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2008
About the Authors. Introduction. Chapter 1. Credit Risk: The Great Challenge For The Global Economy. Chapter 2. Credit Culture. Chapter 3. Classic Industry Players: Banks, Savings Institutions, Insurance: Companies, Finance Companies, and Special Purpose Entities. Chapter 4.
John B. Caouette +3 more
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About the Authors. Introduction. Chapter 1. Credit Risk: The Great Challenge For The Global Economy. Chapter 2. Credit Culture. Chapter 3. Classic Industry Players: Banks, Savings Institutions, Insurance: Companies, Finance Companies, and Special Purpose Entities. Chapter 4.
John B. Caouette +3 more
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1997
In repressed financial markets, banks generated surplus profits in part because market entry restrictions enabled them to overcompensate themselves for the credit risk they took while paying low rates of interest on deposits and borrowing. Deregulation of these markets and the accompanying increased competition between banks and non-bank entities ...
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In repressed financial markets, banks generated surplus profits in part because market entry restrictions enabled them to overcompensate themselves for the credit risk they took while paying low rates of interest on deposits and borrowing. Deregulation of these markets and the accompanying increased competition between banks and non-bank entities ...
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2010
Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio. The primary goal of these models is to help credit analysts define whether a loan should be issued, which risk premia is appropriate, and how much capital should be directed to the ...
Jürgen Franke +2 more
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Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio. The primary goal of these models is to help credit analysts define whether a loan should be issued, which risk premia is appropriate, and how much capital should be directed to the ...
Jürgen Franke +2 more
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Managerial Finance, 1995
Bank management, from a finance theory perspective, is generally acknowledged to involve the management of four major balance sheet risks: liquidity risk, interest rate risk, capital risk and credit risk (Hempel et al, 1989). Of these, credit risk has commonly been identified as the key risk in terms of its influence on bank performance (Sinkey, 1992 ...
R. Boffey, G.N. Robson
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Bank management, from a finance theory perspective, is generally acknowledged to involve the management of four major balance sheet risks: liquidity risk, interest rate risk, capital risk and credit risk (Hempel et al, 1989). Of these, credit risk has commonly been identified as the key risk in terms of its influence on bank performance (Sinkey, 1992 ...
R. Boffey, G.N. Robson
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Bank Credit Risk Management and Risk Culture
2017The recent financial turbulence and the increase of the non-performing loans in banks’ credit portfolio highlighted the importance of the banks’ credit risk management and the need to spread the risk culture across the bank organization. This chapter provides an overview of the state-of-art of the credit risk management of a sample of Italian banks ...
Cucinelli D, Patarnello A
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2015
In recent years the banking industry has been affected by a profound transformation that has heightened the need to identify more sophisticated methods in Credit Risk Management and monitoring. For banks the process of risk management has assumed increasing importance in particular with regard to the credit risk.
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In recent years the banking industry has been affected by a profound transformation that has heightened the need to identify more sophisticated methods in Credit Risk Management and monitoring. For banks the process of risk management has assumed increasing importance in particular with regard to the credit risk.
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Credit Risk Management and Credit Derivatives
2014Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio. The primary goal of these models is to help credit analysts define whether a loan should be issued, which risk premia is appropriate and how much capital should be directed to the ...
Jürgen Franke +2 more
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Adjoint Credit Risk Management
SSRN Electronic Journal, 2013Adjoint Algorithmic Differentiation is one of the principal innovations in risk management of the recent times. In this paper we show how this technique can be used to compute real time risk for credit products.
Luca Capriotti, Shinghoi (Jacky) Lee
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2013
List of Tables List of Figures Notes on Contributors PART 1 REGULATORY FRAMEWORK Introduction Anolli, M., Beccalli, E. PART 2 RISK TAKING: MEASUREMENT, PRICING AND MANAGEMENT The Ever-evolving Basel Accord Guadalupi, D. Private Individuals: Credit Risk Modeling Giannasca, C., Giordani, T. SMEs: Credit Risk Modeling Giovannini, E.
Anolli, Mario +2 more
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List of Tables List of Figures Notes on Contributors PART 1 REGULATORY FRAMEWORK Introduction Anolli, M., Beccalli, E. PART 2 RISK TAKING: MEASUREMENT, PRICING AND MANAGEMENT The Ever-evolving Basel Accord Guadalupi, D. Private Individuals: Credit Risk Modeling Giannasca, C., Giordani, T. SMEs: Credit Risk Modeling Giovannini, E.
Anolli, Mario +2 more
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Credit Derivatives Risk Management
SSRN Electronic Journal, 2012This paper investigates one main of credit derivatives instruments, known as credit default swaps. CDS is very popular instruments in the credit market which is trading by governments, firms, investors. Credit default swaps, is contracted between two parties for a one party payment small amount to other party as periodic fee, instead the other party ...
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