodology to rank and rate the distributors. The results show an average spread between 5.75% and 8.5%, which corresponds to a credit rating of B- according to the spreads available in Reuters 2004. This estimation is at least 208 basis points higher than the credit rating Ba1/BB+ assigned to the distributors by the National Electric Energy Agency (ANEEL) in the periodic tariff revisions. Distributors with higher risk/spread are located in the South-Southeast, compared to the low risk/spread ones concentrated in the North-Northeast. We estimate the opportunity cost of capital in real terms in the range of 13-16% to account for the credit risk of the pool. Essential to determine the bidding price at the auctions, this estimation is higher than the 11.26% opportunity cost estimated by ANEEL. The pool's credit risk has to be taken into consideration, especially for compensating new private capital investments in Brazilian power generation

  16. 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 AND...

  17. 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…

  18. Credit risk transfer activities and systemic risk : How banks became less risky individually but posed greater risks to the financial system at the same time

    NARCIS (Netherlands)

    Wagner, W.B.; Nijskens, R.G.M.

    2011-01-01

    A main cause of the crisis of 2007–2009 is the various ways through which banks have transferred credit risk in the financial system. We study the systematic risk of banks before the crisis, using two samples of banks respectively trading Credit Default Swaps (CDS) and issuing Collateralized Loan

  19. 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.

  20. Markov Chain Model with Catastrophe to Determine Mean Time to Default of Credit Risky Assets

    Science.gov (United States)

    Dharmaraja, Selvamuthu; Pasricha, Puneet; Tardelli, Paola

    2017-11-01

    This article deals with the problem of probabilistic prediction of the time distance to default for a firm. To model the credit risk, the dynamics of an asset is described as a function of a homogeneous discrete time Markov chain subject to a catastrophe, the default. The behaviour of the Markov chain is investigated and the mean time to the default is expressed in a closed form. The methodology to estimate the parameters is given. Numerical results are provided to illustrate the applicability of the proposed model on real data and their analysis is discussed.

  1. FINANCIAL RISK IN CREDITS TO THE CONSUMPTION OF THE VENEZUELAN BANKING SYSTEM 2008-2015

    Directory of Open Access Journals (Sweden)

    Carlos Manuel Díaz

    2017-07-01

    Full Text Available The objective of this research was to analyze the financial risk in the consumption credits of the banking system of Venezuela between 2008-2015. The theoretical support was made based on Cóndor & Cajamarca (2014, monitoring credit risk is essential to preserve the stability of the financial system. The type of research was descriptive with a longitudinal trend design. Consumer loans accounted for 21% of the banking economy; these loans grew at an annual average of 17%, the delinquency and total portfolio coverage indicators showed a downward trend. This shows that the profile of potential borrowers by banks has been successful.

  2. Determinants of Credit Risk: Empirical Evidence from Asia-Pacific Banking Industry

    OpenAIRE

    Shi, Weihan

    2013-01-01

    This thesis carries out an empirical analysis of the determinants of credit risk based on Asia-Pacific banks. It has been debated for a number of years that the banks in that region are healthier than those in the US and the Europe. Presently, there are many papers available on the topic of credit risk determinants, but only a limited number of them focus on Asia-Pacific banks. Furthermore, these papers are generally based on some particular Asia-Pacific countries and none of these papers suc...

  3. 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

  4. 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.

  5. P2P Network Lending, Loss Given Default and Credit Risks

    Directory of Open Access Journals (Sweden)

    Guangyou Zhou

    2018-03-01

    Full Text Available Peer-to-peer (P2P network lending is a new mode of internet finance that still holds credit risk as its main risk. According to the internal rating method of the New Basel Accord, in addition to the probability of default, loss given default is also one of the important indicators of evaluation credit risks. Proceeding from the perspective of loss given default (LGD, this paper conducts an empirical study on the probability distribution of LGDs of P2P as well as its influencing factors with the transaction data of Lending Club. The results show that: (1 the LGDs of P2P loans presents an obvious unimodal distribution, the peak value is relatively high and tends to concentrate with the decrease of the borrower’s credit rating, indicating that the distribution of LGDs of P2P lending is similar to that of unsecured bonds; (2 The total asset of the borrower has no significant impact on LGD, the credit rating and the debt-to-income ratio exert a significant negative impact, while the term and amount of the loan produce a relatively strong positive impact. Therefore, when evaluating the borrower’s repayment ability, it is required to pay more attention to its assets structure rather than the size of its total assets. When carrying out risk control for the P2P platform, it is necessary to give priority to the control of default rate.

  6. 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…

  7. 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…

  8. Study on Risk Analysis and the Way of Framing the Activity of Credit Guarantee for SMEs in Prudential Requirements/ Indicators

    Directory of Open Access Journals (Sweden)

    Dumitru Nancu

    2016-01-01

    Full Text Available This study deals with risk analysis and with the way of framing the activity of credit guaranteefor SMEs in terms of prudential requirements/ indicators. Il also tackles the ways of framing theactivity of guaranteeing, financing and treasury, under prudential requirements/ indicators, withinthe limits laid down for Non-Banking Financial Institutions, for Guaranteeing the Credits grantedto SMEs, by the National Credit Guarantee Fund for SMEs, under the Risk Policy and internalregulations (rules, procedures, operation instructions.

  9. 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

  10. A ’Single Audit’ Model for Federal Credit Unions.

    Science.gov (United States)

    1981-06-01

    Populaire de Levis. Desjardins extended the principle of self-help by members providing capital and management of the entity. The La Caisse Populaire de ...organizer of cooperative credit in Italy, and Henry W. Wolff, a writer and promoter of the citizen’s banks of Europe, in establishing the La Caisse ...cooperative [7:9]. However, no member of this organizational structure may receive compensation for his/her official duties within the credit union other than

  11. 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.

  12. Supply Chain Model with Stochastic Lead Time, Trade-Credit Financing, and Transportation Discounts

    Directory of Open Access Journals (Sweden)

    Sung Jun Kim

    2017-01-01

    Full Text Available This model extends a two-echelon supply chain model by considering the trade-credit policy, transportations discount to make a coordination mechanism between transportation discounts, trade-credit financing, number of shipments, quality improvement of products, and reduced setup cost in such a way that the total cost of the whole system can be reduced, where the supplier offers trade-credit-period to the buyer. For buyer, the backorder rate is considered as variable. There are two investments to reduce setup cost and to improve quality of products. The model assumes lead time-dependent backorder rate, where the lead time is stochastic in nature. By using the trade-credit policy, the model gives how the credit-period would be determined to achieve the win-win outcome. An iterative algorithm is designed to obtain the global optimum results. Numerical example and sensitivity analysis are given to illustrate the model.

  13. 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.

  14. 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

  15. 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...

  16. 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

  17. 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.

  18. 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…

  19. Prediction of future credit rating using a non-Markovian model

    Science.gov (United States)

    Peng, Gan Chew; Hin, Pooi Ah; Haur, Ng Kok

    2017-04-01

    The matrix of transition probabilities between rating classes is a popular approach for predicting the future credit rating. This paper instead attempts to predict the future credit rating using a non-Markovian model. The prediction is done via the probability of the future credit rating given the ratings in the present and previous quarters. The estimation of the conditional probability of future credit rating is carried out by means of simulation after fitting the data with a multivariate power-normal distribution. The results based on the quarterly credit ratings of ten companies over 15 years taken from the database of the Taiwan Economic Journal indicate the need of extending the Markovian model to the non-Markovian model.

  20. 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.  

  1. THE MANAGEMENT OF CREDIT RISK ACCORDING TO INTERNAL RATINGS- BASED APPROACH

    Directory of Open Access Journals (Sweden)

    BOLOCAN DRAGOS-MIHAIL

    2010-12-01

    Full Text Available The internal ratings based approach (IRB Approach was created as part of Basel II replacing the original Basle Accord of 1988 (Basle I in an effort to create a better framework for regulating bank capital. This paper covers the methodology and components of the IRB Approach used to determine capital requirements for credit risk. Such an approach, which relies heavily upon a banks internal assessment of its counterparties and exposures, can secure two key objectives consistent with those which support the wider review of The New Basel Capital Accord.. IRB approach should promote safety and soundness in the financial system and, consistent with providing incentive compatibility, that the structure and requirements of the IRB approach do not impinge upon or undermine banks well-established lending and credit risk management practices

  2. Islamic Credit Risk Analysis Case Of Sudanese Banking Sector 2006-2014

    Directory of Open Access Journals (Sweden)

    Mohammed A. SirElkhatim

    2017-06-01

    Full Text Available Islamic banking system has been expanding so quickly over the past few years. Moreover it has been developing significantly around the non-Muslim territories including Middle Eastern countries Southeast Asian countries and European countries and even in North American countries. The existing of Islamic banks is to attract the customers who seek to avoid interest. The prediction of corporate bankruptcies is an Important and widely studied topic since it can have significant impact on bank lending decisions and profitability the ultimate purpose of credit risk management is to ensure that credit fund is of safety profitability and fluidity. At present it is extremely important of commercial banks to set up an early bank risk warning system.

  3. Evaluation of creditability and risk minimisation : The effect of accounting for intangibles

    OpenAIRE

    Lukiyanov, Artem

    2005-01-01

    The recent history knows numerous examples of creditor’s inability to evaluate financial solvency of the client correctly. Creditors’ risks do not only concern individual relations between the two parties but the economy in general. The standard loan-giving procedure considers evaluation based on a number of financial ratios. Using the standard method a company that in reality is creditable may sometimes be counted as insolvent by the bank – due to the structure of the balance sheet, for inst...

  4. 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.

  5. 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.

  6. An Application of Robust Method in Multiple Linear Regression Model toward Credit Card Debt

    Science.gov (United States)

    Amira Azmi, Nur; Saifullah Rusiman, Mohd; Khalid, Kamil; Roslan, Rozaini; Sufahani, Suliadi; Mohamad, Mahathir; Salleh, Rohayu Mohd; Hamzah, Nur Shamsidah Amir

    2018-04-01

    Credit card is a convenient alternative replaced cash or cheque, and it is essential component for electronic and internet commerce. In this study, the researchers attempt to determine the relationship and significance variables between credit card debt and demographic variables such as age, household income, education level, years with current employer, years at current address, debt to income ratio and other debt. The provided data covers 850 customers information. There are three methods that applied to the credit card debt data which are multiple linear regression (MLR) models, MLR models with least quartile difference (LQD) method and MLR models with mean absolute deviation method. After comparing among three methods, it is found that MLR model with LQD method became the best model with the lowest value of mean square error (MSE). According to the final model, it shows that the years with current employer, years at current address, household income in thousands and debt to income ratio are positively associated with the amount of credit debt. Meanwhile variables for age, level of education and other debt are negatively associated with amount of credit debt. This study may serve as a reference for the bank company by using robust methods, so that they could better understand their options and choice that is best aligned with their goals for inference regarding to the credit card debt.

  7. Massachusetts reform plus President Bush's tax credits: a national model?

    Science.gov (United States)

    Etheredge, Lynn M

    2006-01-01

    The Massachusetts health reform offers an important opportunity for a new federal-state strategy to cover the uninsured. President George Bush's proposed health insurance tax credits could be added to the Massachusetts health reform. The combined plan would include Medicaid expansions; offer workers affordable coverage through competitive insurance markets; and provide federal, state, employer, and individual financing. Many other states might be interested in similar federal-state partnerships for the forty-five million uninsured Americans. Ending the national impasse on coverage needs this kind of bold initiative.

  8. 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.

  9. A perceptual survey of the S and P Purchased Power Credit Risk Policy

    International Nuclear Information System (INIS)

    Rittenhouse, L.J.

    1992-01-01

    In November 1991, Standard and Poor's commissioned UtiliVentures Inc. to conduct a survey among experts in the purchased power industry in order to determine their views on its recently released Purchased power Credit Risk Policy and their general views on purchased power. Respondents for the survey were drawn from attendees to the S and P - sponsored seminars on Emerging Issues for Independent Power held in October 1991 in New York, Los Angeles and San Francisco. The seminars examined the rationale behind the new Purchased Power Credit Policy and how the policy is to be implemented. While the survey is not a scientifically drawn sample, it includes respondents from all key industry groups and is, the author believes, representative of the attendees. The survey findings make generalizations about industry practices which are based on the perceptions of these individuals. It thus identifies perceptual realities: what people believe about the issues underlying the buy vs. build debate, not what others in the industry are saying they should believe. This distinction is vital, because it is the beliefs of these individuals that will shape the evolving purchased power industry. The survey was designed to accomplish three principal goals: (1) To develop systematically a base of information about what people think of the risks and opportunities in the purchased power industry and to determine the extent to which the S and P purchased Power Credit Policy incorporates these views. (2) To identify whether and to what extent respondents value the S and P Policy and how they think it might affect the industry. (3) To use the survey findings to adjust and fine tune the S and P Policy and to develop new ways and improve existing ways to educate and inform the industry about what the Policy intends to accomplish

  10. 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.

  11. 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

  12. The Multi-state Latent Factor Intensity Model for Credit Rating Transitions

    NARCIS (Netherlands)

    Koopman, S.J.; Lucas, A.; Monteiro, A.

    2008-01-01

    A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of the

  13. Some hints on individual lending and different factors affecting the credit activity risks

    Directory of Open Access Journals (Sweden)

    Luminiţa CERNENCO

    2016-12-01

    Full Text Available The bank crediting responds to some economical necesities with objective feature ( the stimulation of the production , the stimulation of the competition , the correlation of the needs of the capital with the posibilities of the formation of this . We can say that the humanity lives through credit , because the credit expands through the relationships with the external partners , in the most complexe domains of activity . The increase of the credit portofolio was characteristic of the activity developed of all sections of customers , both the credits given to individual or to companies . This evolution was determined of actions sustained by the selling and promotion of the new credit products .

  14. Banks’ internal controls and risk management: Value-added functions in Italian credit cooperative banks

    Directory of Open Access Journals (Sweden)

    Rosaria Cerrone

    2013-12-01

    Full Text Available A critical component of safe and sound bank management is constituted by an effective and efficient system of internal controls, which help to ensure that the goals and objectives of a bank will be met, that long-term profitability targets will be achieved, and maintain reliable financial and managerial reporting. Such a system can also ensure that the bank will comply with laws and regulations as well as policies, plans, internal rules and procedures, and decrease the risk of unexpected losses or damage to the bank’s reputation. The paper describes the essential elements of a sound internal control system and through a qualitative approach, it shows how is tied to the rules attaining capital requirements and, above all, to the purpose of the Internal Capital Adequacy Assessment Process (ICAAP which aims at determining the adequate capitalisation of a bank given the risks endured as well as future risks arising from growth, and new business lines. After the recent financial crisis ICAAP is becoming more and more relevant and a central component of an effective strategy for managing risk and creating value. All principles and considerations are referred to Italian Credit Cooperative Banks particular both for dimension and for governance and risk management. They have been contacted though local federations and the results confirm the existing of weakness in internal controls.

  15. 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

  16. An isotonic partial credit model for ordering subjects on the basis of their sum scores

    NARCIS (Netherlands)

    Ligtvoet, R.

    2012-01-01

    In practice, the sum of the item scores is often used as a basis for comparing subjects. For items that have more than two ordered score categories, only the partial credit model (PCM) and special cases of this model imply that the subjects are stochastically ordered on the common latent variable.

  17. A relative risk comparison of criticality control strategies based on fresh fuel and burnup credit design bases

    International Nuclear Information System (INIS)

    Sanders, T.L.

    1989-01-01

    The fresh fuel design basis provides some margin of safety, i.e., criticality safety is almost independent of loading operations if fuel designs do not change significantly over the next 40 years. However, the design basis enrichment for future nuclear fuel will most likely vary with time. As a result, it cannot be guaranteed that the perceived passivity of the concept will be maintained over the life cycle of a future cask system. Several options are available to ensure that the reliability of a burnup credit system is comparable to or greater than that of a system based on a fresh fuel assumption. Criticality safety and control reliability could increase with burnup credit implementation. The safety of a burnup credit system could be comparable to that for a system based on the fresh fuel assumption. A burnup credit philosophy could be implemented without any cost-benefit tradeoff. A burnup credit design basis could result in a significant reduction in total system risk as well as economic benefits. These reductions occur primarily as a result of increased cask capacities and, thus, fewer shipments. Fewer shipments also result in fewer operations over the useful life of a cask, and opportunities for error decrease. The system concept can be designed such that only benefits occur. These benefits could include enhanced criticality safety and the overall reliability of cask operations, as well as system risk and economic benefits. Thus, burnup credit should be available as an alternative for the criticality design of spent fuel shipping casks

  18. Development of methodological tools for assessing enterprise credit worthiness taking into account off-balance sheet risks

    Directory of Open Access Journals (Sweden)

    N.G. Vygovska

    2017-12-01

    Full Text Available The article is devoted to the improvement of methodical tools for assessing the credit worthiness of enterprises’ legal entities taking into account the impact of off-balance-sheet risks on the definite integral class of a debtor-borrower. The authors substantiate that the non-accounting of off-balance sheet commitments in assessing the borrower’s credit worthiness leads to false managerial decisions on granting a loan and increasing the level of credit risk of the bank. The purpose of the article is to study the questions of methodical tools for assessing the credit worthiness of economic entities and develop directions for improving its analytical support taking into account the impact of off-balance-sheet risks. The object of the research is the analytical support for assessing the credit worthiness of a borrower-legal entity taking into account off-balance-sheet risks. The authors put forward and proved the hypothesis that, acting as the guarantor or principal of another enterprise, the assessment of the borrower's credit worthiness undergoes significant changes. The coefficient analysis of the methodological provision for assessing the borrower's credit rating by the current method number 351 is carried out, as a result of which the influence on the integral index and the debtor class is proved. When determining the reliability class of the borrower, the most affected are solvency ratios (especially for short-term loans and financial sustainability (for long-term loans to the borrower. The current methodology for defining these indicators does not take into account the effect of off-balance sheet risks, which is due to the use of financial reporting data, which does not include data on off-balance sheet instruments. The methodological support of credit-worthiness analysis is proposed, taking into account the impact of off-balance sheet risks on it. The prospects for further research should be formulated in the direction of improving the

  19. 12 CFR 567.6 - Risk-based capital credit risk-weight categories.

