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Credit contagion and credit risk [PDF]
Quantitative Finance, 2009 11 pages, 3 ...
Hatchett, J. P. L., Kuehn, R.
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International Journal of Financial Studies, 2021 In banking and finance, credit risk is among the important topics because the process of issuing a loan requires a lot of attention to assessing the possibilities of getting the loaned money back.
David Mhlanga
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Model risk on credit risk [PDF]
Risk and Decision Analysis, 2016 This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single ...
Molins, J. +1 more
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SSRN Electronic Journal, 2020 What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail properties of the loan share distribution we use a Gabaix
Rustam Jamilov +5 more
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Managing Credit Risk with Credit Derivatives [PDF]
SSRN Electronic Journal, 2005 Credit risk is one of the most important forms of risk faced by national and international banks as financial intermediaries. Managing this kind of risk through selecting and monitoring corporate and sovereign borrowers and through creating a diversified loan portfolio has always been one of the predominant challenges in bank management. The aim of our
UDO BROLL +2 more
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Economic Growth Patterns: Spatial Econometric Analysis for Russian Regions
Information, 2020 In this article, we analyze the σ - and β -convergence, using the data of the socio-economic development of Russian areas, and discover the role of spatial autocorrelation in regional economic development.
Vladimir Balash +3 more
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Rollover Risk and Credit Risk [PDF]
The Journal of Finance, 2011 ABSTRACTOur model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms' debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while ...
Wei Xiong, Wei Xiong, Zhiguo He
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Bank Risk Determinants in Latin America
Risks, 2020 Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system.
Mariña Martínez-Malvar +1 more
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Modern bank's credit risk [PDF]
Ekonomski Signali, 2015 Credit risk is the most important risk banks have to face with. It occurs due to an obligation created because of debtors' capital and interest rate nonpayment. Debtors obligations non-fulfilment may lead to great losses and insolvency in bank's business.
Šabović Šerif
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CREDIT RISK MANAGEMENT IN THE BANK’S FINANCIAL STABILITY SYSTEM
Фінансово-кредитна діяльність: проблеми теорії та практики, 2021 It is considered and updated the model of risk assessment of bank credit portfolio in the article. The profitability and risk are the main parameters of a bank loan portfolio.
B. V. Samorodov +4 more
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