Results 101 to 110 of about 159,319 (353)
Corporate Bond and Commercial Loan Portfolio Analysis [PDF]
In this paper we have presented a new approach to measure the return-risk trade-off in portfolios of risky debt instruments, whether bonds or loans. The use of complex, statistically based portfolio techniques to manage assets of financial institutions ...
Edward Altman
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Effect of Prudential Policies on Sovereign Bond Markets: Evidence From the ASEAN‐4 Countries
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the effects of prudential policies on the sovereign vulnerability of ASEAN‐4 countries. We measure sovereign vulnerability within the network connectedness of sovereign bonds between ASEAN‐4 countries (Indonesia, Malaysia, the Philippines and Thailand) and six other countries (the US, the UK, the European Union, China ...
Joshua Aizenman +4 more
wiley +1 more source
Путеводитель предпринимателя, 2020 There is the statement, the formalized mathematical model of the numerical method for solving the dynamic two-level problem of formation and the management of the credit portfolio of commercial bank as part of the cumulative bank portfolio at consecutive
M. A. Gadzhiagayev, M. A. Halikov
doaj
Obscure just 20 years ago, loan portfolio securitization by private and government-sponsored enterprises is a $5 trillion business today. This Commentary explains the reasons behind the spectacular growth of asset-backed securities.Asset-backed ...
O. Emre Ergungor
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ESG Performance and Credit Risk: Evidence From Chinese Manufacturing Companies
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the effect of corporate environmental, social, and governance (ESG) performance on credit risk using a sample of manufacturing firms listed on China's Shanghai and Shenzhen A‐share markets from 2009 to 2021. Employing fixed effects, the generalised method of moments, and instrumental variable models, we find that ...
Yanan Wang +4 more
wiley +1 more source
Revenue diversification and quality of loan portfolio
Journal of Economics and Management, 2020 Aim/purpose – This paper aims at examining the impact of revenue diversification on the quality of loan portfolio. The interest has been stimulated by the growing appetite for nontraditional activities among banks due to the declining interest income and rising nonperforming loans.
openaire +2 more sources
Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model [PDF]
We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model with arbitrary accuracy using Hermite expansions. No assumptions about homogeneity of the portfolio are made.
Pavel Okunev
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Management of bank`s credit risk [PDF]
, 2014 Охарактеризовано кредитний ризик банку, на основі чого було проведено аналіз та оцінку чинників, що впливають на обсяг кредитного портфелю банку. Зроблено за допомого експертних оцінок співробітників банків та виокремлено, що суттєвим чинник впливу є ...
Сидько, Дарья Сергіївна
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International Journal of Finance &Economics, EarlyView.ABSTRACT Big data and financial innovations are vital to enhancing the performance of banking institutions. However, limited evidence exists on the effects of big data applications and financial innovation on bank performance. This study addresses this gap by constructing a theoretical framework linking big data applications and financial innovations ...
Mandella Osei‐Assibey Bonsu +1 more
wiley +1 more source
Default probabilities and default correlations [PDF]
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher ...
Erlenmaier, Ulrich, Gersbach, Hans
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