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Managing Credit Risk with Credit Derivatives [PDF]
Annals of Financial Economics, 2007 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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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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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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The nature of credit risk information disclosed in the risk and capital reports of the top-5 South African banks [PDF]
Banks and Bank Systems, 2016 This paper used the Credit Risk Disclosure Measurement Tool (CRDMT) constructed on the basis of six main areas, namely, banks own description of credit risk (i.e., as it applies to the banks operations), banks strategy of reducing credit risk exposure (i.
Tankiso Moloi
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Sovereign risk and the pricing of corporate credit default swaps [PDF]
, 2015 Investigation about the impact of sovereign risk on the pricing of corporate credit ...
Westerfeld, Simone +2 more
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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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Credit contagion and credit risk [PDF]
Quantitative Finance, 2009 11 pages, 3 ...
Hatchett, J. P. L., Kuehn, R.
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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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Growth Options and Credit Risk [PDF]
Management Science, 2017 We calibrate a dynamic model of credit risk and analyze the relation between growth options and credit spreads. Our model features real and financing frictions, a technology with decreasing returns to scale, and endogenous investment options driven by both systematic and idiosyncratic shocks.
Andrea Gamba, Alessio Saretto
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Dynamic asset (and liability) management under market and credit risk [PDF]
, 2003 We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets.
Mitra, G, Zenios, SA, Jobst, NJ
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