    Science.gov (United States)

    2010-01-01

    ... collateral listed in paragraph (a)(1) of this section, provided that the maximum risk weight assigned to the... transaction is assigned to the risk weight appropriate to the obligor or collateral that is delivered to the... associated guarantees or collateral. Paragraph (a)(1) of this section lists the risk-weight categories. (2...

  20. Credit Spreads Across the Business Cycle

    DEFF Research Database (Denmark)

    Nielsen, Mads Stenbo

    that accounts for both business cycle and jump risk, and show by estimation that the model captures the counter-cyclical level and pro-cyclical slope of empirical credit spread curves. In addition, I provide a new procedure for estimation of idiosyncratic jump risk, which is consistent with observed shocks......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....

  1. 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 accounts for both business cycle and jump risk, and show by estimation that the model captures the counter-cyclical level and pro-cyclical slope of empirical credit spread curves. In addition, I provide a new procedure for estimation of idiosyncratic jump risk, which is consistent with observed shocks...

  2. 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.

  3. The Effect of Credit Risk and Capital Adequacy on the Profitability of Rural Banks in the Philippines

    Directory of Open Access Journals (Sweden)

    Mendoza Rufo

    2017-03-01

    Full Text Available This paper examines the credit risk and capital adequacy of the 567 rural banks in the Philippines to investigate how both variables affect bank profitability. Using the Arellano-Bond estimator, we found out that credit risk has a negative and statistically significant relationship with profitability. However, empirical analysis showed that capital adequacy has no significant impact on the profitability of rural banks in the Philippines. It is therefore necessary for the rural banks to examine more deeply if capital infusion would result in higher profitability than increasing debts. The study also implies that it is imperative for the banks to understand which risk factors have greater impact on their financial performance and use better risk-adjusted performance measurement to support their strategies. Rural banks should establish credit risk management that defines the process from initiation to approval of loans, taking into consideration the sound credit risk management practices issued by regulatory bodies. Moreover, rural banks need to enhance internal control measures to ensure the strict implementation of internal processes on lending operations.

  4. 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

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

    NARCIS (Netherlands)

    Bongaerts, D.; de Jong, F.C.J.M.; Driessen, J.J.A.G.

    2011-01-01

    We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short-selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short-sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of

  6. 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.

  7. 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…

  8. 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

  9. Factors Influencing the Decision to Participate in Micro-credit ...

    African Journals Online (AJOL)

    ... individuals' decision to participate in micro-credit schemes. The study concludes that households will join credit programmes if there is the potential to increase gains from their farm enterprises. Keywords: Micro-credit, Households, Northern Ghana, Logit model, Risk Aversion Ghana Journal of Development Studies Vol.

  10. 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…

  11. Trade-credit modeling for deteriorating item inventory system with ...

    Indian Academy of Sciences (India)

    Dipana Jyoti Mohanty

    2018-03-23

    Mar 23, 2018 ... inventory/supply chain management. Multifariousness of deterministic demand such as uniform, linear, time dependent and ramp-type has been modeled by many authors ([2, 3]). Hill [1] first considered ramp-type demand into an inventory problem and derived an EOQ formula. After that many authors have ...

  12. 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

  13. 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

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

    OpenAIRE

    Zenzerović, Robert

    2011-01-01

    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 rel...

  15. Effect of Macroeconomic Factors on Credit Risk of Banks in Developed and Developing Countries: Dynamic Panel Method

    OpenAIRE

    Ghyasi, Azar

    2016-01-01

    Globalization phenomenon provided a suitable environment with new opportunities for investment in various countries. In this way, the issue of credit risk of countries and rankings of international ranking institutions has become more important. Owing to the fact that using values and numbers and quantization of the measured variables in evaluation of the risk of countries is considered as an appropriate tool for analysis of the economic status of each country. In this paper, it is tried to e...

  16. 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.

  17. Econometric analyses of microfinance credit group formation, contractual risks and welfare impacts in Northern Ethiopia

    NARCIS (Netherlands)

    Berhane Tesfay, G.

    2009-01-01

    Key words
    Microfinance, joint liability, contractual risk, group formation, risk-matching, impact evaluation, Panel data econometrics, dynamic panel probit, trend models, fixed-effects, composite counterfactuals, propensity score matching, farm households, Ethiopia.

    Lack of

  18. 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.

  19. 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.

  20. On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate

    Directory of Open Access Journals (Sweden)

    Jin Liang

    2017-10-01

    Full Text Available In this paper we study a corporate bond-pricing model with credit rating migration and astochastic interest rate. The volatility of bond price in the model strongly depends on potential creditrating migration and stochastic change of the interest rate. This new model improves the previousexisting models in which the interest rate is considered to be a constant. The existence, uniquenessand regularity of the solution for the model are established. Moreover, some properties includingthe smoothness of the free boundary are obtained. Furthermore, some numerical computations arepresented to illustrate the theoretical results.

  1. 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

  2. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

    OpenAIRE

    Pesaran, Hashem; Xu, TengTeng

    2011-01-01

    This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology shocks, possibly leading to default by some firms. The paper advances a new modelling approach for the analysis of financial intermediation and firm defaults that takes account of the financial implica...

  3. 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.

  4. Empty creditors and strong shareholders: The real effects of credit risk trading. Second draft

    OpenAIRE

    Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca

    2016-01-01

    Credit derivatives give creditors the possibility to transfer debt cash flow rights to other market participants while retaining control rights. We use the market for credit default swaps (CDSs) as a laboratory to show that the real effects of such debt unbundling crucially hinge on shareholder bargaining power. We find that creditors buy more CDS protection when facing strong shareholders to secure themselves a valuable outside option in distressed renegotiations. After the start of CDS trad...

  5. Housing and Macroeconomy: The Role of Credit Channel, Risk -, Demand - and Monetary Shocks

    OpenAIRE

    Dorofeenko, Victor; Lee, Gabriel; Salyer, Kevin; Strobel, Johannes

    2016-01-01

    This paper demonstrates that risk (uncertainty) along with the monetary (interest rates) shocks to the housing production sector are a quantitatively important impulse mechanism for the business and housing cycles. Our model framework is that of the housing supply/banking sector model as developed in Dorofeenko, Lee, and Salyer (2014) with the model of housing demand presented in Iacoviello and Neri (2010). We examine how the factors of production uncertainty,financial intermediation, and ...

  6. 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.

  7. Bayesian operational risk models

    OpenAIRE

    Silvia Figini; Lijun Gao; Paolo Giudici

    2013-01-01

    Operational risk is hard to quantify, for the presence of heavy tailed loss distributions. Extreme value distributions, used in this context, are very sensitive to the data, and this is a problem in the presence of rare loss data. Self risk assessment questionnaires, if properly modelled, may provide the missing piece of information that is necessary to adequately estimate op- erational risks. In this paper we propose to embody self risk assessment data into suitable prior distributions, and ...

  8. Credit Risk and Financial Performance Assessment of Illinois Farmers: A Comparison of Approaches with Farm Accounting Data

    OpenAIRE

    Zhang, Tianwei; Ellinger, Paul N.

    2006-01-01

    Pro forma financial performance evaluation of agricultural producers is an important issue for lenders, internal management and policy makers. Lenders strive to improve their credit risk management. Internal management is interested in understanding the financial impacts of alternative strategic decisions. And policy makers often assess the magnitude and distributional effects of alternative policies on the future financial performance of farm business. Data limitations are a major impediment...

  9. 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.

  10. O modelo kmv e sua utilidade no processo de análise do risco de crédito El modelo kmv y su utilidad en el proceso de análisis de riesgo de crédito Kmv model use for credit risk analysis

    Directory of Open Access Journals (Sweden)

    José Odálio dos Santos

    2009-06-01

    interpretación de los resultados del Modelo KMV, a partir de la estimativa de la probabilidad de insolvencia y de la cartografía entre el punto de default y cuanto distante la empresa se presenta de este referencial.This article analyzed the theoretical foundations of a method for calculation of credit risk, the KMV Model. Evaluation of credit risk is used to measure probability of default when a company no longer has the ability or willingness to meet a contractual commitment. This Model highlights the contribution of information on asset prices available in the market, to measure this probability. The company is evaluated as an option represented by the assets at market value, which may be delivered to creditors whenever market value of the debt exceeds the expectations of cash generation. The concept, calculation and relation with an efficient market were presented. KMV model results were interpreted based upon an estimate of the probability of insolvency and the relation between the point of default and the company position in relation to that reference.

  11. Rare disasters, credit, and option market puzzles

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Du, Du; Elkamhi, Redouane

    2017-01-01

    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...... spreads. The model also matches high-yield and collaterized debt obligation tranche spreads, equity market moments, and index option skewness. Finally, our model implies a time-varying relationship between bond and option prices that depends on the state of the economy and that explains the conflicting...

  12. 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

  13. 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.

  14. 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

    ... Exchange Act of 1934 Rules Relating to Over-The-Counter Markets § 240.15c3-1f Optional market and credit... factor indicated in Table 1 of this Appendix F in determining its capital charge for market risk until it... must use risk factors sufficient to measure the market risk inherent in all covered positions. The risk...

  15. 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.

  16. Credit-proofing fundamentals for a solid credit policy

    International Nuclear Information System (INIS)

    Lydiatt, I.

    2003-01-01

    This Power Point presentation presented the basics of a credit policy with reference to corporate objectives, governance, credit definitions, subjective/objective elements, quantification of full risk, management, monitoring, reporting and gate-keeping processes. Options for a credit policy were described as being approval authority grids, confidentiality issues, credit scoring, corporate risk levels, follow-up collection calling, and procedures on unapproved exposures. Recommendations for setting risk and credit limits were also presented with a note emphasizing that in the past 6 months credit evaluation processes have had to deal with the media risk, a new risk that has not been seen before. This risk can be addressed by careful monitoring of stock prices. The paper also presented recommendations for what to look for as indicators and how to deal with risk in volatile price periods. Credit tools for volatile times were described. 1 tab

  17. 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

  18. 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.

  19. Network Effects in Risk Sharing and Credit Market Access: Evidence from Istanbul

    OpenAIRE

    Fikret Adaman; Oya Pinar Ardic; Didem Tuzemen

    2006-01-01

    It is a truism that households in developing countries that face idiosyncratic income/expenditure shocks may face difficulties in smoothing consumption through formal credit institutions, and hence rely, at least partially, on informal ties. While this issue has been explored extensively in the literature for rural areas, the picture reflecting the urban setting remains relatively uninvestigated. This paper aims to fill this gap by presenting an exclusively designed survey implemented i...

  20. Empty creditors and strong shareholders: The real effects of credit risk trading

    OpenAIRE

    Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca

    2017-01-01

    Credit derivatives allow creditors to transfer debt cash flow rights to other market participants while retaining control rights. Theory predicts that this transfer can create empty creditors that do not fully internalize liquidation costs and liquidate borrowers excessively often. This empty creditor problem is concentrated in firms whose creditors would face powerful shareholders in distressed debt renegotiations. Consistent with this prediction, we show that (1) creditors buy more CDS prot...

  1. 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.

  2. 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.

  3. A risk evaluation model and its application in online retailing trustfulness

    Science.gov (United States)

    Ye, Ruyi; Xu, Yingcheng

    2017-08-01

    Building a general model for risks evaluation in advance could improve the convenience, normality and comparability of the results of repeating risks evaluation in the case that the repeating risks evaluating are in the same area and for a similar purpose. One of the most convenient and common risks evaluation models is an index system including of several index, according weights and crediting method. One method to build a risk evaluation index system that guarantees the proportional relationship between the resulting credit and the expected risk loss is proposed and an application example is provided in online retailing in this article.

  4. Nanotechnologies: Risk assessment model

    Science.gov (United States)

    Giacobbe, F.; Monica, L.; Geraci, D.

    2009-05-01

    The development and use of nanomaterials has grown widely in the last years. Hence, it is necessary to carry out a careful and aimed risk assessment for the safety of the workers. The objective of this research is a specific assessment model finalized to the workplaces where the personnel work manipulating nanoparticles. This model mainly takes into account the number of exposed workers, the dimensions of particles, the information found in the safety data sheets and the uncertainties about the danger level coming from the exposition to nanomaterials. The evaluation algorithm considers the normal work conditions, the abnormal (e.g. breakdown air filter) and emergency situations (e.g. package cracking). It has been necessary to define several risk conditions in order to quantify the risk by increasing levels ("low", "middle" and "high" level). Each level includes appropriate behavioural procedures. In particular for the high level, it is advisable that the user carries out urgent interventions finalized to reduce the risk level (e.g. the utilization of vacuum box for the manipulation, high efficiency protection PPE, etc). The model has been implemented in a research laboratory where titanium dioxide and carbon nanotubes are used. The outcomes taken out from such specific evaluation gave a risk level equal to middle.

  5. Nanotechnologies: Risk assessment model

    International Nuclear Information System (INIS)

    Giacobbe, F; Monica, L; Geraci, D

    2009-01-01

    The development and use of nanomaterials has grown widely in the last years. Hence, it is necessary to carry out a careful and aimed risk assessment for the safety of the workers. The objective of this research is a specific assessment model finalized to the workplaces where the personnel work manipulating nanoparticles. This model mainly takes into account the number of exposed workers, the dimensions of particles, the information found in the safety data sheets and the uncertainties about the danger level coming from the exposition to nanomaterials. The evaluation algorithm considers the normal work conditions, the abnormal (e.g. breakdown air filter) and emergency situations (e.g. package cracking). It has been necessary to define several risk conditions in order to quantify the risk by increasing levels ('low', 'middle' and 'high' level). Each level includes appropriate behavioural procedures. In particular for the high level, it is advisable that the user carries out urgent interventions finalized to reduce the risk level (e.g. the utilization of vacuum box for the manipulation, high efficiency protection PPE, etc). The model has been implemented in a research laboratory where titanium dioxide and carbon nanotubes are used. The outcomes taken out from such specific evaluation gave a risk level equal to middle.

  6. 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

  7. Modeling the Trend of Credit Card Usage Behavior for Different Age Groups Based on Singular Spectrum Analysis

    Directory of Open Access Journals (Sweden)

    Wei Nai

    2018-01-01

    Full Text Available Credit card holders from different age groups have different usage behaviors, so deeply investigating the credit card usage condition and properly modeling the usage trend of all customers in different age groups from time series data is meaningful for financial institutions as well as banks. Until now, related research in trend analysis of credit card usage has mostly been focused on specific group of people, such as the behavioral tendencies of the elderly or college students, or certain behaviors, such as the increasing number of cards owned and the rise in personal card debt or bankruptcy, in which the only analysis methods employed are simply enumerating or classifying raw data; thus, there is a lack of support in specific mathematical models based on usage behavioral time series data. Considering that few systematic modeling methods have been introduced, in this paper, a novel usage trend analysis method for credit card holders in different age groups based on singular spectrum analysis (SSA has been proposed, using the time series data from the Survey of Consumer Payment Choice (SCPC. The decomposition and reconstruction process in the method is proposed. The results show that the credit card usage frequency falls down from the age of 26 to the lowest point at around the age of 58 and then begins to increase again. At last, future work is discussed.

  8. 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...

  9. Methodology of Credit Analysis Development

    Directory of Open Access Journals (Sweden)

    Slađana Neogradi

    2017-12-01

    Full Text Available The subject of research presented in this paper refers to the definition of methodology for the development of credit analysis in companies and its application in lending operations in the Republic of Serbia. With the developing credit market, there is a growing need for a well-developed risk and loss prevention system. In the introduction the process of bank analysis of the loan applicant is presented in order to minimize and manage the credit risk. By examining the subject matter, the process of processing the credit application is described, the procedure of analyzing the financial statements in order to get an insight into the borrower's creditworthiness. In the second part of the paper, the theoretical and methodological framework is presented applied in the concrete company. In the third part, models are presented which banks should use to protect against exposure to risks, i.e. their goal is to reduce losses on loan operations in our country, as well as to adjust to market conditions in an optimal way.

