Dissertations / Theses on the topic 'Credit Management'
To see the other types of publications on this topic, follow the link: Credit Management.
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Credit Management.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Roberts, Max F. "Modeling credit risky bonds and credit derivatives." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10169.
2
Zhang, Xuan. "Essays in credit risk management." Thesis, University of Glasgow, 2017. http://theses.gla.ac.uk/7988/.
Abstract:
Credit risk management is becoming more and more important in recent years. Credit risk refers to the risk that an obligor fails to make payments on any type of debt at the time of maturity. Credit risk models are statistical tools to infer the future default probabilities and loss distribution of values of a portfolio of debts. This doctoral thesis focus on the application of credit risk management in different areas. To better understand the credit risk management, in the first chapter, we introduce the basic ideas in credit risk management and review the models developed in the last decades. To empirical test the performance of models reviewed in the first chapter, in the second chapter, we compare the reduce-form model with the structural model based on the China’s stock market. It turns out that both models contribute to explaining the default risk of listed firms, however, reduce-form model outperformances the structural model. The empirical results from the second chapter suggests that reduce-form model can better predict the firm’s default risk, but the correlated default risk between firms has not been answered yet. So therefore in the third chapter, we investigate the correlated default risk using copula theory which has been introduced in the first chapter. Based on the insurances firms and other financial firms in the US market, both short-term and long-term default dynamic correlations are found. Another interesting finding from the third chapter is that insurance firms which were considered to be stable actually have higher default risk. This motive us to further explore the determinants of default risk of insurance firms in the fourth chapter and new risk factors (macroeconomic and insurance-specific variables) are found.
3
PISANI, FABIO. "Three essays on credit management." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2009. http://hdl.handle.net/2108/1123.
Abstract:
Nel primo articolo si dimostra che, con contratti standard di debito, ammontare del prestito e profitti del debitore non variano sia quando si tratta di un prestito individuale o di un prestito di gruppo con penalità congiunta, poiché l'effetto positivo del secondo schema sul rischio della banca (e il tasso debitore) è compensato dalla penale congiunta sui debitori.
E’ stato anche dimostrato che il prestito partecipato (debito più utili) che riduce i tassi di interesse (rispetto ai contratti di debito standard) genera maggiore richiesta di debito e output, ma inferiori profitti per il debitore. Tali contratti, tuttavia, non può essere usati in presenza informazioni nascoste ex-post, a meno che la verifica ex post da parte del creditore è possibile ed economicamente conveniente.
Tuttavia, si dimostra che (un prestito standard o partecipato) il prestito di gruppo ha un vantaggio comparato nel risolvere il problema dell’eterogeneità dei debitori, in quanto, con questi è possibile un menu di contratti che consente di discriminare tra gruppi eterogenei. Infine si dimostra che, sotto certe alcune condizione parametriche, questi contratti garantiscono profitti più elevati per i debitori meno rischiosi rispetto ad un contratto standard di debito individuale.
Nel secondo articolo si analizza l'effort di equilibrio dei debitori e il costo dei prestiti di microcredito in presenza di moral hazard, correlazione dei progetti e di sovvenzioni nel caso di prestiti di gruppo. I risultati dimostrano che nel caso di effort endogeno, la correlazione dei progetti ha effetti significativi sull’effort dei debitori solo quando ci sono shock asimmetrici (positivi o negativi). Questi risultati indicano che il ben noto effetto negativo sull’effort nel caso di prestiti di gruppo con penalità congiunta (simmetrico) nel caso di correlazione dei progetti scompare una volta che l’effort è considerato endogeno. Si analizzano inoltre gli effetti delle sovvenzioni ai prestiti (e correlazione asimmetrica) sulla relativa convenienza (in termini di effort del debitore) nel caso di i) prestito di gruppo e prestito individuali con nozionale di garanzia, ii) tra tre diverse strutture di mercato della microfinanza l'industria.
Nella terzo articolo si introducono le opzioni reali per individuare la struttura ottima del capitale in presenza di incertezza e distribuzione asimmetrica dei benefici e dei costi tra il debitore e il creditore. Il lavoro analizza sia il contesto uniperiodale sia quello multiperiodale. Il livello ottimale del debito consente di ottenere un equilibrio Pareto efficiente.
