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, 2010 Financial institutions are interested in loss protection and loan insurance. Thus determining the loss reserves needed to cover the risk stemming from credit portfolios is a major issue in banking. By charging risk premiums a bank can create a loss reserve account which it can exploit to be shielded against losses from defaulted debt.
Wolfgang Karl Härdle +2 more
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ESG, Material Credit Events, and Credit Risk
Journal of Applied Corporate Finance, 2019A growing body of research has extended the analysis of the materiality of ESG criteria from the perspective of equity investors to creditors. Past research and analysis have demonstrated the link between better management of ESG criteria and better ...
Witold J. Henisz, J. McGlinch
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Credit Risk Diversification [PDF]
SSRN Electronic Journal, 2002 We study the role of diversification in reducing the volatility of corporate bond returns induced by changes in credit spreads. Specifically, we look at how credit risk can be diminished when a portfolio is diversified across countries, industry sectors, maturities, seniority types and credit ratings.
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International Journal of Accounting and Information Management, 2019
Purpose The purpose of this paper is to examine the association among operational risk incidents, corporate governance, credit risk and firm performance. Design/methodology/approach First, the authors regress corporate credit risk on the incurrence of
C. Ko, Picheng Lee, A. Anandarajan
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Purpose The purpose of this paper is to examine the association among operational risk incidents, corporate governance, credit risk and firm performance. Design/methodology/approach First, the authors regress corporate credit risk on the incurrence of
C. Ko, Picheng Lee, A. Anandarajan
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The Insurability of Credit Risks
The Journal of Finance, 1954s of Doctoral Dissertations 307 Certain groups of credit risks have been able to meet the test that the criterion of self-support implies. They include risks insured by private commercial credit insurers, those insured by Federal Housing Administrator, and some of those insured by the Federal Reserve Banks. Judgment must be suspended in the case of the
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Annals of Operations Research, 2022
Liukai Wang, F. Jia, Lujie Chen, Qifa Xu
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Liukai Wang, F. Jia, Lujie Chen, Qifa Xu
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Credit risk and credit derivatives in banking [PDF]
, 2002 Wir verwenden den industrieökonomischen Ansatz der Theorie der Bank und untersuchen eine Bank mit Marktmacht im Einlagen- und Kreditmarkt bei Kreditrisiko. Ziel der Untersuchung sind Aussagen darüber, wie das Kreditrisiko optimales Verhalten im Einlagen- und Kreditmarkt beeinflusst, wenn Kreditderivate verfügbar sind.
Udo Broll, Thilo Pausch, Peter Welzel
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2003
To understand the contribution of various risk factors to the overall riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. Recently, the importance of this issue has been highlighted by the decision of the Basel committee to allow sophisticated banks to use their own internal credit portfolio risk.
Kiesel, Rüdiger, Stadtmüller, U.
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To understand the contribution of various risk factors to the overall riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. Recently, the importance of this issue has been highlighted by the decision of the Basel committee to allow sophisticated banks to use their own internal credit portfolio risk.
Kiesel, Rüdiger, Stadtmüller, U.
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Annual Review of Financial Economics, 2009
This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities.
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This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities.
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Carbon neutrality, bank lending, and credit risk: Evidence from the Eurozone.
Journal of Environmental Management, 2021Muhammad Umar +3 more
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