  10. Introduction of Credit Derivatives and Valuation of Credit Default Swap

    OpenAIRE

    Han, Lu

    2006-01-01

    The credit derivative market was established at the beginning of the 1990s since the emergence of credit derivatives fits the rapid development of the whole derivatives market. However, compare to other derivative market, this market is still small and incomplete. As with other derivatives, credit derivatives can be used to either take more risk or hedge it, hence various credit derivatives instruments are accepted and widely used by market participants such as banks, insurance companies, etc...

  11. 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

    ... risk, if applicable, and deductions for credit risk; a description of the creation, use, and... of the process for measuring correlations; a description of the backtesting procedures the broker or... maintain procedures for the detection and prevention of money laundering and terrorist financing; (E...

  12. 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.

  13. 76 FR 79531 - Corporate Credit Unions

    Science.gov (United States)

    2011-12-22

    ... exclude CLF stock subscriptions, based on the asset's negligible credit risk and to facilitate corporate... removing paragraphs (c)(3) and (f)(4) and adding paragraph (h) to read as follows: Sec. 704.6 Credit risk... NATIONAL CREDIT UNION ADMINISTRATION 12 CFR Part 704 RIN 3133-AD95 Corporate Credit Unions AGENCY...

  14. At-Risk High School Students Recovering Course Credits Online: What We Know and Need to Know

    Science.gov (United States)

    Viano, Samantha L.

    2018-01-01

    The majority of American high school students enrolling in online education are doing so in credit recovery courses. These are online courses specifically for students who previously failed a face-to-face version of the course. Despite the popularity of credit recovery courses, the literature on online learning largely ignores credit recovery…

  15. An Inverse Problem Study: Credit Risk Ratings as a Determinant of Corporate Governance and Capital Structure in Emerging Markets: Evidence from Chinese Listed Companies

    Directory of Open Access Journals (Sweden)

    ManYing Kang

    2017-11-01

    Full Text Available Credit risk rating is shown to be a relevant determinant in order to estimate good corporate governance and to self-optimize capital structure. The conclusion is argued from a study on a selected (and justified sample of (182 companies listed on the Shanghai Stock Exchange (SHSE and the Shenzhen Stock Exchange (SZSE and which use the same Shanghai Brilliance Credit Rating & Investors Service Company (SBCR assessment criteria, for their credit ratings, from 2010 to 2015. Practically, 3 debt ratios are examined in terms of 11 characteristic variables. Moreover, any relationship between credit rating and corporate governance can be thought to be an interesting finding. The relationship we find between credit rating and leverage is not as evident as that found by other researchers for different countries; it is significantly positively related to the outside director, firm size, tangible assets and firm age, and CEO and chairman office plurality. However, leverage is found to be negatively correlated with board size, profitability, growth opportunity, and non-debt tax shield. Credit rating is positively associated with leverage, but in a less significant way. CEO-Board chairship duality is insignificantly related to leverage. The non-debt tax shield is significantly correlated with leverage. The correlation coefficient between CEO duality and auditor is positive but weakly significant, but seems not consistent with expectations. Finally, profitability cause could be regarded as an interesting finding. Indeed, there is an inverse correlation between profitability and total debt (Notice that the result supports the pecking order theory. In conclusion, it appears that credit rating has less effect on the so listed large Chinese companies than in other countries. Nevertheless, the perspective of assessing credit risk rating by relevant agencies is indubitably a recommended time dependent leverage determinant.

  16. Optimizing Support Vector Machine Parameters with Genetic Algorithm for Credit Risk Assessment

    Science.gov (United States)

    Manurung, Jonson; Mawengkang, Herman; Zamzami, Elviawaty

    2017-12-01

    Support vector machine (SVM) is a popular classification method known to have strong generalization capabilities. SVM can solve the problem of classification and linear regression or nonlinear kernel which can be a learning algorithm for the ability of classification and regression. However, SVM also has a weakness that is difficult to determine the optimal parameter value. SVM calculates the best linear separator on the input feature space according to the training data. To classify data which are non-linearly separable, SVM uses kernel tricks to transform the data into a linearly separable data on a higher dimension feature space. The kernel trick using various kinds of kernel functions, such as : linear kernel, polynomial, radial base function (RBF) and sigmoid. Each function has parameters which affect the accuracy of SVM classification. To solve the problem genetic algorithms are proposed to be applied as the optimal parameter value search algorithm thus increasing the best classification accuracy on SVM. Data taken from UCI repository of machine learning database: Australian Credit Approval. The results show that the combination of SVM and genetic algorithms is effective in improving classification accuracy. Genetic algorithms has been shown to be effective in systematically finding optimal kernel parameters for SVM, instead of randomly selected kernel parameters. The best accuracy for data has been upgraded from kernel Linear: 85.12%, polynomial: 81.76%, RBF: 77.22% Sigmoid: 78.70%. However, for bigger data sizes, this method is not practical because it takes a lot of time.

  17. 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…

  18. Corporate ownership as a means to solve adverse selection problems in a model of asymmetric information and credit rationing

    NARCIS (Netherlands)

    Gangopadhyay, Shubashis; Lensink, Robert

    2001-01-01

    This paper analyzes an asymmetric information model where the financing needs of entrepreneurs are obtained from two sources. We show that adverse selection is only important if the credit constraint of banks is not too tight. Next, we show that banks can induce a pattern of corporate ownership,

  19. 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....

  20. Trust and Credit

    DEFF Research Database (Denmark)

    Harste, Gorm

    The present paper is an answer to the question, how did trust and credit emerge. The systems of trust and credit reduce the environmental and contextual complexities in which trust and credit are embedded. The paper analyses the forms of this reduction in a number of stages in the evolution...... of history from the present risk of modern systems back to early modernity, the Reformation and the high medieval Revolutions in law, organization and theology. It is not a history of economics, but a history of the conditions of some communication codes used in economic systems....

  1. Credit default swap (CDS) ındexes and their usage in risk management by Turkish banks

    OpenAIRE

    Cafrı, Sinan

    2008-01-01

    115 pages Avrupa ve Amerika'da finansal işletmelerin ve bankaların risk yönetiminde Kredi Temerrüt Swap endekslerini her geçen gün artarak kullanmaları, bu endekslerin risk yönetiminde verimli bir araç olduğuna işaret etmektedir. Bu çalışmanın amacı, Kredi Temerrüt Swap endekslerinin risk yönetiminde kullanımını analiz edip bu endekslerin Türkiye'deki kullanım olasılıklarını değerlendirmektir. Dolayısıyla, ilk aşamada Kredi Temerrüt Swaplarının ve Kredi Temerrüt Swap endekslerinin genel bi...

  2. 77 FR 74103 - Alternatives to the Use of Credit Ratings

    Science.gov (United States)

    2012-12-13

    ... list would effectively transfer credit union risk management to NCUA. Credit union boards and... transactions based on their credit unions' unique risk preferences, portfolio objectives, and balance sheet... to, credit risk. Market credit spreads for various asset classes experience variability depending on...

  3. The Dif Identification in Constructed Response Items Using Partial Credit Model

    Directory of Open Access Journals (Sweden)

    Heri Retnawati

    2017-10-01

    Full Text Available The study was to identify the load, the type and the significance of differential item functioning (DIF in constructed response item using the partial credit model (PCM. The data in the study were the students’ instruments and the students’ responses toward the PISA-like test items that had been completed by 386 ninth grade students and 460 tenth grade students who had been about 15 years old in the Province of Yogyakarta Special Region in Indonesia. The analysis toward the item characteristics through the student categorization based on their class was conducted toward the PCM using CONQUEST software. Furthermore, by applying these items characteristics, the researcher draw the category response function (CRF graphic in order to identify whether the type of DIF content had been in uniform or non-uniform. The significance of DIF was identified by comparing the discrepancy between the difficulty level parameter and the error in the CONQUEST output results. The results of the analysis showed that from 18 items that had been analyzed there were 4 items which had not been identified load DIF, there were 5 items that had been identified containing DIF but not statistically significant and there were 9 items that had been identified containing DIF significantly. The causes of items containing DIF were discussed.

  4. 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.

  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. 49 CFR 260.13 - Credit reform.

    Science.gov (United States)

    2010-10-01

    ... appropriations, direct payment of a Credit Risk Premium by the Applicant or a non-Federal infrastructure partner... 49 Transportation 4 2010-10-01 2010-10-01 false Credit reform. 260.13 Section 260.13... REHABILITATION AND IMPROVEMENT FINANCING PROGRAM Overview § 260.13 Credit reform. The Federal Credit Reform Act...

  7. Financing agribusiness: Insurance coverage as protection against credit risk of warehouse receipt collateral

    Directory of Open Access Journals (Sweden)

    Jovičić Daliborka

    2017-01-01

    Full Text Available Financing agribusiness by warehouse receipts allows the agricultural producers to obtain working capital on the basis of agricultural products stored in licensed warehouses, as collateral. The implementation of the system of licensed warehouses and issuance of warehouse receipts as collateral for obtaining a bank loan is supported by the European Bank for Reconstruction and Development and it has had positive results in the neighbouring countries. The precondition for financing this project was to establish a Compensation Fund for providing insurance coverage for licensed warehouses against professional liability. However, in the lack of an adequate legal framework, the operational risk is possible to occur. Bearing in mind that Serbia has a tradition in insurance industry and a number of operating insurance companies, the issue is that of the economic benefit and the method of insuring against this risk. The paper will present a detailed analysis of the operation of the Fund, capital requirement, solvency margin and a critical review of the Law on Public Warehouses which regulates the rights and obligations of the Compensation Fund in the case of loss occurrence.

  8. Modeling the operational risk in Iranian commercial banks: case study of a private bank

    Science.gov (United States)

    Momen, Omid; Kimiagari, Alimohammad; Noorbakhsh, Eaman

    2012-08-01

    The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and then, some solutions are recommended. Moreover, all steps of operational risk measurement based on Loss Distribution Approach with Iran's specific modifications are presented. We employed the approach of this study to model the operational risk of an Iranian private bank. The results are quite reasonable, comparing the scale of bank and other risk categories.

  9. 76 FR 54991 - Corporate Credit Unions

    Science.gov (United States)

    2011-09-06

    ... believes the credit risk of carrying this asset is negligible and warrants such treatment, as CLF stock is... credit union excludes the consolidated assets of such programs from risk-weighted assets pursuant to... paragraphs (c)(3) and (f)(4) and adding new p(h) to read as follows: Sec. 704.6 Credit risk management...

  10. 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.

  11. 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…

  12. 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…

  13. Effect 0f Credit Risk Management Techniques 0n The Performance 0f Unsecured Bank Loans Employed Commercial Banks In Kenya

    Directory of Open Access Journals (Sweden)

    Prof. R.W Gakure

    2013-07-01

    Full Text Available Financial risk in a banking organization is possibility that the outcome of an action or event could bring up adverse impacts. Such outcomes could either result in a direct loss of earnings / capital or may result in imposition of constraints on bank’s ability to meet its business objectives. The purpose of this study was to investigate the effect of credit risk management techniques on the performance of unsecured bank loans by commercial banks in Kenya.

  14. 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.

  15. Model Risk in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    David Stefanovits

    2014-08-01

    Full Text Available We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture model. This model allows for heavy tails, tail dependence and leptokurtosis of marginals. The results show that mean-variance optimization is seriously compromised by model uncertainty, in particular, for non-Gaussian data and small sample sizes. To mitigate these shortcomings, we propose a method to adjust the sample covariance matrix in order to reduce model risk.

  16. Effects of trust fund model credit intervention on welfare of farmers ...

    African Journals Online (AJOL)

    ... recommended that the administrative bottlenecks associated with fund release and processing of interest drawback be addressed. Also, amount loanable should be increased, while condition of collateral counterpart funding be relaxed. Keywords: Agricultural credit, Per capital expenditure, Core poor, Household welfare ...

  17. 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

  18. Modelling allergenic risk

    DEFF Research Database (Denmark)

    Birot, Sophie

    of allergic reaction in the population. In allergen risk assessment, the emphasis was on the threshold data, and no effort was made on consumption data. Moreover, no pan-European consumption data suitable for allergen risk assessment are available. A procedure for grouping food products automatically across...... countries is proposed. Thus, the allergen risk assessment can be performed cross-nationally and for the correct food group. Then the two probabilistic risk assessment methods usually used were reviewed and compared. First order Monte-Carlo simulations are used in one method [14], whereas the other one...... Allergen and Allergy Management) aims at developing strategies for food allergies based on evidences. Especially, food allergen risk assessment helps food producers or authorities to make decisions on withdrawing a food product from the market or adding more information on the label when allergen presence...

  19. 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...

  20. 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...

  1. Operational Risk Modeling

    OpenAIRE

    Gabriela ANGHELACHE; Ana Cornelia OLTEANU

    2011-01-01

    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.

  2. 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.

  3. Investigating the Influence of Green Credit on Operational Efficiency and Financial Performance Based on Hybrid Econometric Models

    Directory of Open Access Journals (Sweden)

    Changqing Luo

    2017-11-01

    Full Text Available To understand the role of green credit in maintaining economic sustainability, we develop theoretical hypotheses including expectation, supervision and capital allocation channels to explain the impacts of green credit. Then, we use hybrid econometric models by using Chinese-listed enterprises in the energy-saving and environmental sectors from 2007 to 2015 as the research sample to verify the above hypotheses. The empirical results show that: (1 the average value of financial performance and operational efficiency is relatively low, and the endogenous abilities of those enterprises have not yet been established; (2 the issuance of green loans does not improve public expectations of enterprises in the green industry, thus the expectation channel is not supported; (3 the issuance of green loans does not necessarily improve the enterprise’s operational efficiency and financial performance, thus the supervision channel hypotheses are not supported; and (4 green loans lead to an increase in financing costs, management costs, operation costs, and expenditure on R&D, thus, the capital allocation hypothesis is partly supported. Based on the empirical analysis, we also provide some countermeasures to strengthen the roles of green credit to support the development of energy-saving and environmental enterprises.

  4. Overcoming credit card fraud in South Africa

    African Journals Online (AJOL)

    According to the. South African Banking Risk Intelligence Centre ... A credit card is a convenient method of payment, but it does carry risks. The enormous ... does not exist in a vacuum. Often credit card fraud is. 'linked with other crimes, such as burglary, mail theft and organised crime'.13. TYPES OF CREDIT CARD FRAUD.

  5. 49 CFR 536.4 - Credits.

    Science.gov (United States)

    2010-10-01

    ... OF TRANSPORTATION TRANSFER AND TRADING OF FUEL ECONOMY CREDITS § 536.4 Credits. (a) Type and vintage... category, and model year of origin (vintage). (b) Application of credits. All credits earned and applied are calculated, per 49 U.S.C. 32903(c), in tenths of a mile per gallon by which the average fuel...

  6. Portfolio Optimization for Multiple Group Credit Unions

    National Research Council Canada - National Science Library

    Willis, John

    1999-01-01

    ...) to diversify, credit unions now have the opportunity to market their services to specific employee groups or industries which can reduce the overall risk to the credit unions' health or solvency...

  7. An eoq model for weibull deteriorating item with ramp type demand and salvage value under trade credit system

    Directory of Open Access Journals (Sweden)

    Lalit Mohan Pradhan

    2014-03-01

    Full Text Available Background: In the present competitive business scenario researchers have developed various inventory models for deteriorating items considering various practical situations for better inventory control. Permissible delay in payments with various demands and deteriorations is considerably a new concept introduced in developing various inventory models. These models are very useful for both the consumers and the manufacturer. Methods: In the present work an inventory model has been developed for a three parameter Weibull deteriorating item with ramp type demand and salvage value under trade credit system. Here we have considered a single item for developing the model. Results and conclusion: Optimal order quantity, optimal cycle time and total variable cost during a cycle have been derived for the proposed inventory model. The results obtained in this paper have been illustrated with the help of numerical examples and sensitivity analysis.   

  8. Strategic production modeling for defective items with imperfect inspection process, rework, and sales return under two-level trade credit

    Directory of Open Access Journals (Sweden)

    Aditi Khanna

    2017-01-01

    Full Text Available Quality decisions are one of the major decisions in inventory management. It affects customer’s demand, loyalty and customer satisfaction and also inventory costs. Every manufacturing process is inherent to have some chance causes of variation which may lead to some defectives in the lot. So, in order to cater the customers with faultless products, an inspection process is inevitable, which may also be prone to errors. Thus for an operations manager, maintaining the quality of the lot and the screening process becomes a challenging task, when his objective is to determine the optimal order quantity for the inventory system. Besides these operational tasks, the goal is also to increase the customer base which eventually leads to higher profits. So, as a promotional tool, trade credit is being offered by both the retailer and supplier to their respective customers to encourage more frequent and higher volume purchases. Thus taking into account of these facts, a strategic production model is formulated here to study the combined effects of imperfect quality items, faulty inspection process, rework process, sales return under two level trade credit. The present study is a general framework for many articles and classical EPQ model. An analytical method is employed which jointly optimizes the retailer’s credit period and order quantity, so as to maximize the expected total profit per unit time. To study the behavior and application of the model, a numerical example has been cited and a comprehensive sensitivity analysis has been performed. The model can be widely applicable in manufacturing industries like textile, footwear, plastics, electronics, furniture etc.