4
Gu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.
Abstract:
In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of credit risks, the development of mathematical and statistical tools to estimate and predict these risks, and methods for solving the significant computational problems arising in this context.
The reduced-form intensity based credit risk models are studied. A new type of reduced-form intensity-based model is introduced, which can incorporate the impacts of both observable trigger events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigger events. In addition, this thesis focuses on the relationship between structural firm value model and reduced-form intensity based model. A continuous time structural asset value model for the asset value of two correlated firms with a two-dimensional Brownian motion is studied. With the incomplete information introduced, the information set available to the market participants includes the default time of each firm and the periodic asset value reports. The original structural model is first transformed into a reduced-form model. Then the conditional distribution of the default time as well as the asset value of each name are derived. The existence of the intensity processes of default times is proven and explicit form of intensity processes is given in this thesis.
Discrete-time Markovian models in credit crisis are considered. Markovian models are proposed to capture the default correlation in a multi-sector economy. The main idea is to describe the infection (defaults) in various sectors by using an epidemic model. Green’s model, an epidemic model, is applied to characterize the infectious effect in each sector and dependence structures among various sectors are also proposed. The models are then applied to the computation of Crisis Value-at-Risk (CVaR) and Crisis Expected Shortfall (CES). The relationship between correlated defaults of different industrial sectors and business cycles as well as the impacts of business cycles on modeling and predicting correlated defaults is investigated using the Probabilistic Boolean Network (PBN). The idea is to model the credit default process by a PBN and the network structure can be inferred by using Markov chain theory and real-world data.
A reduced-form model for economic and recorded default times is proposed and the probability distributions of these two default times are derived. The numerical study on the difference between these two shows that our proposed model can both capture the features and fit the empirical data. A simple and efficient method, based on the ordered default rate, is derived to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. Analytical expressions for the ordered default time distributions with recursive formulas for the coefficients are given, which makes the calculation fast and efficient in finding rates of basket CDSs.published_or_final_version
Mathematics
Doctoral
Doctor of Philosophy
5
Pavel, Christoph [Verfasser]. "Credit Portfolio Management An Analysis of Credit Risk Drivers, Models, and Risk Management Tools / Christoph Pavel." München : Verlag Dr. Hut, 2012. http://d-nb.info/1021072990/34.
6
Takang, Felix Achou, and Claudine Tenguh Ntui. "Bank performance and credit risk management." Thesis, University of Skövde, School of Technology and Society, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-1318.
Abstract:
Banking is topic, practice, business or profession almost as old as the very existence of man, but literarily it can be rooted deep back the days of the Renaissance (by the Florentine Bankers). It has sprouted from the very primitive Stone-age banking, through the Victorian-age to the technology-driven Google-age banking, encompassing automatic teller machines (ATMs), credit and debit cards, correspondent and internet banking. Credit risk has always been a vicinity of concern not only to bankers but to all in the business world because the risks of a trading partner not fulfilling his obligations in full on due date can seriously jeopardize the affaires of the other partner.
The axle of this study is to have a clearer picture of how banks manage their credit risk. In this light, the study in its first section gives a background to the study and the second part is a detailed literature review on banking and credit risk management tools and assessment models. The third part of this study is on hypothesis testing and use is made of a simple regression model. This leads us to conclude in the last section that banks with good credit risk management policies have a lower loan default rate and relatively higher interest income.
7
Stoltenberg, Deniz Robert. "Valuation and management of credit exposure." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.417193.
8
Fabík, Peter. "Credit risk management v leasingové společnosti." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-1580.
Abstract:
Práce pojednává o řízení rizik v leasingové společnosti. Popisuje proces hodnocení bonity klienta a faktory ovlivňující schvalování obchodních případů. Charakterizuje ratingový a scoringový model v konkrétní leasingové společnosti, hodnotí jejich nedostatky a navrhuje změny na jejich vylepšení. Obsahuje i praktický příklad komplexního hodnocení obchodního případu včetně posouzení bonity klienta prostřednictvím ratingového modelu a nástrojů finanční analýzy.
9
Diop, Sidy <1987>. "Credit Risk Management and Jump Models." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amsdottorato.unibo.it/8745/1/Sidy%20Diop%20-%20PhD%20Thesis.pdf.
