credit risk
CREDIT RISK. DETERMINATION MODELS
... ABSTRACT: The internationalization of financial flows and banking and the rapid development of markets have changed the financial sector, causing him to respond with force and imagination. Under these conditions, the ...
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The relationship between credit risk and the performance of banks
... profitability. Credit risk’s management mechanism provides reliable estimations of credit risk and leads to the removal of estimations of reserves from a conservative experimental ...about ...
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The Effect of Credit Risk Management on Banks’ Profitability in Kosovo
... bank’s credit culture determines the attitudeз styleз perception and behavior that will be exhibited by the bank and is largely determined by the attitude of management towards credit risk and could ...
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ON RECOVERY AND INTENSITY’S CORRELATION - A NEW CLASS OF CREDIT RISK MODELS
... The rest of the paper is organized as follows. In Section 2 we setup the framework and summa- rize the main theoretic results concerning the use of DSMPP in credit risk models. In Section 3 we propose a ...
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An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System
... latest credit risk measurement and management methods ...the credit risk of the Slovenian banking system portfolio with the data which are yet to become available in the following ...the ...
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The Impact of Foreign Currency Debt on Credit Risk
... for credit risk, ...of credit risk, however, differ widely in the ...and Credit Default Swaps (CDS) spreads and non-performing loan ...of credit risk” (Ötker-Robe and ...
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An Application Relating To Credit Risk and Credit Risk Management in Tu rkish Banking System: The Case of Turkey Garanti Bank
... Within the globalization process of the world, at the competitive area arised as a result of the rapid increase in the number of banks and their branches in developing countries, the vigorously existance of banks depend ...
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Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA
... counterparty credit risk and CVA for stock swaps, which consist in total return swaps (TRS) where the underlying asset is a stock, in the brazilian market, specifically in the case where the counterparty ...
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Pricing options embedded in debentures with credit risk
... One naive possibility would be the future interbank deposit (ID) curve. However, we know that this curve does not reflect the credit risk embedded in debentures and we would be underestimating the term ...
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Models for inflated data applied to credit risk analysis
... with credit risk ...in credit risk analysis, and must be useful for identifying customers who apply for loans only for the purpose of defrauding the bank by, since the beginning, not honouring ...
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Assessment of Credit Risk Approaches in Relation with Competitiveness Increase of the Banking Sector
... PD and LGD are given in tenths, respectively in percentages; M is given in years or part of the year. For inverse cumulative distribution function conidence interval 99,9 % is deined and serves as a calibration component ...
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Advanced survival modelling for consumer credit risk assessment: addressing recurrent events, multiple outcomes and frailty
... consumer credit risk assessment, particularly to address issues of recurrent delinquency (or default) and recovery (cure) events as well as multiple risk events and ...
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Analysis Of Credit Risk in Legal Entities in The Case of „Vakufska Banka“ – Sarajevo
... credit risk. It is extrem ely im portant that Vakufska bank perform a credit analysis during the assessm ent of the creditworthiness of legal ...the credit analysis, special attention is paid ...
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The effect of macroeconomic factors on credit risk in the banking system of Iran
... of credit risk in the banking system in ...the credit risk in the banking system in Iran under the influence of variables is not ...and credit risk in the banking system in Iran ...
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Credit risk measurement of the listed companies in China based on KMV model
... the financial transactions, the lenders post in the lower position of getting the less the information of borrower which may lead to a potential risk of financial losses. On the other hand, creditors generally ...
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The effects of credit risk transfer on bank monitoring and firm financing
... of credit risk associated with bank ...of credit risk has any impact on the intensity with which banks monitor their borrowers and (b) whether credit risk transfer influences the ...
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A comparative analysis of current credit risk models
... market risk and credit risk for their trading ...sponsored Credit Value-at-Risk methodologies. First, the credit migration approach, as proposed by JP Morgan with CreditMetrics, ...
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Credit risk and banking activities
... (2008), credit risk can be defined as the risk of the counterparty failure to meeting its obligations or, in other way, the risk of ...
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Agent-based mapping of credit risk for sustainable microfinance.
... microfinance credit risk—a major obstacle to the sustainability of lenders outreaching to the ...microfinance credit risk and, consequently, for balancing the requirements to reasonably price ...
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Credit risk assessment: Evidence from banking industry
... the credit risk among corporate clients of Keshavarzi Bank using the logic regression ...the credit risk, and the logit regression was very efficient in evaluating the credit ...
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