  9. Benchmark risk analysis models

    NARCIS (Netherlands)

    Ale BJM; Golbach GAM; Goos D; Ham K; Janssen LAM; Shield SR; LSO

    2002-01-01

    A so-called benchmark exercise was initiated in which the results of five sets of tools available in the Netherlands would be compared. In the benchmark exercise a quantified risk analysis was performed on a -hypothetical- non-existing hazardous establishment located on a randomly chosen location in

  10. Achieving an adequate balance between the level of complexity, objectivity and comparability which is required within the capital framework: credit ratings and the Standardized Approach (SA-CCR) for measuring Exposure at Default (EAD) for Counter-Party Credit Risk

    OpenAIRE

    Ojo, Marianne

    2014-01-01

    Credit ratings have assumed an increasingly formidable and important role over the years. An increased role and revisions to its foundations, have been triggered, not only in view of the shortcomings of credit ratings based criteria, as revealed through the recent Financial Crisis, but also the need to update Basel II - which has served as the foundation for credit ratings in several jurisdictions. Credit ratings serve various vital purposes, most notably of which include the determination of...

  11. The EPQ model under conditions of two levels of trade credit and limited storage capacity in supply chain management

    Science.gov (United States)

    Chung, Kun-Jen

    2013-09-01

    An inventory problem involves a lot of factors influencing inventory decisions. To understand it, the traditional economic production quantity (EPQ) model plays rather important role for inventory analysis. Although the traditional EPQ models are still widely used in industry, practitioners frequently question validities of assumptions of these models such that their use encounters challenges and difficulties. So, this article tries to present a new inventory model by considering two levels of trade credit, finite replenishment rate and limited storage capacity together to relax the basic assumptions of the traditional EPQ model to improve the environment of the use of it. Keeping in mind cost-minimisation strategy, four easy-to-use theorems are developed to characterise the optimal solution. Finally, the sensitivity analyses are executed to investigate the effects of the various parameters on ordering policies and the annual total relevant costs of the inventory system.

  12. EFFICIENCY OF CREDIT PORTFOLIO MANAGEMENT IN CONDITIONS OF ECONOMIC INSTABILITY

    Directory of Open Access Journals (Sweden)

    Koshel H.

    2018-01-01

    Full Text Available Introduction. The active development of integration processes causes the necessity of applying high-level approaches to management of the banking system, which is an essential part of the financial sector. Due to the importance of credit operations in the portfolio of banking assets, development of efficient and flexible credit management system is the basis for financial and market stability of banks. Purpose. Analyze the condition of the credit portfolio of banking institutions under the influence of economic processes and make conclusions and recommendations about the effectiveness of managing the bank’s credit portfolio and generalize ways of improving the structure and quality of the bank’s credit portfolio. Results. Over the last six years, the quality of the credit portfolio has become worse because of the bad debts growing and, as a result, decreasing in revenues. The calculated coefficient of management efficiency of a credit portfolio shows the dependence of this indicator on the value of risk and yield. In order to confirm the dependence and determine the degree of influence of these indicators on the efficiency of management of a loan portfolio, an economic-mathematical model was constructed on the example of both individual banks and the banking system as a whole. Detected dependence of factors is quite logical, therefore, the model can be recommended for practical use. Conclusion. Using this method of determining the management efficiency of a credit portfolio will allow the management of the bank to make reasonable decisions. It will allow the possibility of forming a more justified credit portfolio, taking into account not only the profitability, but also the real level of risk of credit operations.

  13. Credit Card Fraud Detection: A Realistic Modeling and a Novel Learning Strategy.

    Science.gov (United States)

    Dal Pozzolo, Andrea; Boracchi, Giacomo; Caelen, Olivier; Alippi, Cesare; Bontempi, Gianluca

    2017-09-14

    Detecting frauds in credit card transactions is perhaps one of the best testbeds for computational intelligence algorithms. In fact, this problem involves a number of relevant challenges, namely: concept drift (customers' habits evolve and fraudsters change their strategies over time), class imbalance (genuine transactions far outnumber frauds), and verification latency (only a small set of transactions are timely checked by investigators). However, the vast majority of learning algorithms that have been proposed for fraud detection rely on assumptions that hardly hold in a real-world fraud-detection system (FDS). This lack of realism concerns two main aspects: 1) the way and timing with which supervised information is provided and 2) the measures used to assess fraud-detection performance. This paper has three major contributions. First, we propose, with the help of our industrial partner, a formalization of the fraud-detection problem that realistically describes the operating conditions of FDSs that everyday analyze massive streams of credit card transactions. We also illustrate the most appropriate performance measures to be used for fraud-detection purposes. Second, we design and assess a novel learning strategy that effectively addresses class imbalance, concept drift, and verification latency. Third, in our experiments, we demonstrate the impact of class unbalance and concept drift in a real-world data stream containing more than 75 million transactions, authorized over a time window of three years.

  14. Modeling with uncertain science: estimating mitigation credits from abating lead poisoning in Golden Eagles.

    Science.gov (United States)

    Fitts Cochrane, Jean; Lonsdorf, Eric; Allison, Taber D; Sanders-Reed, Carol A

    2015-09-01

    Challenges arise when renewable energy development triggers "no net loss" policies for protected species, such as where wind energy facilities affect Golden Eagles in the western United States. When established mitigation approaches are insufficient to fully avoid or offset losses, conservation goals may still be achievable through experimental implementation of unproven mitigation methods provided they are analyzed within a framework that deals transparently and rigorously with uncertainty. We developed an approach to quantify and analyze compensatory mitigation that (1) relies on expert opinion elicited in a thoughtful and structured process to design the analysis (models) and supplement available data, (2) builds computational models as hypotheses about cause-effect relationships, (3) represents scientific uncertainty in stochastic model simulations, (4) provides probabilistic predictions of "relative" mortality with and without mitigation, (5) presents results in clear formats useful to applying risk management preferences (regulatory standards) and selecting strategies and levels of mitigation for immediate action, and (6) defines predictive parameters in units that could be monitored effectively, to support experimental adaptive management and reduction in uncertainty. We illustrate the approach with a case study characterized by high uncertainty about underlying biological processes and high conservation interest: estimating the quantitative effects of voluntary strategies to abate lead poisoning in Golden Eagles in Wyoming due to ingestion of spent game hunting ammunition.

  15. Multilevel joint competing risk models

    Science.gov (United States)

    Karunarathna, G. H. S.; Sooriyarachchi, M. R.

    2017-09-01

    Joint modeling approaches are often encountered for different outcomes of competing risk time to event and count in many biomedical and epidemiology studies in the presence of cluster effect. Hospital length of stay (LOS) has been the widely used outcome measure in hospital utilization due to the benchmark measurement for measuring multiple terminations such as discharge, transferred, dead and patients who have not completed the event of interest at the follow up period (censored) during hospitalizations. Competing risk models provide a method of addressing such multiple destinations since classical time to event models yield biased results when there are multiple events. In this study, the concept of joint modeling has been applied to the dengue epidemiology in Sri Lanka, 2006-2008 to assess the relationship between different outcomes of LOS and platelet count of dengue patients with the district cluster effect. Two key approaches have been applied to build up the joint scenario. In the first approach, modeling each competing risk separately using the binary logistic model, treating all other events as censored under the multilevel discrete time to event model, while the platelet counts are assumed to follow a lognormal regression model. The second approach is based on the endogeneity effect in the multilevel competing risks and count model. Model parameters were estimated using maximum likelihood based on the Laplace approximation. Moreover, the study reveals that joint modeling approach yield more precise results compared to fitting two separate univariate models, in terms of AIC (Akaike Information Criterion).

  16. Testicular Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of testicular cervical 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.

  17. Pancreatic Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing pancreatic 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.

  18. Colorectal Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing colorectal 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.

  19. Prostate Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing prostate 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.

  20. Bladder Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing bladder 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.

  1. Esophageal Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing esophageal 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.

  2. Cervical Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing cervical 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.

  3. Breast Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing breast 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.

  4. Lung Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing lung 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.

  5. Liver Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing liver 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.

  6. Ovarian Cancer Risk Prediction Models

    Science.gov (United States)

    Developing statistical models that estimate the probability of developing ovarian 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.

  7. Risk modelling in portfolio optimization

    Science.gov (United States)

    Lam, W. H.; Jaaman, Saiful Hafizah Hj.; Isa, Zaidi

    2013-09-01

    Risk management is very important in portfolio optimization. The mean-variance model has been used in portfolio optimization to minimize the investment risk. The objective of the mean-variance model is to minimize the portfolio risk and achieve the target rate of return. Variance is used as risk measure in the mean-variance model. The purpose of this study is to compare the portfolio composition as well as performance between the optimal portfolio of mean-variance model and equally weighted portfolio. Equally weighted portfolio means the proportions that are invested in each asset are equal. The results show that the portfolio composition of the mean-variance optimal portfolio and equally weighted portfolio are different. Besides that, the mean-variance optimal portfolio gives better performance because it gives higher performance ratio than the equally weighted portfolio.

  8. 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…

  9. 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…

  10. Credit concession through credit scoring: Analysis and application proposal

    Directory of Open Access Journals (Sweden)

    Oriol Amat

    2017-01-01

    Full Text Available Purpose: The study herein develops and tests a credit scoring model which can help financial institutions in assessing credit requests.  Design/methodology/approach: The empirical study has the objective of answering two questions: (1 Which ratios better discriminate the companies based on their being solvent or insolvent? and (2 What is the relative importance of these ratios? To do this, several statistical techniques with a multifactorial focus have been used (Multivariate Analysis of Variance, Linear Discriminant Analysis, Logit and Probit Models. Several samples of companies have been used in order to obtain and to test the model.  Findings: Through the application of several statistical techniques, the credit scoring model has been proved to be effective in discriminating between good and bad creditors.  Research limitations:  This study focuses on manufacturing, commercial and services companies of all sizes in Spain; Therefore, the conclusions may differ for other geographical locations. Practical implications:  Because credit is one of the main drivers of growth, a solid credit scoring model can help financial institutions assessing to whom to grant credit and to whom not to grant credit. Social implications: Because of the growing importance of credit for our society and the fear of granting it due to the latest financial turmoil, a solid credit scoring model can strengthen the trust toward the financial institutions assessment’s.  Originality/value: There is already a stream of literature related to credit scoring. However, this paper focuses on Spanish firms and proves the results of our model based on real data. The application of the model to detect the probability of default in loans is original.

  11. An EOQ model of time quadratic and inventory dependent demand for deteriorated items with partially backlogged shortages under trade credit

    Science.gov (United States)

    Singh, Pushpinder; Mishra, Nitin Kumar; Singh, Vikramjeet; Saxena, Seema

    2017-07-01

    In this paper a single buyer, single supplier inventory model with time quadratic and stock dependent demand for a finite planning horizon has been studied. Single deteriorating item which suffers shortage, with partial backlogging and some lost sales is considered. Model is divided into two scenarios, one with non permissible delay in payment and other with permissible delay in payment. Latter is called, centralized system, where supplier offers trade credit to retailer. In the centralized system cost saving is shared amongst the two. The objective is to study the difference in minimum costs borne by retailer and supplier, under two scenarios including the above mentioned parameters. To obtain optimal solution of the problem the model is solved analytically. Numerical example and a comparative study are then discussed supported by sensitivity analysis of each parameter.

  12. Using Marginal Structural Modeling to Estimate the Cumulative Impact of an Unconditional Tax Credit on Self-Rated Health.

    Science.gov (United States)

    Pega, Frank; Blakely, Tony; Glymour, M Maria; Carter, Kristie N; Kawachi, Ichiro

    2016-02-15

    In previous studies, researchers estimated short-term relationships between financial credits and health outcomes using conventional regression analyses, but they did not account for time-varying confounders affected by prior treatment (CAPTs) or the credits' cumulative impacts over time. In this study, we examined the association between total number of years of receiving New Zealand's Family Tax Credit (FTC) and self-rated health (SRH) in 6,900 working-age parents using 7 waves of New Zealand longitudinal data (2002-2009). We conducted conventional linear regression analyses, both unadjusted and adjusted for time-invariant and time-varying confounders measured at baseline, and fitted marginal structural models (MSMs) that more fully adjusted for confounders, including CAPTs. Of all participants, 5.1%-6.8% received the FTC for 1-3 years and 1.8%-3.6% for 4-7 years. In unadjusted and adjusted conventional regression analyses, each additional year of receiving the FTC was associated with 0.033 (95% confidence interval (CI): -0.047, -0.019) and 0.026 (95% CI: -0.041, -0.010) units worse SRH (on a 5-unit scale). In the MSMs, the average causal treatment effect also reflected a small decrease in SRH (unstabilized weights: β = -0.039 unit, 95% CI: -0.058, -0.020; stabilized weights: β = -0.031 unit, 95% CI: -0.050, -0.007). Cumulatively receiving the FTC marginally reduced SRH. Conventional regression analyses and MSMs produced similar estimates, suggesting little bias from CAPTs. © The Author 2016. Published by Oxford University Press on behalf of the Johns Hopkins Bloomberg School of Public Health. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

  13. Modeling renewable energy company risk

    International Nuclear Information System (INIS)

    Sadorsky, Perry

    2012-01-01

    The renewable energy sector is one of the fastest growing components of the energy industry and along with this increased demand for renewable energy there has been an increase in investing and financing activities. The tradeoff between risk and return in the renewable energy sector is, however, precarious. Renewable energy companies are often among the riskiest types of companies to invest in and for this reason it is necessary to have a good understanding of the risk factors. This paper uses a variable beta model to investigate the determinants of renewable energy company risk. The empirical results show that company sales growth has a negative impact on company risk while oil price increases have a positive impact on company risk. When oil price returns are positive and moderate, increases in sales growth can offset the impact of oil price returns and this leads to lower systematic risk.

  14. Earned Income Tax Credit

    NARCIS (Netherlands)

    F.M. van Oers; R.A. de Mooij (Ruud)

    1998-01-01

    textabstractIn recent policy discussions in the Netherlands, the Earned Income Tax Credit (EITC) has been put forward as an effective instrument to reduce the unemployment rate among low-skilled workers. Using the MIMIC model, this article shows that a targeted EITC at low incomes indeed seems

  15. Modeling the exchange rate using price levels and country risk

    Directory of Open Access Journals (Sweden)

    Gábor Regős

    2015-12-01

    Full Text Available This paper builds two factor discrete time models in order to investigate the effect of sovereign risk on the nominal exchange rates in a Markov switching framework. The empirical section of the paper uses seven currencies from Chile, the Czech Republic, Hungary, Iceland, Japan, Korea, and Mexico. To measure the sovereign risk, we use the credit rating agencies’ ratings classes as proxy variable. In the empirical part, four different versions of the model are calibrated and their in-sample and out-of-sample data will be analyzed leading to the conclusion that none of the four versions dominates the others. As an additional result, it is revealed that risk has significant effect on the nominal exchange rates.

  16. ANALYSIS OF MODELS OF EARLY DEBT REPAYMENT IN THE Generalized CREDIT TRANSACTIONS

    Directory of Open Access Journals (Sweden)

    2016-01-01

    Full Text Available This paper analyzes the patterns of early repayment in multi-period credit transactions. Considered one of the most common ways of conversion of unpaid interest for early repayment, so-called 78 rule. The relationship of this rule with the linear approximation of the exact value; redeemable debt is determined. The analysis of the maximum excess payment of interest on 78 rule. It has been shown how interest payment on 78 rule depended on the time of early repayment. Early repayment of debt is an agreement under which the borrower pays to the lender amount of money equal to the current balance (as of loan account. Then further regular payments cease and the contract terminates. However, the amount of outstanding debt is determined by the structure of prescription charges. So in the uniform schemes of repayment of consumer credit each payment contains the same part of principal amounts and the total interest. In case of early repayment the Bank loses a significant fraction of the expected interest payments. Therefore, in practice, often used so-called accelerated schemes of interest payments. One of them is 78 rule. Use the 78 rule is simple and straightforward. The name of the rule is due to the fact that the sum of the numbers 12 monthly payments is 78. In the schemes of consumer loan with a term of one year interest payment for the current month is equal to m/78 of the total amount of interest payments, where m is the number of remaining payments. The rule name is stored and in the more general case with an arbitrary number of payments. In general interest payment is determined by the relative weight of the total amount of interest in each payment. In uniform schemes it is constant. In accelerated with a particular speed decreases. Therefore, additional cash expenses by the 78 rule may be considered as additional penalties for early repayment of the debt. It this article is shown how this penalty depends on time before maturity. It is shown that

  17. Application of the business model Canvas in Microenterprises from Partners of the Savings and Credit Cooperative Luz del Valle

    Directory of Open Access Journals (Sweden)

    Francisco Javier Monroy Espinosa

    2017-12-01

    Full Text Available The "Luz del Valle" Savings and Credit Cooperative is a financial institution with five thousand microentrepreneurial partners who have business units. These business units, generally informal, do not have a defined organizational structure or adequate management tools, which influences in the presence of economic problems such as arrears and non-payment of contracted obligations, mainly as a result of a low level of sales. Due to this situation, it is important for cooperatives to support their partners in finding solutions. This is part of the cooperative principles and values of mutual aid, social responsibility and education, training and information for its members, team leaders, managers and employees; these universal principles established by the International Cooperative Alliance (ICA are considered by the savings and credit cooperative "Luz del Valle" as strategies to accompany its partners in the development and growth of their business units. The cooperative organizes a Christmas Fair annually, where 60 microentrepreneurs participate. This event was the opportunity to develop, together with the Metropolitan University of Ecuador, a project that, in its first phase, trained in the formulation of strategies based on the application of the Business Model Canvas; the teaching of this tool, which allows creating, capturing and providing value for clients, was supported by the university community and the program of linkage with society that develops the aforementioned institution; the evaluation of the impact and the economic results are contemplated in a second phase.