Abstract:
This doctoral thesis comprises three research papers that seek to improve and create corporate and sovereign credit risk models, to provide an approximate analytic expressions for CDS spreads and a numerical method for partial differential equation arisen from pricing defaultable coupon bond.
First, an extension of Jump to Default Constant Elasticity Variance in more general and realistic framework is provided (see Chapter 3). We incorporate, in the model introduced in [9], a stochastic interest rate with possible negative values. In addition we provide an asymptotic approximation formula for CDS spreads based on perturbation theory. The robustness and efficiency of the method is conformed by several calibration tests on real market data.
Next, under the model introduced in Chapter 3, we present in Chapter 4 a new numerical method for pricing non callable defaultable bond. we propose appropriate numerical schemes based on a Crank-Nicolson semi-Lagrangian method for time discretization combined with biquadratic Lagrange finite elements for space discretization. Once the numerical solutions of the PDEs are obtained, a post-processing procedure is carried out in order to achieve the value of the bond.
Finally, we introduce a hybrid Sovereign credit risk model in which the intensity of default of a sovereign is based on the jump to default extended CEV model (see Chapter 5). The model captures the interrelationship between creditworthiness of a sovereign, its intensity to default and the correlation with the exchange rate between the bond's currency and the currency in which the CDS spread are quoted. We consider the Sovereign Credit Default Swaps Italy, during and after the financial crisis, as a case of study to show the effectiveness of our model.
10
Den, Braber Ronald Franciscus Johannes. "Credit risk pricing models as applied to credit trading and risk management." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/7980.
11
Schwarze, Felix. "Essays on credit process management and management accounting in banking /." Frankfurt a.M, 2008. http://opac.nebis.ch/cgi-bin/showAbstract.pl?sys=000264358.
12
Wendin, Jonathan Erik Purvis. "Bayesian methods in portfolio credit risk management." Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.
13
Malwandla, Musa. "Quantitative models for prudential credit risk management." Doctoral thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33779.
Abstract:
The thesis investigates the exogenous maturity vintage model (EMV) as a framework for achieving unification in consumer credit risk analysis. We explore how the EMV model can be used in origination modelling, impairment analysis, capital analysis, stress-testing and in the assessment of economic value. The thesis is segmented into five themes. The first theme addresses some of the theoretical challenges of the standard EMV model – namely, the identifiability problem and the forecasting of the components of the model in predictive applications. We extend the model beyond the three time dimensions by introducing a behavioural dimension. This allows the model to produce loan-specific estimates of default risk. By replacing the vintage component with either an application risk or a behavioural risk dimension, the model resolves the identifiability problem inherent in the standard model. We show that the same model can be used interchangeably to produce a point-in-time probability forecast, by fitting a time series regression for the exogenous component, and a through-the-cycle probability forecast, by omitting the exogenous component. We investigate the use of the model for regulatory capital and stress-testing under Basel III, as well as impairment provisioning under IFRS 9. We show that when a Gaussian link function is used the portfolio loss follows a Vašíček distribution. Furthermore, the asset correlation coefficient (as defined under Basel III) is shown to be a function of the level of systemic risk (which is measured by the variance of the exogenous component) and the extent to which the systemic risk can be modelled (which is measured by the coefficient of determination of the regression model for the exogenous component). The second theme addresses the problem of deriving a portfolio loss distribution from a loan-level model for loss. In most models (including the Basel-Vašíček regimes), this is done by assuming that the portfolio is infinitely large – resulting in a loss distribution that ignores diversifiable risk. We thus show that, holding all risk parameters constant, this assumption leads to an understatement of the level of risk within a portfolio – particularly for small portfolios. To overcome this weakness, we derive formulae that can be used to partition the portfolio risk into risk that is diversifiable and risk that is systemic. Using these formulae, we derive a loss distribution that better-represents losses under portfolios of all sizes. The third theme is concerned with two separate issues: (a) the problem of model selection in credit risk and (b) the problem of how to accurately measure probability of insolvency in a credit portfolio. To address the first problem, we use the EMV model to study the theoretical properties of the Gini statistic for default risk in a portfolio of loans and derive a formula that estimates the Gini statistic directly from the model parameters. We then show that the formulae derived to estimate the Gini statistic can be used to study the probability of insolvency. To do this, we first show that when capital requirements are determined to target a specific probability of solvency on a through-the-cycle basis, the point-in-time probability of insolvency can be considerably different from the through-the-cycle probability of insolvency – thus posing a challenge from a risk management perspective. We show that the extent of this challenge will be greater for more