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Applying Modern Risk Management to Equity and Credit Analysis
Risk Management Valuation Financial Reporting Decision Making Credit Financial Statements
2015/5/13
Traditional conventions of accounting and actuarial science distort the valuation of capital risk in corporations with pension plans because under these conventions, pension assets and liabilities are...
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...
Fair Value Accounting for Liabilities and Own Credit Risk
credit risk debt fair value accounting income recognition
2011/9/2
We find that equity returns associated with credit risk changes are attenuated by the debt value effect of the credit risk changes, as Merton (1974) predicts. We find that the relation between credit ...
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
Predicting New Customers' Risk Type in the Credit Card Market
Bayesian estimation customer relationship management market segmentation risk prediction
2011/8/30
Recent studies in marketing have consistently shown that all customers are not equally profitable. In the credit card business, all customers are not equally risky. When a customer misses one payment ...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Lending by numbers’: credit scoring and the constitution of risk within American consumer
consumer credit consumption credit scoring risk
2011/8/28
his paper examines how statistical credit-scoring technologies, sanctioned by the state in the interests of promoting equality, became applied by lenders to the problem of controlling levels of defaul...
On Credit-Spread Slopes and Predicting Bank Risk
constructing credit-spread curves credit-spread slopes bank risk
2011/8/28
We examine whether bank credit-spread curves, engendered by subordinated debt, would help predict bank risk. We extract credit-spread curves for each bank each quarter and analyze the predictive prope...
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective
Conditional value at risk Credit risk Industries Transition matrix Value at risk
2011/8/26
Internal credit risk modelling is important for banks for the calculation of capital adequacy in terms of the Basel Accords, and for the management of sectoral exposure. We examine Credit Value at Ris...
Sovereign Risk Ratings: Biased Toward Developed Countries?Authors:Gültekin-Karaka?
credit-rating agencies ordered logit ordered probit political risk risk premium
2011/8/23
Sovereign credit ratings are widely used measurements for "country risk" in international capital markets. However, they have been exposed to increasing criticism in the aftermath of the recent global...
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
The Surprising Use of Credit Scoring in Small Business Lending by Community Banks and the Attendant Effects on Credit Availability and Risk
banks credit scoring small business
2011/8/22
The literature has documented a positive relationship between the use of credit scoring for small business loans and small business credit availability, broadly defined. However, this literature is ha...
Credit Contagion from Counterparty Risk
Standard credit risk models observed clustering of default credit contagion direct counterparty effects
2011/8/22
Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direc...
Beyond Disparate Impact: Risk-based Pricing and Disparity in Consumer Credit History Scores
Credit scoring Risk-based pricing expanding range of activities
2011/8/22
Despite the increasing importance of credit scoring to an expanding range of activities, very little is known about the nature of the credit scoring process. This article examines the interaction of c...
We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random-Matrix theory we demonstrate analytically that the presence of correlations severely ...