Results 41 to 50 of about 8,869,875 (350)
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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Integration of factor analysis and Tsukamoto’s fuzzy logic method for quality control of credit provisions in rural banks [PDF]
Decision Science Letters, 2023 Giving credit to debtors can pose a default risk. This risk arises because of an error in analyzing the credit risk rate of the debtor. Therefore, this study aims to design a framework for analyzing the credit risk rate of debtors so that the ...
Yuyun Hidayat +6 more
doaj +1 more source
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
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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 ...
openaire +8 more sources
Credit contagion and credit risk [PDF]
Quantitative Finance, 2009 11 pages, 3 ...
Hatchett, J. P. L., Kuehn, R.
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Explainable Machine Learning in Credit Risk Management
Computational Economics, 2020 The paper proposes an explainable Artificial Intelligence model that can be used in credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing peer to peer lending platforms.
N. Bussmann +3 more
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
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 ...
Fontana R., Luciano E., Semeraro P.
openaire +4 more sources
Pricing Swap Credit Risk with Copulas [PDF]
, 2004 The paper uses copla function to provide an extension of Sorensen and Bollier (1994) approach to counterparty credit risk in swap ...
Umberto Cherubini, CHERUBINI, UMBERTO
core +1 more source
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
doaj +1 more source