  18. A relative risk comparison of criticality control strategies based on fresh fuel and burnup credit design bases

    International Nuclear Information System (INIS)

    Sanders, T.L.

    1988-01-01

    The proposed use of burnup credit in spent fuel cask design and operation represents a departure from current regulatory practice, and creates technical issues that ultimately must be resolved for the concept to be implemented. Issues related to specific technical considerations can generally be resolved conclusively. However, an underlying perception may still exist that the use of burnup credit compromises criticality safety. In practice, individual casks are designed to satisfy regulatory requirements in a generally conservative manner. The designer's application of the regulatory requirements involves some engineering judgement, as does the regulator's implementation of them. This does not have an adverse effect on safety, but does make it difficult to objectively compare new or alternative designs and/or operating approaches. 5 refs., 7 figs., 2 tabs

  19. Command Process Modeling & Risk Analysis

    Science.gov (United States)

    Meshkat, Leila

    2011-01-01

    Commanding Errors may be caused by a variety of root causes. It's important to understand the relative significance of each of these causes for making institutional investment decisions. One of these causes is the lack of standardized processes and procedures for command and control. We mitigate this problem by building periodic tables and models corresponding to key functions within it. These models include simulation analysis and probabilistic risk assessment models.

  20. AcF 706 : assessing default risk of a public company

    OpenAIRE

    Hu, Wenqing

    2014-01-01

    The dissertation presents the determinants of credit spread, evolution of credit risk modeling and empirically evidence over the period, as well as models based on accounting information. The study explores performance of the firm with accounting and share price information. It also evaluates the predictive of two credit risk models: Merton (1974) and Leland (1994), using accounting and market variables. The finding is that both models tend to underestimate credit risk spreads, though most of...

  1. Efficacy of Online Algebra I for Credit Recovery for At-Risk Ninth Graders: Consistency of Results from Two Cohorts

    Science.gov (United States)

    Heppen, Jessica; Sorensen, Nicholas; Allensworth, Elaine; Walters, Kirk; Stachel, Suzanne; Michelman, Valerie

    2012-01-01

    The consequences of failing core academic courses during the first year of high school are dire. In the Chicago Public Schools (CPS), only about one-fifth of off-track freshmen--students who fail more than one semester of a core academic course and/or fail to earn enough credits to be promoted to 10th grade--graduate high school, compared with…

  2. Cabin Environment Physics Risk Model

    Science.gov (United States)

    Mattenberger, Christopher J.; Mathias, Donovan Leigh

    2014-01-01

    This paper presents a Cabin Environment Physics Risk (CEPR) model that predicts the time for an initial failure of Environmental Control and Life Support System (ECLSS) functionality to propagate into a hazardous environment and trigger a loss-of-crew (LOC) event. This physics-of failure model allows a probabilistic risk assessment of a crewed spacecraft to account for the cabin environment, which can serve as a buffer to protect the crew during an abort from orbit and ultimately enable a safe return. The results of the CEPR model replace the assumption that failure of the crew critical ECLSS functionality causes LOC instantly, and provide a more accurate representation of the spacecraft's risk posture. The instant-LOC assumption is shown to be excessively conservative and, moreover, can impact the relative risk drivers identified for the spacecraft. This, in turn, could lead the design team to allocate mass for equipment to reduce overly conservative risk estimates in a suboptimal configuration, which inherently increases the overall risk to the crew. For example, available mass could be poorly used to add redundant ECLSS components that have a negligible benefit but appear to make the vehicle safer due to poor assumptions about the propagation time of ECLSS failures.

  3. Information risk and security modeling

    Science.gov (United States)

    Zivic, Predrag

    2005-03-01

    This research paper presentation will feature current frameworks to addressing risk and security modeling and metrics. The paper will analyze technical level risk and security metrics of Common Criteria/ISO15408, Centre for Internet Security guidelines, NSA configuration guidelines and metrics used at this level. Information IT operational standards view on security metrics such as GMITS/ISO13335, ITIL/ITMS and architectural guidelines such as ISO7498-2 will be explained. Business process level standards such as ISO17799, COSO and CobiT will be presented with their control approach to security metrics. Top level, the maturity standards such as SSE-CMM/ISO21827, NSA Infosec Assessment and CobiT will be explored and reviewed. For each defined level of security metrics the research presentation will explore the appropriate usage of these standards. The paper will discuss standards approaches to conducting the risk and security metrics. The research findings will demonstrate the need for common baseline for both risk and security metrics. This paper will show the relation between the attribute based common baseline and corporate assets and controls for risk and security metrics. IT will be shown that such approach spans over all mentioned standards. The proposed approach 3D visual presentation and development of the Information Security Model will be analyzed and postulated. Presentation will clearly demonstrate the benefits of proposed attributes based approach and defined risk and security space for modeling and measuring.

  4. Production inventory model for two-level trade credit financing under the effect of preservation technology and learning in supply chain

    Directory of Open Access Journals (Sweden)

    Sunil Kumar

    2015-12-01

    Full Text Available The present study investigated the inventory model for a retailer under two levels of trade credit to reflect the supply chain management. Supplier offers trade credit period of M to the retailer while in turn retailer provides a trade credit period of N to his/her customers. The supplier is willing to provide the retailer a full trade credit period for payments and the retailer offers the partial trade credit period to his/her customers. Here, selling items are considered as perishable items such as fruits, fresh fishes, gasoline, photographic films, etc. so that its potential worth decreases. It is assumed that decay in potential worth of items can be increased by using preservation technology. The demand is considered as the function of selling price and trade credit. Ordering cost can be reducing due to learning by doing phenomenon. By applying convex fractional programming results, we obtain necessary and sufficient conditions of an optimal solution. Some theorems are developed to determine retailer’s optimal ordering policies and numerical examples are given to illustrate these theorems. In addition, some managerial insights from the numerical examples are also concluded.

  5. Performance Consulting: Get CREDIT from Your Clients.

    Science.gov (United States)

    Atkinson, Vicki; Chalmers, Nancy

    1999-01-01

    Discusses client satisfaction criteria relevant to human performance consultants and explains the CREDIT model that represents what clients consider most important. Examines CREDIT: Client needs, Relationships, demonstrating Expertise and experience, creating Deliverables, Interpersonal skills, and Tracking and project managing. (LRW)

  6. The relationship between the Rating Scale and Partial Credit Models and the implication of disordered thresholds of the Rasch models for polytomous responses.

    Science.gov (United States)

    Luo, Guanzhong

    2005-01-01

    There is a perception in the literature that the Rating Scale Model (RSM) and Partial Credit Model (PCM) are two different types of Rasch models. This paper clarifies the relationship between the RSM and PCM from the perspectives of literature history and mathematical logic. It is shown that not only are the RSM and the PCM identical, but the two approaches used to introduce them are statistically equivalent. Then the implication of disordered thresholds is discussed. In addition, the difference between the structural thresholds and the Thurstone thresholds are clarified.

  7. An Inventory Model for Deteriorating Item with Reliability Consideration and Trade Credit

    Directory of Open Access Journals (Sweden)

    S. R. Singh

    2014-10-01

    Full Text Available In today’s global market every body want to buy products of high level quality and to achieve a high level product quality supplier have to invest in improving reliability of production process. In present article we have studies reliable production process with stock dependent unit production and holding cost. Demand is exponential function of time and infinite production process wit non- instantaneous deterioration rate are considered in this paper. Whole study has been done under the effect of trade credit. The main objective of this paper is to optimize the total relevant cost for reliable production process. Numerical example and sensitivity analysis is given at the end of this paper.   Normal 0 false false false EN-US X-NONE X-NONE /* 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-priority:99; mso-style-qformat:yes; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:"Times New Roman"; mso-fareast-theme-font:minor-fareast; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin;}

  8. Credit scoring using ensemble of various classifiers on reduced feature set

    Directory of Open Access Journals (Sweden)

    Dahiya Shashi

    2015-01-01

    Full Text Available Credit scoring methods are widely used for evaluating loan applications in financial and banking institutions. Credit score identifies if applicant customers belong to good risk applicant group or a bad risk applicant group. These decisions are based on the demographic data of the customers, overall business by the customer with bank, and loan payment history of the loan applicants. The advantages of using credit scoring models include reducing the cost of credit analysis, enabling faster credit decisions and diminishing possible risk. Many statistical and machine learning techniques such as Logistic Regression, Support Vector Machines, Neural Networks and Decision tree algorithms have been used independently and as hybrid credit scoring models. This paper proposes an ensemble based technique combining seven individual models to increase the classification accuracy. Feature selection has also been used for selecting important attributes for classification. Cross classification was conducted using three data partitions. German credit dataset having 1000 instances and 21 attributes is used in the present study. The results of the experiments revealed that the ensemble model yielded a very good accuracy when compared to individual models. In all three different partitions, the ensemble model was able to classify more than 80% of the loan customers as good creditors correctly. Also, for 70:30 partition there was a good impact of feature selection on the accuracy of classifiers. The results were improved for almost all individual models including the ensemble model.

  9. 78 FR 72537 - Credit Union Service Organizations

    Science.gov (United States)

    2013-12-03

    ... there is an inherent risk that a subsidiary CUSO could adversely affect the investing credit union and... supervisory authority (SSA). CUSOs engaging in certain complex or high-risk activities are required to... credit union industry by acting as a collaborative means to share risk, manage costs, and deliver...

  10. Lunar Landing Operational Risk Model

    Science.gov (United States)

    Mattenberger, Chris; Putney, Blake; Rust, Randy; Derkowski, Brian

    2010-01-01

    Characterizing the risk of spacecraft goes beyond simply modeling equipment reliability. Some portions of the mission require complex interactions between system elements that can lead to failure without an actual hardware fault. Landing risk is currently the least characterized aspect of the Altair lunar lander and appears to result from complex temporal interactions between pilot, sensors, surface characteristics and vehicle capabilities rather than hardware failures. The Lunar Landing Operational Risk Model (LLORM) seeks to provide rapid and flexible quantitative insight into the risks driving the landing event and to gauge sensitivities of the vehicle to changes in system configuration and mission operations. The LLORM takes a Monte Carlo based approach to estimate the operational risk of the Lunar Landing Event and calculates estimates of the risk of Loss of Mission (LOM) - Abort Required and is Successful, Loss of Crew (LOC) - Vehicle Crashes or Cannot Reach Orbit, and Success. The LLORM is meant to be used during the conceptual design phase to inform decision makers transparently of the reliability impacts of design decisions, to identify areas of the design which may require additional robustness, and to aid in the development and flow-down of requirements.

  11. Fuzzy audit risk modeling algorithm

    Directory of Open Access Journals (Sweden)

    Zohreh Hajihaa

    2011-07-01

    Full Text Available Fuzzy logic has created suitable mathematics for making decisions in uncertain environments including professional judgments. One of the situations is to assess auditee risks. During recent years, risk based audit (RBA has been regarded as one of the main tools to fight against fraud. The main issue in RBA is to determine the overall audit risk an auditor accepts, which impact the efficiency of an audit. The primary objective of this research is to redesign the audit risk model (ARM proposed by auditing standards. The proposed model of this paper uses fuzzy inference systems (FIS based on the judgments of audit experts. The implementation of proposed fuzzy technique uses triangular fuzzy numbers to express the inputs and Mamdani method along with center of gravity are incorporated for defuzzification. The proposed model uses three FISs for audit, inherent and control risks, and there are five levels of linguistic variables for outputs. FISs include 25, 25 and 81 rules of if-then respectively and officials of Iranian audit experts confirm all the rules.

  12. Completing the Remedial Sequence and College-Level Credit-Bearing Math: Comparing Binary, Cumulative, and Continuation Ratio Logistic Regression Models

    Science.gov (United States)

    Davidson, J. Cody

    2016-01-01

    Mathematics is the most common subject area of remedial need and the majority of remedial math students never pass a college-level credit-bearing math class. The majorities of studies that investigate this phenomenon are conducted at community colleges and use some type of regression model; however, none have used a continuation ratio model. The…

  13. The Impact of E-Education on At Risk High School Students' Science Achievement and Experiences during Summer School Credit Recovery Courses

    Science.gov (United States)

    Phillips, Pamela Prevette

    Nationally, at risk students make up to 30% of U.S. students in public schools. Many at risk students have poor attendance, are disengaged from the learning environment and have low academic achievement. Educational failure occurs when students do not complete the required courses and as a result do not receive a high school diploma or a certificate of attendance. Many at risk students will not graduate; nearly one-third of all United States high school students have left the public school system before graduating, which has been referred to as a national crisis. Many at risk students fail science courses that are required for graduation, such as biology. Clearly, many students are not responding positively to the conditions in many public school classrooms, suggesting the need for different methods of educating at risk students, such as e-education. Three research questions guided the study: 1) Who are the students in an e-education, online summer school credit recovery course? 2) Do students' beliefs about their learning environment or other personal factors influence their academic achievement?, and 3) How do students describe their experiences of an e-education science course? This mixed methods study investigates thirty-two at risk students who were enrolled in one of three e-education science education courses (biology, earth science, and physical science) during a summer session in a rural county in a southeastern US state. These students failed their most recent science course taken in a traditional classroom setting. Artino's (2010) social-cognitive model of academic motivation and emotion was used as a theoretical framework to highlight the salient motivational factors toward learning science (e.g., task characteristics, task value beliefs, positive emotions). Student data included pre and post tests for all e-education lessons, a final exam, survey data (Students Motivation towards Science Learning (SMTSL), time (on task and idle), field notes, and

  14. Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania

    Directory of Open Access Journals (Sweden)

    Daniel CALINICA

    2012-08-01

    Full Text Available This paper aims to accurately characterize the dynamics of the structural indicators of the assets in the credit institutions operating in Romania through an empirical mathematical model of dual function: regulation and control. The model can be used to predict the future evolution of the economic processes involved, or to study how to act upon them (management in case of changes in the environment around them (e.g. the impact of reducing the minimum compulsory reserve requirements on credit etc.

  15. EOQ Model for Deteriorating Items with exponential time dependent Demand Rate under inflation when Supplier Credit Linked to Order Quantity

    Directory of Open Access Journals (Sweden)

    Rakesh Prakash Tripathi

    2014-05-01

    Full Text Available In paper (2004 Chang studied an inventory model under a situation in which the supplier provides the purchaser with a permissible delay of payments if the purchaser orders a large quantity. Tripathi (2011 also studied an inventory model with time dependent demand rate under which the supplier provides the purchaser with a permissible delay in payments. This paper is motivated by Chang (2004 and Tripathi (2011 paper extending their model for exponential time dependent demand rate. This study develops an inventory model under which the vendor provides the purchaser with a credit period; if the purchaser orders large quantity. In this chapter, demand rate is taken as exponential time dependent. Shortages are not allowed and effect of the inflation rate has been discussed. We establish an inventory model for deteriorating items if the order quantity is greater than or equal to a predetermined quantity. We then obtain optimal solution for finding optimal order quantity, optimal cycle time and optimal total relevant cost. Numerical examples are given for all different cases. Sensitivity of the variation of different parameters on the optimal solution is also discussed. Mathematica 7 software is used for finding numerical examples.

  16. Mathematical programming models for classification problems with applications to credit scoring

    OpenAIRE

    Falangis, Konstantinos

    2013-01-01

    Mathematical programming (MP) can be used for developing classification models for the two–group classification problem. An MP model can be used to generate a discriminant function that separates the observations in a training sample of known group membership into the specified groups optimally in terms of a group separation criterion. The simplest models for MP discriminant analysis are linear programming models in which the group separation measure is generally based on th...

  17. Model of MSD Risk Assessment at Workplace

    OpenAIRE

    K. Sekulová; M. Šimon

    2015-01-01

    This article focuses on upper-extremity musculoskeletal disorders risk assessment model at workplace. In this model are used risk factors that are responsible for musculoskeletal system damage. Based on statistic calculations the model is able to define what risk of MSD threatens workers who are under risk factors. The model is also able to say how MSD risk would decrease if these risk factors are eliminated.

  18. Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

    NARCIS (Netherlands)

    Koopman, S.J.; Lucas, A.; Schwaab, B.

    2012-01-01

    We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into latent components for (1) macroeconomic/financial risk, (2) autonomous default dynamics (frailty), and (3) industry-specific effects. We analyze discrete

  19. 49 CFR 536.6 - Treatment of credits earned prior to model year 2011.

    Science.gov (United States)

    2010-10-01

    ...) NATIONAL HIGHWAY TRAFFIC SAFETY ADMINISTRATION, DEPARTMENT OF TRANSPORTATION TRANSFER AND TRADING OF FUEL... compliance category before model year 2008 may be applied by the manufacturer that earned them to carryback... during and after model year 2008 may be applied by the manufacturer that earned them to carryback plans...

