Keyword: credit risk

Found 23 papers in total
The economy and loss given default: evidence from two UK retail lending data sets
The economy and loss given default: evidence from two UK retail lending data sets
2014,
Loss given default (LGD) models predict losses as a proportion of the outstanding...
On reduced-form intensity-based model with ‘trigger’ events
On reduced-form intensity-based model with ‘trigger’ events
2014,
Corporate defaults may be triggered by some major market news or events such as...
Creditworthiness dynamics and Hidden Markov Models
Creditworthiness dynamics and Hidden Markov Models
2014,
A dynamic monitoring of credit risky portfolios is described. In the first section, it...
Modelling credit risk with scarce default data: on the suitability of cooperative bootstrapped strategies for small low-default portfolios
Modelling credit risk with scarce default data: on the suitability of cooperative bootstrapped strategies for small low-default portfolios
2014,
Credit risk models are commonly based on large internal data sets to produce reliable...
Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm‐Level Evidence
Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm‐Level Evidence
2013,
Using credit default swap data, we propose a novel empirical framework to identify the...
A Market‐Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis
A Market‐Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis
2012,
We propose a new method for measuring the quality of banks' credit portfolios. This...
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models
2012,
In its complexity and its vulnerability to market volatility, the constant proportion...
The Illiquidity of Corporate Bonds
The Illiquidity of Corporate Bonds
2011,
This paper examines the illiquidity of corporate bonds and its asset‐pricing...
Credit spreads, endogenous bankruptcy and liquidity risk
Credit spreads, endogenous bankruptcy and liquidity risk
2012,
In this paper, we consider a bond valuation model with both credit risk and liquidity...
A theoretical argument why the t-copula explains credit risk contagion better than the Gaussian copula
A theoretical argument why the t-copula explains credit risk contagion better than the Gaussian copula
2010,
One of the key questions in credit dependence modelling is the specfication of the...
Effects of missing data in credit risk scoring. A comparative analysis of methods to achieve robustness in the absence of sufficient data
Effects of missing data in credit risk scoring. A comparative analysis of methods to achieve robustness in the absence of sufficient data
2010,
The 2004 Basel II Accord has pointed out the benefits of credit risk management...
Modelling Loss Given Default (LGD) for unsecured personal loans: decision tree approach
Modelling Loss Given Default (LGD) for unsecured personal loans: decision tree approach
2010,
The New Basel Accord, which was implemented in 2007, has made a significant difference...
Modelling credit risk of portfolio of consumer loans
Modelling credit risk of portfolio of consumer loans
2010,
One of the issues that the Basel Accord highlighted was that, though techniques for...
Cyclical adjustment of point-in-time PD
Cyclical adjustment of point-in-time PD
2010,
Banking regulation stipulates that to calculate minimum capital requirements a...
Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models
Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models
2009,
The New Basel accord has highlighted the need for models of the credit risk in...
Understanding supplier credits in an inflationary environment when reserve money is available
Understanding supplier credits in an inflationary environment when reserve money is available
2009,
A deterministic inventory model for a deteriorating item is explored in an...
Pricing vulnerable European options with stochastic default barriers
Pricing vulnerable European options with stochastic default barriers
2007,
This paper develops a valuation model of European options incorporating a stochastic...
A semi-analytical method for VaR and credit exposure analysis
A semi-analytical method for VaR and credit exposure analysis
2007,
In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR) and...
Credit risk optimization using factor models
Credit risk optimization using factor models
2007,
We study portfolio credit risk management using factor models, with a focus on optimal...
Strategic foreign reserves risk management: Analytical framework
Strategic foreign reserves risk management: Analytical framework
2007,
We present an analytical framework for active foreign exchange reserves management...
Measuring customer quality in retail banking
Measuring customer quality in retail banking
2005,
The retail banking sector makes heavy use of statistical models to predict various...
The informational content of credit ratings, and cyclical patterns of default rates
The informational content of credit ratings, and cyclical patterns of default rates
2002,
With the New Basle Capital Accord banks' capital requirements are determined with risk...
A simple continuous measure of credit risk
A simple continuous measure of credit risk
2005,
In this paper it is introduced a simple continuous measure of credit risk, associating...
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