Results 131 to 140 of about 1,014,131 (349)
Reforming Capital Requirements in Emerging Countries: Calibrating Basel II using Historical Argentine Credit Bureau Data and CreditRisk+ [PDF]
Emerging economies are likely to be more volatile and asset risk more correlated than in industrialized countries. In this paper we discuss how credit scoring techniques and modern credit risk portfolio models can be used to measure credit risk and check
Andrew Powell +2 more
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The Relationship between Credit Default Swaps and Net Portfolio Investments: The Case of Turkey [PDF]
, 2021 Mehmet Nar
openalex +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how institutional environments shape the effectiveness of derivative hedging in reducing corporate default risk. Using hand‐collected data from non‐financial firms across nine European countries and various econometric methods to control for endogeneity, we provide novel evidence that the risk‐reducing benefits of ...
Amrit Judge, Khai Le, Kim Ly
wiley +1 more source
Concentration risk under Pillar 2: When are credit portfolios infinitely fine grained? [PDF]
The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g.
Gürtler, Marc +2 more
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The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis
Journal of Futures Markets, EarlyView.ABSTRACT This paper revisits the relationship between the US dollar and cross‐currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well‐documented “dollar appreciates, basis widens” result holds primarily when the dollar is in ...
Daniel Felix Ahelegbey +2 more
wiley +1 more source
Greenhouse Gases: Science and Technology, EarlyView.ABSTRACT Carbon dioxide capture, utilization, and storage (CCUS) is a potential key to mitigating anthropogenic CO2 emissions and associated impacts on global climate change. Successful CCUS deployment hinges on both technological advancements and public support.
Ting Xiao +6 more
wiley +1 more source
Путеводитель предпринимателя, 2020 The article observe the problem in using the econometric approach to the assessment of the total loan risk appearing in portfolio of assorted risk of commercial bank loans. It is proposed to use the linear regression model of dependence between the value
M. A. Gorskij, E. A. Zakrevskaya
doaj
A rule of thumb for the economic capital of a large credit portfolio [PDF]
We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures.
Weißbach, Rafael
core
Greenhouse Gases: Science and Technology, EarlyView.ABSTRACT Geologic carbon storage in depleted oil and gas reservoirs is a key CO2 mitigation strategy, utilizing existing infrastructure such as injection wells and pipelines, while capitalizing on well‐characterized subsurface properties. This article introduces a versatile methodology designed to estimate critical parameters, including the number of ...
Nívia Morgana de Oliveira +2 more
wiley +1 more source
Análise do Modelo CreditRisk+ em uma amostra de portfólio de crédito
Contextus, 2013 The paper analyzes CreditRisk+ Model theoretical foundations and fulfillment in a credit portfolio sample. In this analysis, CreditRisk+ Model, one of the risk assessment models created by banks, was applied in an US portfolio sample with default events ...
Rafael Mileo +2 more
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