  20. Credit report accuracy and access to credit

    OpenAIRE

    Robert B. Avery; Paul S. Calem; Glenn B. Canner

    2004-01-01

    Data that credit-reporting agencies maintain on consumers' credit-related experiences play a central role in U.S. credit markets. Analysts widely agree that the data enable these markets to function more efficiently and at lower cost than would otherwise be possible. Despite the great benefits of the current system, however, some analysts have raised concerns about the accuracy, timeliness, completeness, and consistency of consumer credit records and about the effects of data problems on the ...

  1. 12 CFR 614.4590 - Equitable treatment of OFIs and Farm Credit System associations.

    Science.gov (United States)

    2010-01-01

    ... differences in credit risk and administrative costs to the Farm Credit Bank or agricultural credit bank. (c... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Equitable treatment of OFIs and Farm Credit System associations. 614.4590 Section 614.4590 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT...

  2. Credit Management System

    Data.gov (United States)

    US Agency for International Development — Credit Management System. Outsourced Internet-based application. CMS stores and processes data related to USAID credit programs. The system provides information...

  3. The African Credit Trap

    OpenAIRE

    Svetlana Andrianova; Badi H. Baltagi; Panicos O. Demetriades; David Fielding

    2010-01-01

    We put forward a plausible explanation of African financial underdevelopment in the form of a bad credit market equilibrium. Utilising an appropriately modified IO model of banking, we show that the root of the problem could be unchecked moral hazard (strategic loan defaults) or adverse selection (a lack of good projects). We provide empirical evidence from a large panel of African banks which suggests that loan defaults are a major factor inhibiting bank lending when the quality of regulatio...

  4. Quantile uncertainty and value-at-risk model risk.

    Science.gov (United States)

    Alexander, Carol; Sarabia, José María

    2012-08-01

    This article develops a methodology for quantifying model risk in quantile risk estimates. The application of quantile estimates to risk assessment has become common practice in many disciplines, including hydrology, climate change, statistical process control, insurance and actuarial science, and the uncertainty surrounding these estimates has long been recognized. Our work is particularly important in finance, where quantile estimates (called Value-at-Risk) have been the cornerstone of banking risk management since the mid 1980s. A recent amendment to the Basel II Accord recommends additional market risk capital to cover all sources of "model risk" in the estimation of these quantiles. We provide a novel and elegant framework whereby quantile estimates are adjusted for model risk, relative to a benchmark which represents the state of knowledge of the authority that is responsible for model risk. A simulation experiment in which the degree of model risk is controlled illustrates how to quantify Value-at-Risk model risk and compute the required regulatory capital add-on for banks. An empirical example based on real data shows how the methodology can be put into practice, using only two time series (daily Value-at-Risk and daily profit and loss) from a large bank. We conclude with a discussion of potential applications to nonfinancial risks. © 2012 Society for Risk Analysis.

  5. 76 FR 16235 - Corporate Credit Unions, Technical Corrections

    Science.gov (United States)

    2011-03-23

    ... inadvertently included particular investments that did not--when subject to the other credit risk and asset... NATIONAL CREDIT UNION ADMINISTRATION 12 CFR Part 707 RIN 3133-AD58 Corporate Credit Unions, Technical Corrections AGENCY: National Credit Union Administration (NCUA). ACTION: Final rule. SUMMARY: In...

  6. 49 CFR 526.5 - Earning offsetting monetary credits in future model years.

    Science.gov (United States)

    2010-10-01

    ... each planned product action (e.g., new model, mix change) which will affect the average fuel economy of... Act must contain the following information: (a) Projected average fuel economy and production levels for the class of automobiles which may fail to comply with a fuel economy standard and for any other...

  7. 77 FR 17536 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change to...

    Science.gov (United States)

    2012-03-26

    ... Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change to Its Risk Model To Reduce the Current Level of Risk Mutualization Among Its Clearing Participants and To Modify the Initial Margin Risk Model so That It Is Easier for Market Participants To Measure Their Risk March 20, 2012. Pursuant to...

  8. 75 FR 64785 - Corporate Credit Unions

    Science.gov (United States)

    2010-10-20

    ... scheme, including risk-based capital requirements; impose new prompt corrective action requirements... Investigations; and Involuntary Liquidation of Federal Credit Unions and Adjudication of Creditor Claims... management (ALM) and credit risk, and whether to make modifications in the area of corporate governance. NCUA...

  9. 75 FR 4310 - Credit Reforms in Organized Wholesale Electric Markets

    Science.gov (United States)

    2010-01-27

    ... excessive risk and without excessive cost. Credit policies are particularly important in the organized... contract and the Edison Electric Institute (EEI) standard contract to sell power, managing credit risk... individual processes for assessing risk, extending unsecured credit, and settling accounts. \\5\\ FERC Staff...

  10. A structural model for the housing and credit markets in Italy

    OpenAIRE

    Andrea Nobili; Francesco Zollino

    2012-01-01

    We estimate a fully-fledged structural system for the housing market in Italy, taking into account the multi-fold link with bank lending to both households and construction firms. The model allows the house supply to vary in the short run and the banking sector to affect the equilibrium in the housing market, through its effect on housing supply and demand. We show that house prices react mostly to standard drivers such as disposable income, expected inflation and demographic pressures. Lendi...

  11. Model risk analysis for risk management and option pricing

    NARCIS (Netherlands)

    Kerkhof, F.L.J.

    2003-01-01

    Due to the growing complexity of products in financial markets, market participants rely more and more on quantitative models for trading and risk management decisions. This introduces a fairly new type of risk, namely, model risk. In the first part of this thesis we investigate the quantitative

  12. Credit card spending limit and personal finance: system dynamics approach

    Directory of Open Access Journals (Sweden)

    Mirjana Pejić Bach

    2014-03-01

    Full Text Available Credit cards have become one of the major ways for conducting cashless transactions. However, they have a long term impact on the well being of their owner through the debt generated by credit card usage. Credit card issuers approve high credit limits to credit card owners, thereby influencing their credit burden. A system dynamics model has been used to model behavior of a credit card owner in different scenarios according to the size of a credit limit. Experiments with the model demonstrated that a higher credit limit approved on the credit card decreases the budget available for spending in the long run. This is a contribution toward the evaluation of action for credit limit control based on their consequences.

  13. Factors Affecting the Behavior of University Community to Use Credit Card

    Directory of Open Access Journals (Sweden)

    Maya Sari

    2011-12-01

    Full Text Available This study was aimed to gain insights and tested the factors that influence credit cards usage in university community of UPI through Theory of Planned Behavior model approach. Using Path Analysis to explain the direct and indirect influence of attitude, subjective norm and behavioral control to intention and behavior of credit card usage. The results showed all respondents have a positive attitude towards credit cards usage, with high influence of subjective norm, high behavior control, high intention to use credit cards and all respondents used credit cards wisely. There was positive and significant effect either simultaneously or partially between behavioral attitudes, subjective norms, and behavior control toward the intention to use credit card. The partial test results showed behavioral attitude has the greatest influence on the intention to use credit card. There was a positive and significant influence both simultaneously and partially between behavioral attitudes, subjective norms, and behavioral control on default-risk debt behavior. The partial results showed that attitude gives the greatest influence on default debt risk behavior. The result also proved there was a positive and significant influence of the intention to use credit card on default debt risk behavior.

  14. Refundable Tax Credits

    OpenAIRE

    Congressional Budget Office

    2013-01-01

    In 1975, the first refundable tax credit—the earned income tax credit (EITC)—took effect. Since then, the number and cost of refundable tax credits—credits that can result in net payments from the government—have grown considerably. Those credits will cost $149 billion in 2013, CBO estimates, mostly for the EITC and the child tax credit.

  15. NCA & Credit Guarantees

    African Journals Online (AJOL)

    stooppn

    Credit Act? 2.1 What is a credit guarantee? The National Credit Act provides, subject to certain exemptions, that the Act generally applies to every credit agreement (eg, money-lending transactions irrespective of .... Lubbe 1984 THRHR 383; De Wet and Van Wyk Kontraktereg 391; Pretorius 2001 SA Merc LJ. 95; Sonnekus ...

  16. MODELO CUALITATIVO PARA LA ASIGNACIÓN DE CRÉDITOS DE CONSUMO Y ORDINARIO - EL CASO DE UNA COOPERATIVA DE CRÉDITO Qualitative Model for Assigning Consumption and Ordinary Credits: The Case of a Credit Cooperative Institution

    Directory of Open Access Journals (Sweden)

    Alejandro Peña Palacio

    2011-12-01

    Full Text Available Este artículo muestra el desarrollo de un método para la construcción de un modelo de asignación de créditos para la cartera de consumo en la Cooperativa Belén Ahorro y Crédito. Para esto, se parte de la normativa colombiana existente y de la necesidad de tener un buen sistema de score (calificación individual del cliente, que ayude a optimizar los tiempos tanto en los procesos de venta como en el estudio de las solicitudes de créditos y que permita así determinar las características básicas del cliente. Este articulo trata una primera fase la cual consiste en aplicar una metodología cualitativa combinada con métodos estadísticos.This article shows the development of a method for constructing a model for assigning credits at Cooperativa Belén Ahorro y Crédito consumption loans. For this purpose, existing Colombian norms and the need for having a score system (customer individual qualification are used to optimize times of sale processes and study of credit requests, in order to determine the customer's basic characteristics. This article deals with the first stage of the process when a qualitative methodology is used together with statistical methods.

  17. Costly Credit and Sticky Prices

    OpenAIRE

    Lucy Qian Liu; Liang Wang; Randall Wright

    2015-01-01

    We construct a model where money and credit are alternative payment instruments, use it to analyze sluggish nominal prices, and confront the data. Equilibria entail price dispersion, where sellers set nominal terms that they may keep fixed when aggregate conditions change. Buyers use cash and credit, with the former (latter) subject to inflation (transaction costs). We provide strong analytic results and exact solutions for money demand. Calibrated versions match price-change data well, with ...

  18. A Quantitative Software Risk Assessment Model

    Science.gov (United States)

    Lee, Alice

    2002-01-01

    This slide presentation reviews a risk assessment model as applied to software development. the presentation uses graphs to demonstrate basic concepts of software reliability. It also discusses the application to the risk model to the software development life cycle.

  19. Determinants affecting consumer adoption of contactless credit card: an empirical study.

    Science.gov (United States)

    Wang, Yu-Min

    2008-12-01

    The contactless credit card is one of the most promising technological innovations in the field of electronic payments. It provides consumers with greater control of payments, convenience, and transaction speed. However, contactless credit cards have yet to gain significant rates of adoption in the marketplace. Thus, effort must be made to identify factors affecting consumer adoption of contactless credit cards. Based on the technology acceptance model, innovation diffusion theory, and the relevant literature, seven variables (perceived usefulness, perceived ease of use, compatibility, perceived risk, trust, consumer involvement, availability of infrastructure) are proposed to help predict consumer adoption of contactless credit cards. Data collected from 312 respondents in Taiwan is tested against the proposed prediction model using the logistic regression approach. The results and implications of our study contribute to an expanded understanding of the factors that affect consumer adoption of contactless credit cards.

  20. How to Manage the Mortgage Credit Risk in Turkey? Can Dual-indexed Mortgages be a Remedy?

    OpenAIRE

    Ali Alp; M. Mete Doganay

    2009-01-01

    A market-oriented housing finance system has been under discussion in Turkey recently. In this article we analyze different types of mortgages that have been used in developed and developing countries to select the one that is most appropriate for Turkey-one which minimizes risks for both lenders and borrowers. Each type of mortgage presents different risks to borrowers and lenders. After taking into consideration the economic history of Turkey, we conclude that the most appropriate mortgage ...

  1. Credit Scoring by Fuzzy Support Vector Machines with a Novel Membership Function

    Directory of Open Access Journals (Sweden)

    Jian Shi

    2016-11-01

    Full Text Available Due to the recent financial crisis and European debt crisis, credit risk evaluation has become an increasingly important issue for financial institutions. Reliable credit scoring models are crucial for commercial banks to evaluate the financial performance of clients and have been widely studied in the fields of statistics and machine learning. In this paper a novel fuzzy support vector machine (SVM credit scoring model is proposed for credit risk analysis, in which fuzzy membership is adopted to indicate different contribution of each input point to the learning of SVM classification hyperplane. Considering the methodological consistency, support vector data description (SVDD is introduced to construct the fuzzy membership function and to reduce the effect of outliers and noises. The SVDD-based fuzzy SVM model is tested against the traditional fuzzy SVM on two real-world datasets and the research results confirm the effectiveness of the presented method.

  2. Statistical models for competing risk analysis

    International Nuclear Information System (INIS)

    Sather, H.N.

    1976-08-01

    Research results on three new models for potential applications in competing risks problems. One section covers the basic statistical relationships underlying the subsequent competing risks model development. Another discusses the problem of comparing cause-specific risk structure by competing risks theory in two homogeneous populations, P1 and P2. Weibull models which allow more generality than the Berkson and Elveback models are studied for the effect of time on the hazard function. The use of concomitant information for modeling single-risk survival is extended to the multiple failure mode domain of competing risks. The model used to illustrate the use of this methodology is a life table model which has constant hazards within pre-designated intervals of the time scale. Two parametric models for bivariate dependent competing risks, which provide interesting alternatives, are proposed and examined

  3. The Credit of Fire and Explosion Index for Risk Assessment of Iso-Max Unit in an Oil Refinery

    OpenAIRE

    Mohammad Javad Jafari; Mohammad Movahhedi; Mohsen Zarei

    2012-01-01

    The risks of fire and explosion in oil and gas industry need to be managed. The objectives of the present study were to assess the risk of fire and explosion in Iso-max unit of Tehran Oil Refinery using Dow’s fire and explosion index and to study the influences of the controlling methods. The latest version of DOW fire and explosion index guideline was applied to calculate the fire and explosion index at process subunits of Iso-max. The important process subunits in Iso-max unit were identifi...

  4. Environmental modeling and health risk analysis (ACTS/RISK)

    National Research Council Canada - National Science Library

    Aral, M. M

    2010-01-01

    ... presents a review of the topics of exposure and health risk analysis. The Analytical Contaminant Transport Analysis System (ACTS) and Health RISK Analysis (RISK) software tools are an integral part of the book and provide computational platforms for all the models discussed herein. The most recent versions of these two softwa...

  5. Risk matrix model for rotating equipment

    Directory of Open Access Journals (Sweden)

    Wassan Rano Khan

    2014-07-01

    Full Text Available Different industries have various residual risk levels for their rotating equipment. Accordingly the occurrence rate of the failures and associated failure consequences categories are different. Thus, a generalized risk matrix model is developed in this study which can fit various available risk matrix standards. This generalized risk matrix will be helpful to develop new risk matrix, to fit the required risk assessment scenario for rotating equipment. Power generation system was taken as case study. It was observed that eight subsystems were under risk. Only vibration monitor system was under high risk category, while remaining seven subsystems were under serious and medium risk categories.

  6. 12 CFR 201.3 - Extensions of credit generally.

    Science.gov (United States)

    2010-01-01

    ... experience to provide credit ratings that would assist in the Federal Reserve Bank of New York's risk... agrees to— (i) Discuss with the Federal Reserve its views of the credit risk of any transaction within... 12 Banks and Banking 2 2010-01-01 2010-01-01 false Extensions of credit generally. 201.3 Section...

  7. Precautionary Borrowing and the Credit Card Debt Puzzle

    DEFF Research Database (Denmark)

    Druedahl, Jeppe; Jørgensen, Casper Nordal

    2015-01-01

    This paper addresses the credit card debt puzzle using a generalization of the buffer-stock consumption model with long-term revolving debt contracts. Closely resembling actual US credit card law, we assume that card issuers can always deny their cardholders access to new debt, but that they cannot...... to simultaneously hold positive gross debt and positive gross assets even though the interest rate on the debt is much higher than the return rate on the assets. Including a risk of being excluded from new borrowing which is positively correlated with unemployment, we are able to simultaneously explain...

  8. CREDIT CARD FRAUD

    Directory of Open Access Journals (Sweden)

    Lăcrămioara BALAN

    2011-06-01

    Full Text Available Credit card fraud is the misuse of a credit card to make purchases without authorization or counterfeiting acredit card. Credit cards are the most often used electronic payment instrument. Types of credit card fraud are: onlinecredit card fraud, advance payments, stolen card numbers, shave and paste, de-emboss/re-emboss etc. If current growthrates continue, credit cards and debit cards will each exceed the number of paid checks before the end of the decade. Asthe industry continues to expand and offer credit to more and more consumers, fraud will also grow.

  9. Descriptive models of perceived risk

    OpenAIRE

    Wang, Yitong; Keller, L. Robin; Simon, Jay

    2010-01-01

    Risk plays a central role in decision making. Accordingly, risk has been a popular research topic for more than four decades. Finding a generic definition of risk is hard, since this term is used in many areas such as economics, political science, management science, and medical research. However, one thing in common is that risk is always related to both the negative outcomes and uncertainty. In addition, we know that risk is normally subjective and constructed ...