cyclical loan portfolios. We then show that the formula derived for the Gini statistic can be used to measure the extent of the point-in-time insolvency risk posed by using a through-the-cycle capital regime. The fourth theme considers the problem of survival modelling with time varying covariates. We propose an extension to the Cox regression model, allowing the inclusion of time-varying macroeconomic variables as covariates. The model is specifically applied to estimate the probability of default in a loan portfolio, where the experience is decomposed the experience into three dimensions: (a) a survival time dimension; (b) a behavioural risk dimension; and (c) calendar time dimension. In this regard, the model can also be viewed as an extension of the EMV model – adding a survival time dimension. A model is built for each dimension: (a) the survival time dimension is modelled by a baseline hazard curve; (b) the behavioural risk dimension is modelled by a behavioural risk index; and (c) the calendar time dimension is modelled by a macroeconomic risk index. The model lends itself to application in modelling probability of default under the IFRS 9 regime, where it can produce estimates of probability of default over variable time horizons, while accounting for time-varying macroeconomic variables. However, the model also has a broader scope of application beyond the domains of credit risk and banking. In the fifth and final theme, we introduce the concept of embedded value to a banking context. In longterm insurance, embedded value relates to the expected economic value (to shareholders) of a book of insurance contracts and is used for appraising insurance companies and measuring management's performance. We derive formulae for estimating the embedded value of a portfolio of loans, which we show to be a function of: (a) the spread between the rate charged to the borrower and the cost of funding; (b) the tenure of the loan; and (c) the level of credit risk inherent in the loan. We also show how economic value can be attributed between profits from maturity transformation and profits from credit and liquidity margin. We derive formulae that can be used to analyse the change in embedded value throughout the life of a loan. By modelling the credit loss component of embedded value, we derive a distribution for the economic value of a book of business. The literary contributions made by the thesis are of practical significance. The thesis offers a way for banks and regulators to accurately estimate the value of the asset correlation coefficient in a manner that controls for portfolio size and intertemporal heterogeneity. This will lead to improved precision in determining capital adequacy – particularly for institutions operating in uncertain environments and those operating small credit portfolios – ultimately enhancing the integrity of the financial system. The thesis also offers tools to help bank management appraise the financial performance of their businesses and measure the value created for shareholders.
14
He, Xiao. "User interface suitable for credit risk management." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-261153.
Abstract:
Graphical User Interface, which is known as GUI, is a way for a person to communicate and interact with a system through icons or other visual indicators. A well designed and intuitive user interface is critical to the success of a system since it encourages a natural interaction between a user and a system, thus conveying information more clearly and efficiently to the user.The aim of this study is to design and develop a user interface that is used in a financial technology company in their credit risk assessment process. The current user interface contains a visualization of an individual credit assessment flow together with a lot of data that is generated in the process. Some of the data is not properly visualized, which leads to confusion among end users.In order to optimize the user experience, a user-centered design approach was used combined with a heuristic evaluation. A new user interface was designed and implemented and according to the heuristic evaluation result, the usability was greatly improved. The new interface is able to help the company to visualize their credit risk assessment process in a better way and facilitate credit officers to make credit decisions. The result could also provide insights to other companies or organizations in presenting their data more clearly and effectively.Grafiskt användargränssnitt, som även kallas GUI, är ett sätt för en person att kommunicera och interagera med ett system genom ikoner eller andra visuella indikatorer. Ett väl utformat och intuitivt användargränssnitt är avgörande för framgången för ett system, eftersom det uppmuntrar till en naturlig interaktion mellan en användare och ett system och därmed förmedlar information tydligare och effektivare till användaren.Syftet med denna studie är att designa och utveckla ett användargränssnitt som används i ett finansiellt teknikföretag i deras kreditriskbedömningsprocess. Det nuvarande användargränssnittet innehåller en visualisering av ett individuellt kreditbedömningsflöde tillsammans med mycket data som genereras i processen. En del av data är inte korrekt visualiserade, vilket leder till förvirring bland slutanvändare.För att optimera användarupplevelsen användes en användarcentrerad designmetod i kombination med en heuristisk utvärdering. Ett nytt användargränssnitt designades och implementerades och enligt det heuristiska utvärderingsresultatet förbättrades användbarheten kraftigt. Det nya gränssnittet kan hjälpa företaget att visualisera sin kreditriskbedömningsprocess på ett bättre sätt och underlätta kreditansvariga att fatta kreditbeslut. Resultatet kan också ge andra företag eller organisationer insikter om att presentera sina uppgifter tydligare och mer effektivt.
