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Managing Credit Risk with Credit and Macro Derivatives [PDF]
SSRN Electronic Journal, 2003 The industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large commercial bank. In a partial{analytic framework we distinguish between the probability of default and the loss given default, model ...
Udo Broll +2 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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Managing Consumer Credit Risk [PDF]
SSRN Electronic Journal, 2001 On July 31, 2001, the Payment Cards Center of the Federal Reserve Bank of Philadelphia hosted a workshop that examined current credit risk management practices in the consumer credit industry. The session wasled by Jeffrey Bower, senior manager in KPMG Consulting's financial services practice.
Peter Burns, Anne Stanley
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Risk management and the credit risk premium [PDF]
Journal of Banking & Finance, 2001 Abstract This paper shows how the credit risk premium affects firms' optimal hedging strategies. The model predicts that if the credit risk premium is relatively small, firms use convex hedging strategies. If the credit risk premium is relatively large, firms use concave hedging strategies.
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Credit Derivatives and Risk Management [PDF]
SSRN Electronic Journal, 2007 The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. I illustrate the value of credit derivatives with three examples. A commercial bank can use credit derivatives to manage the risk of its loan portfolio. An investment bank can use credit derivatives to manage the risks it incurs
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Explainable AI in Credit Risk Management [PDF]
SSRN Electronic Journal, 2021 Artificial Intelligence (AI) has created the single biggest technology revolution the world has ever seen. For the finance sector, it provides great opportunities to enhance customer experience, democratize financial services, ensure consumer protection and significantly improve risk management.
Branka Hadji Misheva +4 more
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Risk and Risk Management in the Credit Card Industry [PDF]
SSRN Electronic Journal, 2015 AbstractUsing account-level credit card data from six major commercial banks from January 2009 to December 2013, we apply machine-learning techniques to combined consumer tradeline, credit bureau, and macroeconomic variables to predict delinquency. In addition to providing accurate measures of loss probabilities and credit risk, our models can also be ...
Butaru, Florentin +5 more
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Risk Management and Business Credit Scoring [PDF]
Proceedings of the ITI 2012 34th International Conference on INFORMATION TECHNOLOGY INTERFACES, 2012 Risk management is focused on preventing the losses and protecting the company's asset base. Banks are most exposed to credit risk, so their goal is to minimize the losses that occur as a result of default or insolvency. Business credit scoring models are designed to estimate the probability of corporate default. In this paper we presented the business
Ljiljanka Kvesic, Gordana Dukic
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Bìznes Inform, 2022 The purpose of the article is to disclose and deepen the institutional foundations of the government tax policy, taking into account the challenges of the special period. The article defines the basic principles and criteria for the formation of government tax policy.
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Risk in Contemporary Economy, 2012 The bank is exposed to credit risk, the risk of not being able to recuperate the debtor claims as a result of the activity of granting loans to the clientele. Also, credit risk may manifest due to investments in other local and foreign credit institutions.
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