Results 31 to 40 of about 7,295,761 (348)
RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA).
Albanese, Claudio +2 more
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Types of Credit Risks and Strategies to Improve Risk Identification by Internet of Intelligences [PDF]
Journal of Risk Analysis and Crisis Response (JRACR), 2013 Today, people mainly consider credit risks from view of powerful players. The role of the Internet in the credit risk management is not fully. In this paper, we have a comprehensive look at the credit risks, so that, suggest two concepts: binary credit ...
Chongfu Huang
doaj +1 more source
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 ...
Patrizia Semeraro +3 more
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Cogent Economics & Finance, 2020 This paper aims to investigate the effect of credit risk, liquidity risk and bank capital on bank profitability over a nine-year period (2010–2018) by examining empirical evidence from an emerging market.
Isam Saleh, Malik Abu Afifa
semanticscholar +1 more source
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
doaj +1 more source
Credit Risk in General Equilibrium [PDF]
SSRN Electronic Journal, 2012 This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) that monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equilibrium model with financial markets.
Jürgen Eichberger +2 more
openaire +7 more sources
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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Credit analysis based on parametar and European banking [PDF]
Megatrend Revija, 2022 The subject of this research is to define the methodology for credit analysis and assessment of the degree of credit risk. By researching the subject, we point out the process of the loan application, the margins of acceptable and unacceptable risks. The
Neogradi Slađana +2 more
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Credit Rationing Effects of Credit Value-at-Risk [PDF]
SSRN Electronic Journal, 2004 textabstractBanks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem of low quality, i.e.
Jan Frederik Slijkerman +4 more
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