Results 51 to 60 of about 324,166 (346)
Portfolio Choice with Market--Credit-Risk Dependencies [PDF]
SIAM Journal on Control and Optimization, 2018 38 pages, 12 figures, Forthcoming in SIAM Journal on Control and ...
Lijun Bo, Agostino Capponi
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Restoring Trust: Rebuilding the Forest Carbon Credit System Through Scientific Rigor
Biological Diversity, EarlyView.ABSTRACT As pivotal nature‐based climate solutions (NbCS), forests are increasingly recognized for their climate mitigation potential. However, this potential is undermined by fundamental flaws in current carbon credit systems. Our analysis identifies four interconnected systemic challenges: (1) subjective additionality assessments arising from ...
Xiaoqian Che, Shaokun Li
wiley +1 more source
Tails of Credit Default Portfolios
, 2003 We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit default portfolio. Our model is an extended CreditMetrics model; i.e. it is a one-factor model with a multiplicative shock-variable. We show that the first order tail behavior is robust with respect to this shock-variable.
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Estimating Portfolio Credit Losses in Downturns [PDF]
Financial Markets, Institutions & Instruments, 2012 This paper suggests formulas able to capture potential strong connection among credit losses in downturns without assuming any specific distribution for the variables involved. We first show that the current model adopted by regulators (Basel) is equivalent to a conditional distribution derived from the Gaussian Copula (which does not identify tail ...
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Credit Risk Modeling in Segmented Portfolios: An Application to Credit Cards [PDF]
SSRN Electronic Journal, 2015 The Great Recession offers a unique opportunity to analyze the performance of credit risk models under conditions of economic stress. We focus on the performance of models of credit risk applied to risk-segmented credit card portfolios. Specifically, we focus on models of default and loss and analyze three important sources of model risk: model ...
Canals-Cerda, Jose J., Kerr, Sougata
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Climate Change Risks and Customer Concentration: Evidence From US‐Listed Firms
Business Strategy and the Environment, EarlyView.ABSTRACT While prior studies have investigated climate risks in supply chains, customer ESG pressures, and shared climate exposure, this paper is, to the best of our knowledge, the first to provide direct empirical evidence on the relationship between climate change risks and firms' customer concentration.
Thi Thuy Trang Nguyen +2 more
wiley +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Despite the growing interest in ESG performance, limited research explores the mediating role of government policy in the relationship between Fintech, green finance and ESG outcomes. We address this gap by examining how Fintech and green finance influence ESG performance through government policies.
Mandella Osei‐Assibey Bonsu +4 more
wiley +1 more source
To supervise or to self-supervise: a machine learning based comparison on credit supervision
Financial Innovation, 2021 This study investigates the need for credit supervision as conducted by on-site banking supervisors. It builds on a real bank on-site credit examination to compare the performance of a hypothetical self-supervision approach, in which banks themselves ...
José Américo Pereira Antunes
doaj +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT The transition to a circular economy (CE) remains hindered by the lack of practical strategies that simultaneously secure competitiveness and deliver sustainability outcomes for manufacturing organisations. While circular design is often cited as a cornerstone of CE, its concrete role in driving competitive advantage and organisational ...
Shamaila Ishaq +3 more
wiley +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Collaborations with nonprofits can enhance firms' legitimacy, yet the relationship between their communication and corporate environmental legitimacy remains poorly understood. Furthermore, research lacks an analysis of the communication of business‐nonprofit collaborations through multiple actors' perspectives.
Andrea Rizzuni +3 more
wiley +1 more source