Results 21 to 30 of about 1,513,006 (341)
Credit Risk and Disaster Risk [PDF]
American Economic Journal: Macroeconomics, 2011 Credit spreads are large, volatile, and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while fairly safe in ordinary recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure ...
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Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk
Complexity, 2022 This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market.
Zijian Wu, Baochen Yang, Yunpeng Su
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CREDIT RISK MANAGEMENT CONTROL ON SME SEGMENT: STUDY CASE OF XYZ BANK BRANCH SURABAYA
Jurnal Aplikasi Manajemen, 2022 The study is conducted to explain the suitability of credit risk control management to minimize the non-performing loans at XYZ Bank Branch Surabaya as stipulated by the Basel Accord Committee in Financial Services Authority Regulation No.
Ludmila Mayasari +4 more
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Mathematical Finance, 2019 AbstractWe provide sharp analytical upper and lower bounds for value‐at‐risk (VaR) and sharp bounds for expected shortfall (ES) of portfolios of any dimension subject to default risk. To do so, the main methodological contribution of the paper consists in analytically finding the convex hull generators for the class of exchangeable Bernoulli variables ...
Fontana R., Luciano E., Semeraro P.
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Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
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Impact of ownership structure and ownership concentration on credit risk of Chinese commercial banks [PDF]
, 2019 The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.Purpose- The purpose of this study is to examine the effects of bank ownership structure and ownership ...
Boateng, Agyenim +2 more
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Term Default, Balloon Risk, and Credit Risk in Commercial Mortgages [PDF]
, 2003 Term default and balloon risk play an interactive role in the pricing of credit risk in commercial mortgages. Most commercial mortgage pricing studies assume a borrower\u27s default decision is based solely on the property value; the mortgage valuation ...
Eppli, Mark, Tu, Charles C.
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Applications of Skew Models Using Generalized Logistic Distribution
Axioms, 2016 We use the skew distribution generation procedure proposed by Azzalini [Scand. J. Stat., 1985, 12, 171–178] to create three new probability distribution functions.
Pushpa Narayan Rathie +2 more
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An optimised credit scorecard to enhance cut-off score determination
South African Journal of Economic and Management Sciences, 2018 Background: Credit scoring is a statistical tool allowing banks to distinguish between good and bad clients. However, literature in the world of credit scoring is limited. In this article parametric and non-parametric statistical techniques that are used
Nico Kritzinger, Gary W. van Vuuren
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Double-Layer Network Model of Bank-Enterprise Counterparty Credit Risk Contagion
Complexity, 2020 Banks and enterprises constitute a multilayered, multiattribute, multicriteria credit-related super network due to financial transaction behaviors, such as credit, wealth management, savings, and derivatives.
Tingqiang Chen +3 more
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