  10. Credit Supply and Corporate Innovation

    DEFF Research Database (Denmark)

    Amore, Mario Daniele; Schneider, Cédric; Zaldokas, Alminas

    We present evidence that banking development plays a key role in technological progress. We focus on firms’ innovative performance, measured by patent-based metrics, and employ exogenous variations in banking development arising from the staggered deregulation of banking activities across U.S. st...... by a greater ability of deregulated banks to geographically diversify credit risk....

  11. Credit Supply and Corporate Innovation

    DEFF Research Database (Denmark)

    Amore, Mario Daniele; Schneider, Cédric; Žaldokas, Alminas

    2013-01-01

    We present evidence that banking development plays a key role in technological progress. We focus on manufacturing firms' innovative performance, measured by patent-based metrics, and employ exogenous variations in banking development arising from the staggered deregulation of banking activities ...... that these results are strongly driven by a greater ability of deregulated banks to geographically diversify credit risk....

  12. WHAT INFLUENCE CREDIT CARD DEBTS IN YOUNG CONSUMERS IN MALAYSIA

    Directory of Open Access Journals (Sweden)

    Syed Shah ALAM

    2014-12-01

    Full Text Available This paper examines empirically antecedents of the credit card debts in young consumers in Malaysia. We examine whether easy access to credit card, credit card related knowledge, aggressive promotion by credit card industry, low minimum payment requirement and attitude towards credit cards influence credit card debts in the younger generation. Regression model was used to meet the objectives. These findings based on a sample of 240 young credit card holders, show that the factors that affect credit card debts are credit card related knowledge, aggressive promotion by credit card industry and low minimum payment requirements. These findings also provide insights for both bank management and policy-makers to improve the bank performance in terms of credit card debts.

  13. Optimal transfer, ordering and payment policies for joint supplier-buyer inventory model with price-sensitive trapezoidal demand and net credit

    Science.gov (United States)

    Shah, Nita H.; Shah, Digeshkumar B.; Patel, Dushyantkumar G.

    2015-07-01

    This study aims at formulating an integrated supplier-buyer inventory model when market demand is variable price-sensitive trapezoidal and the supplier offers a choice between discount in unit price and permissible delay period for settling the accounts due against the purchases made. This type of trade credit is termed as 'net credit'. In this policy, if the buyer pays within offered time M1, then the buyer is entitled for a cash discount; otherwise the full account must be settled by the time M2; where M2 > M1 ⩾ 0. The goal is to determine the optimal selling price, procurement quantity, number of transfers from the supplier to the buyer and payment time to maximise the joint profit per unit time. An algorithm is worked out to obtain the optimal solution. A numerical example is given to validate the proposed model. The managerial insights based on sensitivity analysis are deduced.

  14. Risk assessment models in the tourism sector

    Directory of Open Access Journals (Sweden)

    Simanavicius Arturas

    2015-05-01

    Full Text Available One of the most prominent contemporary success stories is tourism. This industry began to significantly increase only in 1960, and during the last 50 years, tourism revenues and number of outgoing people have increased by a number of times. Therefore, the tourism sector is highly attractive to new business initiation and development of its dynamic growth, new activities, new trends and technologies, new markets and rapid changes. Purpose of the article - to analyze the prevailing risks in the tourism sector and to identify the business risk assessment models. Scientists pay big attention to risk analysis. A series of risk analysis theoretical, methodological and practical studies are made, but for the tourism risk scientistseconomists do not pay attention in practice. Tourism risk assessment models, analyzed in the article, showed their adaptability to tourism industry. Performed tourism economic risk assessment models showed that in the tourism risk classification it is appropriate to use a procedural approach, which is related to the tourism product identification stages. It would be logical to link the identification of risks to the tourism services in stages, as in each stage prevails certain risk groups The aim of the article - to analyze the tourism risk assessment models and on the basis of analysis to develop further tourism risk assessment model. Article originality is associated with the prepared tourism risk assessment model that is versatile and can be used in different countries in assessing the risks of tourism.

  15. Concentration risk

    Directory of Open Access Journals (Sweden)

    Matić Vesna

    2016-01-01

    Full Text Available Concentration risk has been gaining a special dimension in the contemporary financial and economic environment. Financial institutions are exposed to this risk mainly in the field of lending, mostly through their credit activities and concentration of credit portfolios. This refers to the concentration of different exposures within a single risk category (credit risk, market risk, operational risk, liquidity risk.

  16. MBS Ratings and the Mortgage Credit Boom

    NARCIS (Netherlands)

    Ashcraft, A.; Goldsmith-Pinkham, P.; Vickery, J.

    2010-01-01

    We study credit ratings on subprime and Alt-A mortgage-backed securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly-rated securities in each deal is decreasing in mortgage credit risk (measured either ex-ante or ex-post), suggesting

  17. 76 FR 41590 - Equal Credit Opportunity

    Science.gov (United States)

    2011-07-15

    ... Rule generally requires a creditor to provide a risk-based pricing notice to a consumer when the.... SUMMARY: Section 701 of the Equal Credit Opportunity Act (ECOA) requires a creditor to notify a credit... content required by both the ECOA and the FCRA adverse action provisions, so that creditors can use the...

  18. RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE

    Directory of Open Access Journals (Sweden)

    Ming-Chang LEE

    2015-07-01

    Full Text Available In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analysis based optimization decisions are rational allocation of assets.  The risk analysis and asset allocation are the key technology of banking and risk management.  The aim of this paper, build a loan portfolio optimization model based on risk analysis.  Loan portfolio rate of return by using Value-at-Risk (VaR and Conditional Value-at-Risk (CVaR constraint optimization decision model reflects the bank's risk tolerance, and the potential loss of direct control of the bank.  In this paper, it analyze a general risk management model applied to portfolio problems with VaR and CVaR risk measures by using Using the Lagrangian Algorithm.  This paper solves the highly difficult problem by matrix operation method.  Therefore, the combination of this paper is easy understanding the portfolio problems with VaR and CVaR risk model is a hyperbola in mean-standard deviation space.  It is easy calculation in proposed method.

  19. Credit Card Quiz.

    Science.gov (United States)

    Marks, Jeff

    2000-01-01

    Describes an activity in which students design credit cards and discover for themselves the mathematical realities of buying on credit. Employs multiple-intelligence theory to increase the chance that all students will be reached. (YDS)

  20. Credit Union Headquarters

    Data.gov (United States)

    Department of Homeland Security — The National Credit Union Administration (NCUA) is the independent federal agency that charters and supervises federal credit unions. NCUA, backed of the full faith...

  1. Retailer's optimal credit period and cycle time in a supply chain for deteriorating items with up-stream and down-stream trade credits

    Science.gov (United States)

    Mahata, Gour Chandra

    2015-09-01

    In practice, the supplier often offers the retailers a trade credit period and the retailer in turn provides a trade credit period to her/his customer to stimulate sales and reduce inventory. From the retailer's perspective, granting trade credit not only increases sales and revenue but also increases opportunity cost (i.e., the capital opportunity loss during credit period) and default risk (i.e., the percentage that the customer will not be able to pay off his/her debt obligations). Hence, how to determine credit period is increasingly recognized as an important strategy to increase retailer's profitability. Also, the selling items such as fruits, fresh fishes, gasoline, photographic films, pharmaceuticals and volatile liquids deteriorate continuously due to evaporation, obsolescence and spoilage. In this paper, we propose an economic order quantity model for the retailer where (1) the supplier provides an up-stream trade credit and the retailer also offers a down-stream trade credit, (2) the retailer's down-stream trade credit to the buyer not only increases sales and revenue but also opportunity cost and default risk, and (3) the selling items are perishable. Under these conditions, we model the retailer's inventory system as a profit maximization problem to determine the retailer's optimal replenishment decisions under the supply chain management. We then show that the retailer's optimal credit period and cycle time not only exist but also are unique. We deduce some previously published results of other researchers as special cases. Finally, we use some numerical examples to illustrate the theoretical results.

  2. Rent pricing decision support mathematical model for finance leases under effective risks

    Directory of Open Access Journals (Sweden)

    Rabbani Masoud

    2015-01-01

    Full Text Available Nowadays, leasing has become an increasingly important and popular method for equipment acquisition. But, because of the rent pricing difficulties and some risks that affect the lessor and lessee's decision making, there are many people that still tend to buy equipment instead of lease it. In this paper we explore how risk can affect the leasing issue support mathematical model. For this purpose, we consider three types of risk; Credit risk, Transaction risk and Risk based pricing. In particular, our focus was on how to make decision about rent pricing in a leasing problem with different customers, various quality levels and different pricing methods. Finally, the mathematical model has been solved by Genetic Algorithm that is a search heuristic to optimize the problem. This algorithm was coded in MATLAB® R2012a to provide the best set of results.

  3. Credit Risk Analysis of Local Government Financing Platform – An empirical study based on KMV model

    Directory of Open Access Journals (Sweden)

    Zhou Tingting

    2015-01-01

    Full Text Available The local government financing platform is set up by local government through state-owned assets, real estate and equity capital. The functions of these companies are financing, construction, operation, the repaying debts. The local government financing platform can broaden the financing channels of local government in a great extent; alleviate the pressure of capital requirement. But at the same time, with the gradual expansion of the scale of debt, a series of problems has arisen: the amount of financing platform companies is huge, debt repayment depends too much on real estate price, the integration of government administration with enterprise, capital injection, and accounts of these companies are not well exposed. Once these problems outbreak, it may cause a series of financial crises, thereby threaten the entire banking industry even the healthy development of the national economy.

  4. Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk

    NARCIS (Netherlands)

    Hoogland, J.K.; Neumann, C.D.D.; Vellekoop, M.H.

    It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of 'change of numeraire', but in recent work it was shown that when invoked as a fundamental first

  5. Credit Participation and Credit Source Selection of Vietnam Small and Medium Enterprises

    Directory of Open Access Journals (Sweden)

    Nguyen Anh Hoang

    2014-10-01

    Full Text Available This study is an attempt to investigate the motivation behind the decision to participate in the credit market of SMEs from perspectives of behavioral finance and social capital theories. In addi- tion, the study also examines the effect of behavioral finance and social capital factors on the credit source selection among SMEs. This study’s design strategy involves conducting questionnaire sur- veys to SMEs owners and statistical techniques to analyze the determinants of credit participation and credit source selection of borrowers. The findings showed that personal traits of SMEs owners/ managers in terms of behavioral finance factors such as debt and risk attitudes, present biased and overconfidence and firms networking also have impacts on the firms’ credit participation and credit source selection. The research is one of the few studies that consider the influence of behavioral finance factors on firms financing decision. Furthermore, our result also contributes to explain the common use of informal credit market in developing countries.

  6. Chinese Registry of rheumatoid arthritis (CREDIT): II. prevalence and risk factors of major comorbidities in Chinese patients with rheumatoid arthritis.

    Science.gov (United States)

    Jin, Shangyi; Li, Mengtao; Fang, Yongfei; Li, Qin; Liu, Ju; Duan, Xinwang; Liu, Yi; Wu, Rui; Shi, Xiaofei; Wang, Yongfu; Jiang, Zhenyu; Wang, Yanhong; Yu, Chen; Wang, Qian; Tian, Xinping; Zhao, Yan; Zeng, Xiaofeng

    2017-11-15

    Rheumatoid arthritis patients are at higher risk of developing comorbidities. The main objective of this study was to evaluate the prevalence of major comorbidities in Chinese rheumatoid arthritis patients. We also aimed to identify factors associated with these comorbidities. Baseline demographic, clinical characteristics and comorbidity data from RA patients enrolled in the Chinese Registry of rhEumatoiD arthrITis (CREDIT) from Nov 2016 to August 2017 were presented and compared with those from five other registries across the world. Possible factors related to three major comorbidities (cardiovascular disease, fragility fracture and malignancy) were identified using multivariate logistic regression analyses. A total of 13,210 RA patients were included (80.6% female, mean age 52.9 years and median RA duration 4.0 years). Baseline prevalence rates of major comorbidities were calculated: CVD, 2.2% (95% CI 2.0-2.5%); fragility fracture, 1.7% (95% CI 1.5-1.9%); malignancy, 0.6% (95% CI 0.5-0.7%); overall major comorbidities, 4.2% (95% CI 3.9-4.6%). Advanced age was associated with all comorbidities. Male gender and disease duration were positively related to CVD. Female sex and longer disease duration were potential risk factors for fragility fractures. Ever use of methotrexate (MTX) was negatively related to baseline comorbidities. Patients with rheumatoid arthritis in China have similar prevalence of comorbidities with other Asian countries. Advanced age and long disease duration are possible risk factors for comorbidities. On the contrary, MTX may protect RA patients from several major comorbidities, supporting its central role in the management of rheumatoid arthritis.

  7. A comparison of models for risk assessment

    International Nuclear Information System (INIS)

    Kellerer, A.M.; Jing Chen

    1993-01-01

    Various mathematical models have been used to represent the dependence of excess cancer risk on dose, age and time since exposure. For solid cancers, i.e. all cancers except leukaemia, the so-called relative risk model is usually employed. However, there can be quite different relative risk models. The most usual model for the quantification of excess tumour rate among the atomic bomb survivors has been a dependence of the relative risk on age at exposure, but it has been shown recently that an age attained model can be equally applied, to represent the observations among the atomic bomb survivors. The differences between the models and their implications are explained. It is also shown that the age attained model is similar to the approaches that have been used in the analysis of lung cancer incidence among radon exposed miners. A more unified approach to modelling of radiation risks can thus be achieved. (3 figs.)

  8. Competing Risks and Multistate Models with R

    CERN Document Server

    Beyersmann, Jan; Schumacher, Martin

    2012-01-01

    This book covers competing risks and multistate models, sometimes summarized as event history analysis. These models generalize the analysis of time to a single event (survival analysis) to analysing the timing of distinct terminal events (competing risks) and possible intermediate events (multistate models). Both R and multistate methods are promoted with a focus on nonparametric methods.

  9. Modeling Research Project Risks with Fuzzy Maps

    Science.gov (United States)

    Bodea, Constanta Nicoleta; Dascalu, Mariana Iuliana

    2009-01-01

    The authors propose a risks evaluation model for research projects. The model is based on fuzzy inference. The knowledge base for fuzzy process is built with a causal and cognitive map of risks. The map was especially developed for research projects, taken into account their typical lifecycle. The model was applied to an e-testing research…

  10. Modeling for operational event risk assessment

    International Nuclear Information System (INIS)

    Sattison, M.B.

    1997-01-01

    The U.S. Nuclear Regulatory Commission has been using risk models to evaluate the risk significance of operational events in U.S. commercial nuclear power plants for more seventeen years. During that time, the models have evolved in response to the advances in risk assessment technology and insights gained with experience. Evaluation techniques fall into two categories, initiating event assessments and condition assessments. The models used for these analyses have become uniquely specialized for just this purpose

  11. Risk Modelling for Passages in Approach Channel

    Directory of Open Access Journals (Sweden)

    Leszek Smolarek

    2013-01-01

    Full Text Available Methods of multivariate statistics, stochastic processes, and simulation methods are used to identify and assess the risk measures. This paper presents the use of generalized linear models and Markov models to study risks to ships along the approach channel. These models combined with simulation testing are used to determine the time required for continuous monitoring of endangered objects or period at which the level of risk should be verified.

  12. Estimation of Credit and Default Spreads: An Application to CDO Valuation

    OpenAIRE

    Jaesun Noh

    2004-01-01

    Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing securities markets in the last several years. In particular, the credit risk on a corporate balance sheet has become an important topic. Along with this growing importance of credit risk, the developme...

  13. 77 FR 22019 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change to...

    Science.gov (United States)

    2012-04-12

    ... recommendations to approve from the ICE Clear Credit Risk Committee on March 21, 2012, and the ICE Clear Credit Risk Management Subcommittee on March 7, 2012. However, the ICE Clear Credit Board, Risk Committee and...). The concerns raised by the ICE Clear Credit Board, Risk Committee, and Risk Management Subcommittee...

  14. Determinants of SME credit worthiness under Basel rules: the value of credit history information

    Directory of Open Access Journals (Sweden)

    Francesco Dainelli

    2013-03-01

    Full Text Available The Basel III Accord has reportedly had an impact on SME financing. In this paper, we aim to highlight the determinants of SME credit worthiness. We use credit history in addition to financial ratios and “hybrid” indicators that have been built by mixing credit history with financial statement data. We develop a failure prediction logit model on 187 Italian SMEs. The use of short-term credit lines is the most important variable. Contrary to common understanding, capitalization levels do not affect ratings. Lastly, credit worthiness is sensitive to sale profitability.

  15. Functionality of the Scoring and Rating Models in the Light of Implementation of New Regulations

    OpenAIRE

    Barbara Pawłowska

    2008-01-01

    The paper's intention is to present the functionality of the scoring and rating models approved by the New Capital Agreement and the Capital Requirements Directive in the context of credit risk management. The know-how transfers initiated the process of superseding the traditional credit risk assessment methods by new methods. The scoring and rating models are being successfully used by foreign banking institutions. A synthesis of views on credit risk assessment methods (credit scoring and cr...

  16. MATHEMATICAL RISK ANALYSIS: VIA NICHOLAS RISK MODEL AND BAYESIAN ANALYSIS

    Directory of Open Access Journals (Sweden)

    Anass BAYAGA

    2010-07-01

    Full Text Available The objective of this second part of a two-phased study was to explorethe predictive power of quantitative risk analysis (QRA method andprocess within Higher Education Institution (HEI. The method and process investigated the use impact analysis via Nicholas risk model and Bayesian analysis, with a sample of hundred (100 risk analysts in a historically black South African University in the greater Eastern Cape Province.The first findings supported and confirmed previous literature (KingIII report, 2009: Nicholas and Steyn, 2008: Stoney, 2007: COSA, 2004 that there was a direct relationship between risk factor, its likelihood and impact, certiris paribus. The second finding in relation to either controlling the likelihood or the impact of occurrence of risk (Nicholas risk model was that to have a brighter risk reward, it was important to control the likelihood ofoccurrence of risks as compared with its impact so to have a direct effect on entire University. On the Bayesian analysis, thus third finding, the impact of risk should be predicted along three aspects. These aspects included the human impact (decisions made, the property impact (students and infrastructural based and the business impact. Lastly, the study revealed that although in most business cases, where as business cycles considerably vary dependingon the industry and or the institution, this study revealed that, most impacts in HEI (University was within the period of one academic.The recommendation was that application of quantitative risk analysisshould be related to current legislative framework that affects HEI.

  17. Credit risk determinants in Sub-Saharan banking systems: Evidence from five countries and lessons learnt from Central East and South East European countries

    Directory of Open Access Journals (Sweden)

    Eftychia Nikolaidou

    2017-06-01

    Full Text Available Banking systems in Sub-Saharan Africa (SSA have grown notably over the past decades due to benign macroeconomic, regulatory and financial trends. Nonetheless, downside risks remain elevated by structural issues, commodity price fluctuations, reversal of capital flows and spill-over effects from external shocks in a manner similar to the Central East and South East European (CESEE countries. In the light of the 2008–2009 Global Financial Crisis, great attention has been given to understanding the causes of banking instability with most of the research focusing on advanced economies and, to a lesser extent, large emerging markets while little attention has been paid to the bank-based financial sectors of Sub-Saharan Africa. Furthermore, there is scarcity of studies aiming at knowledge-sharing among different emerging economies. This paper aims to identify the determinants of bank credit risk by focusing on five SSA countries: Kenya, Namibia, South Africa, Zambia and Uganda. Using the ARDL approach to cointegration, findings indicate that increased money supply conditions have a decreasing effect on NPLs in all counties, banking industry-specific variables play a significant role in the case of South Africa and Uganda while NPLs are driven by country-specific variables in the case of Kenya, South Africa and Zambia. The effect of the Global Financial Crisis is evidenced indirectly. Drawing on evidence from CESEE countries with long experience in banking crises, reforms and financial deepening process, the paper provides lessons for SSA countries and offers policy recommendations in the direction of strengthening banks’ balance sheets to ensure financial stability.

  18. ISM Approach to Model Offshore Outsourcing Risks

    Directory of Open Access Journals (Sweden)

    Sunand Kumar

    2014-07-01

    Full Text Available In an effort to achieve a competitive advantage via cost reductions and improved market responsiveness, organizations are increasingly employing offshore outsourcing as a major component of their supply chain strategies. But as evident from literature number of risks such as Political risk, Risk due to cultural differences, Compliance and regulatory risk, Opportunistic risk and Organization structural risk, which adversely affect the performance of offshore outsourcing in a supply chain network. This also leads to dissatisfaction among different stake holders. The main objective of this paper is to identify and understand the mutual interaction among various risks which affect the performance of offshore outsourcing.  To this effect, authors have identified various risks through extant review of literature.  From this information, an integrated model using interpretive structural modelling (ISM for risks affecting offshore outsourcing is developed and the structural relationships between these risks are modeled.  Further, MICMAC analysis is done to analyze the driving power and dependency of risks which shall be helpful to managers to identify and classify important criterions and to reveal the direct and indirect effects of each criterion on offshore outsourcing. Results show that political risk and risk due to cultural differences are act as strong drivers.

  19. Caries risk assessment models in caries prediction

    Directory of Open Access Journals (Sweden)

    Amila Zukanović

    2013-11-01

    Full Text Available Objective. The aim of this research was to assess the efficiency of different multifactor models in caries prediction. Material and methods. Data from the questionnaire and objective examination of 109 examinees was entered into the Cariogram, Previser and Caries-Risk Assessment Tool (CAT multifactor risk assessment models. Caries risk was assessed with the help of all three models for each patient, classifying them as low, medium or high-risk patients. The development of new caries lesions over a period of three years [Decay Missing Filled Tooth (DMFT increment = difference between Decay Missing Filled Tooth Surface (DMFTS index at baseline and follow up], provided for examination of the predictive capacity concerning different multifactor models. Results. The data gathered showed that different multifactor risk assessment models give significantly different results (Friedman test: Chi square = 100.073, p=0.000. Cariogram is the model which identified the majority of examinees as medium risk patients (70%. The other two models were more radical in risk assessment, giving more unfavorable risk –profiles for patients. In only 12% of the patients did the three multifactor models assess the risk in the same way. Previser and CAT gave the same results in 63% of cases – the Wilcoxon test showed that there is no statistically significant difference in caries risk assessment between these two models (Z = -1.805, p=0.071. Conclusions. Evaluation of three different multifactor caries risk assessment models (Cariogram, PreViser and CAT showed that only the Cariogram can successfully predict new caries development in 12-year-old Bosnian children.

  20. WHOLE FARM RISK-RATING MICROCOMPUTER MODEL

    OpenAIRE

    Anderson, Kim B.; Ikerd, John E.

    1985-01-01

    The Risk-Rating Model is designed to give extension specialists, teachers, and producers a method to analyze production, marketing, and financial risks. These risks may be analyzed either individually or simultaneously. The risk associated with each enterprise, for all combinations of enterprises, and for any combination of marketing strategies is estimated. Optimistic, expected, and pessimistic returns above variable cost and/or total cost are presented in the results. The probability that t...

  1. Why operational risk modelling creates inverse incentives

    NARCIS (Netherlands)

    Doff, R.

    2015-01-01

    Operational risk modelling has become commonplace in large international banks and is gaining popularity in the insurance industry as well. This is partly due to financial regulation (Basel II, Solvency II). This article argues that operational risk modelling is fundamentally flawed, despite efforts

  2. Assessing the Impact of Credit Constraints on Farm Household ...

    African Journals Online (AJOL)

    The majority of farm households (71%) have to endure credit constraints. The results of descriptive statistics indicate that the lack of collateral, the loan terms conditions, the credit technology, the higher level of agricultural risks, the high interest rates and the low returns on farming activities explain the limited access to credit ...

  3. Determinants Of Agricultural Credit Supply To Farmers In The Niger ...

    African Journals Online (AJOL)

    The determinants of credit supply for agricultural purposes were found to be profitability of the investment, level of assets of the farmer-borrower interest rate, availability of credit, loan transaction costs, and level of risk bearing. Results show that the availability of credit was considered an extremely important factor in the ...

  4. Korean risk assessment model for breast cancer risk prediction.

    Directory of Open Access Journals (Sweden)

    Boyoung Park

    Full Text Available PURPOSE: We evaluated the performance of the Gail model for a Korean population and developed a Korean breast cancer risk assessment tool (KoBCRAT based upon equations developed for the Gail model for predicting breast cancer risk. METHODS: Using 3,789 sets of cases and controls, risk factors for breast cancer among Koreans were identified. Individual probabilities were projected using Gail's equations and Korean hazard data. We compared the 5-year and lifetime risk produced using the modified Gail model which applied Korean incidence and mortality data and the parameter estimators from the original Gail model with those produced using the KoBCRAT. We validated the KoBCRAT based on the expected/observed breast cancer incidence and area under the curve (AUC using two Korean cohorts: the Korean Multicenter Cancer Cohort (KMCC and National Cancer Center (NCC cohort. RESULTS: The major risk factors under the age of 50 were family history, age at menarche, age at first full-term pregnancy, menopausal status, breastfeeding duration, oral contraceptive usage, and exercise, while those at and over the age of 50 were family history, age at menarche, age at menopause, pregnancy experience, body mass index, oral contraceptive usage, and exercise. The modified Gail model produced lower 5-year risk for the cases than for the controls (p = 0.017, while the KoBCRAT produced higher 5-year and lifetime risk for the cases than for the controls (p<0.001 and <0.001, respectively. The observed incidence of breast cancer in the two cohorts was similar to the expected incidence from the KoBCRAT (KMCC, p = 0.880; NCC, p = 0.878. The AUC using the KoBCRAT was 0.61 for the KMCC and 0.89 for the NCC cohort. CONCLUSIONS: Our findings suggest that the KoBCRAT is a better tool for predicting the risk of breast cancer in Korean women, especially urban women.

  5. Dynamic Dependence and Diversification in Corporate Credit

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Jin, Xisong

    We characterize dependence and tail dependence 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 the dependence dynamics for credit spreads and equity returns....

  6. Dynamic Dependence and Diversification in Corporate Credit

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Jin, Xisong

    We characterize dependence and tail dependence 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 the dependence dynamics for credit spreads and equity returns...

  7. A methodology for modeling regional terrorism risk.

    Science.gov (United States)

    Chatterjee, Samrat; Abkowitz, Mark D

    2011-07-01

    Over the past decade, terrorism risk has become a prominent consideration in protecting the well-being of individuals and organizations. More recently, there has been interest in not only quantifying terrorism risk, but also placing it in the context of an all-hazards environment in which consideration is given to accidents and natural hazards, as well as intentional acts. This article discusses the development of a regional terrorism risk assessment model designed for this purpose. The approach taken is to model terrorism risk as a dependent variable, expressed in expected annual monetary terms, as a function of attributes of population concentration and critical infrastructure. This allows for an assessment of regional terrorism risk in and of itself, as well as in relation to man-made accident and natural hazard risks, so that mitigation resources can be allocated in an effective manner. The adopted methodology incorporates elements of two terrorism risk modeling approaches (event-based models and risk indicators), producing results that can be utilized at various jurisdictional levels. The validity, strengths, and limitations of the model are discussed in the context of a case study application within the United States. © 2011 Society for Risk Analysis.

  8. Rational Multi-curve Models with Counterparty-risk Valuation Adjustments

    DEFF Research Database (Denmark)

    Crépey, Stéphane; Macrina, Andrea; Nguyen, Tuyet Mai

    2016-01-01

    We develop a multi-curve term structure set-up in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to London Interbank Offer Rate swaptions data and show that a rational two-factor log-normal multi-curve model is sufficient to match market da...... with regulatory obligations. In order to compute counterparty-risk valuation adjustments, such as credit valuation adjustment, we show how default intensity processes with rational form can be derived. We flesh out our study by applying the results to a basis swap contract....... with accuracy. We elucidate the relationship between the models developed and calibrated under a risk-neutral measure Q and their consistent equivalence class under the real-world probability measure P. The consistent P-pricing models are applied to compute the risk exposures which may be required to comply...

  9. Expert judgement models in quantitative risk assessment

    International Nuclear Information System (INIS)

    Rosqvist, T.; Tuominen, R.

    1999-01-01

    Expert judgement is a valuable source of information in risk management. Especially, risk-based decision making relies significantly on quantitative risk assessment, which requires numerical data describing the initiator event frequencies and conditional probabilities in the risk model. This data is seldom found in databases and has to be elicited from qualified experts. In this report, we discuss some modelling approaches to expert judgement in risk modelling. A classical and a Bayesian expert model is presented and applied to real case expert judgement data. The cornerstone in the models is the log-normal distribution, which is argued to be a satisfactory choice for modelling degree-of-belief type probability distributions with respect to the unknown parameters in a risk model. Expert judgements are qualified according to bias, dispersion, and dependency, which are treated differently in the classical and Bayesian approaches. The differences are pointed out and related to the application task. Differences in the results obtained from the different approaches, as applied to real case expert judgement data, are discussed. Also, the role of a degree-of-belief type probability in risk decision making is discussed

  10. Burnup credit feasibility for BWR spent fuel shipments

    International Nuclear Information System (INIS)

    Broadhead, B.L.

    1990-01-01

    Considerable interest in the allowance of reactivity credit for the exposure history of power reactor fuel currently exists. This ''burnup credit'' issue has the potential to greatly reduce risk and cost when applied to the design and certification of spent of fuel casks used for transportation and storage. Analyses 1 have shown the feasibility estimated the risk and economic incentives for allowing burnup credit in pressurized water reactor (PWR) spent fuel shipping cask applications. This paper summarizes the extension of the previous PWR feasibility assessments to boiling water reactor (BWR) fuel. As with the PWR analysis, the purpose was not verification of burnup credit (see ref. 2 for ongoing work in this area) but a reasonable assessment of the feasibility and potential gains from its use in BWR applications. This feasibility analysis aims to apply simple methods that adequately characterize the time-dependent isotopic compositions of typical BWR fuel. An initial analysis objective was to identify a simple and reliable method for characterizing BWR spent fuel. The method includes characterization of a typical pin-cell spectrum, using a one-dimensional (1-D) model of a BWR assembly. The calculated spectrum allows burnup-dependent few-group material constants to be generated. Point depletion methods were then used to obtain the time-varying characteristics of the fuel. These simple methods were validated, where practical, with multidimensional methods. 6 refs., 1 tab

  11. 75 FR 71526 - Corporate Credit Unions, Technical Corrections

    Science.gov (United States)

    2010-11-24

    ... read as follows: Sec. 704.6 Credit risk management. * * * * * (b) Exemption. The limitations and... inadvertently included particular investments that did not--when subject to the other credit risk and asset liability management limitations of part 704--present the risk of excessive losses. This interim final rule...

  12. CAUTIOUS PRACTICE IN ACCOUNTANCY CREDIT UNITS

    Directory of Open Access Journals (Sweden)

    Riana Iren RADU

    2006-01-01

    Full Text Available The constitution of the specific risk prevision refers to their creation and is realized including in the cost the sum representing the level of the necessary specific risk provisions, in case there is no provision. The constitutions, regulation and the utilization of specific risk provisions will be realized using the credit currency and/or the investments they correct. Specific risk provisions are to be determined only for the client’s balance sheet engagements. The calculation for the necessary volume of provisions is realized for each and every credit contract referring to the final client classification category.

  13. Malignancy Risk Models for Oral Lesions

    OpenAIRE

    Zarate, Ana M.; Brezzo, Mar?a M.; Secchi, Dante G.; Barra, Jos? L.; Brunotto, Mabel

    2013-01-01

    Abstract Objectives: The aim of this work was to assess risk habits, clinical and cellular phenotypes and TP53 DNA changes in oral mucosa samples from patients with Oral Potentially Malignant Disorders (OPMD), in order to create models that enable genotypic and phenotypic patterns to be obtained that determine the risk of lesions becoming malignant. Study Design: Clinical phenotypes, family history of cancer and risk habits were collected in clinical histories. TP53 gene mutation and mor...

  14. 40 CFR 1039.715 - How do I bank emission credits?

    Science.gov (United States)

    2010-07-01

    ..., Banking, and Trading for Certification § 1039.715 How do I bank emission credits? (a) Banking is the retention of emission credits by the manufacturer generating the emission credits for use in future model...

  15. 40 CFR 1045.715 - How do I bank emission credits?

    Science.gov (United States)

    2010-07-01

    ..., Banking, and Trading for Certification § 1045.715 How do I bank emission credits? (a) Banking is the retention of emission credits by the manufacturer generating the emission credits for use in future model...

  16. Nitrogen credits after peanut

    Science.gov (United States)

    Cooperative Extension throughout the Southeast currently recommends 22-67 kg N/ha credit to subsequent crops following peanut. However, these values are not supported in the peer-reviewed literature. Most of the peer-reviewed literature has shown that N credits to subsequent crops are negligible. Da...

  17. Cracking the Credit Hour

    Science.gov (United States)

    Laitinen, Amy

    2012-01-01

    The basic currency of higher education--the credit hour--represents the root of many problems plaguing America's higher education system: the practice of measuring time rather than learning. "Cracking the Credit Hour" traces the history of this time-based unit, from the days of Andrew Carnegie to recent federal efforts to define a credit…

  18. Thinking Beyond Credit

    NARCIS (Netherlands)

    Ploeg, van der J.D.

    2010-01-01

    Credit is often seen as an indispensable vehicle for the poor to get out of poverty, or as the tool that allows farmers to get access to new technologies, to increase productivity and their incomes. But many existing credit programmes often undermine farmers’ independence, tie them into dependency

  19. Dual Credit Report

    Science.gov (United States)

    Light, Noreen

    2016-01-01

    In 2015, legislation to improve access to dual-credit programs and to reduce disparities in access and completion--particularly for low income and underrepresented students--was enacted. The new law focused on expanding access to College in the High School but acknowledged issues in other dual-credit programs and reinforced the notion that cost…

  20. Rural Credit in Vietnam

    DEFF Research Database (Denmark)

    Barslund, Mikkel Christoffer; Tarp, Finn

    This paper uses a survey of 932 rural households to uncover how the rural credit market operates in four provinces of Vietnam. Households obtain credit through formal and informal lenders, but formal loans are almost entirely for production and asset accumulation. Interest rates fell from 1997...