15
Rüther, Henrique. "Credit derivatives in Brazil." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/39511.
Abstract:
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.Includes bibliographical references (p. 40-42).
The amounts outstanding of credit derivatives have grown exponentially over the past years, and these financial intruments that allow market participants to trade credit risk have become very popular in Europe and in the United States. Although the Central Bank of Brazil passed regulation in 2002 allowing the trade of credit derivatives in the domestic market, almost nothing happened in this arena, and the credit derivatives market in Brazil barely exists. This thesis aims at investigating why such a market has not developed in one of the largest economies of the world. The thesis starts by explaining the mechanism of one of the most popular credit derivatives - the credit default swap (CDS). Then, since bonds and CDS are closely related, the thesis provides short descriptions of the Brazilian market for government issued bonds and corporate bonds. Subsequently we assess the Brazilian regulation for credit derivatives and start to find some reasons why the market has not been developed. We then approach a real life example of estimating the CDS premium for a local company using the no-arbitrage argument and compare the results with the premium of the offshore CDS available for the same company.
(cont.) We find that the credit rating upgrades do not explain the changes in the domestic credit spread for the chosen company. Moreover, we observe that the domestic credit spread behaved very differently from the offshore CDS for the same entity, what suggests that more research on this direction would be interesting. Subsequently we address the benefits and risks provided by credit derivatives and examine the current situation of the market for these financial instruments in Mexico and Korea. We found that the Central Bank of Brazil imposed restrictions to some market participants in the credit derivatives market and allowed only two products to be traded: CDS and total return swaps. These restrictions, together with a not very liquid corporate bond market and the lack of reforms granting for example stronger rights to secured and unsecured debt holders may be the reason why the credit derivatives market did not flourish in Brasil.
by Henrique Rüther.
S.M.
16
Herbertsson, Alexander. "Pricing portfolio credit derivatives." Göteborg : Göteborg University, 2007. https://gupea.ub.gu.se/dspace/bitstream/2077/4731/1/Herbertsson%20avhandl.pdf.
17
Libakeni, Mark M. "Zambia's credit-guarauntee schemes." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/96170.
Abstract:
Thesis (MDF)--Stellenbosch University, 2014.Small and medium enterprises are recognised around the world as very important to a country’s economic wellbeing. In developing countries, small and medium-sized businesses are seen as effective vehicles that can quickly deliver much needed economic development, increased employment, wealth creation and, ultimately, reduction in the poverty levels. However, these businesses fail to deliver the much-touted economic and social-welfare benefits. This failure is attributed to the many challenges that small and medium enterprises face, among which is a critical lack of access to bank financing. Credit-guarantee schemes in sub-Saharan Africa have over the past decades become a preferred intervention to try and get more bank financing flowing to small and medium enterprises. In 2009, the Government of Zambia implemented the National Credit Guarantee Fund as its intervention measure to unlock constrained bank credit to the country’s small and medium enterprises. Experience with credit-guarantee schemes in sub-Saharan Africa, including Zambia, has been rather disappointing. This study therefore aimed to review the Zambia National Credit Guarantee Fund with respect to its operational design, implementation and usage, evaluating the extent to which the design and implementation met international best practice. The study also sought to find out whether the design of the scheme sufficiently considered the local context of small- and medium-enterprise financing and whether it was attractive enough for the local commercial banks in Zambia. Using an extensive literature review, survey questionnaires sent to all commercial banks registered in Zambia as well as structured interviews of senior banking and government officials, the study found that, despite the Zambian credit-guarantee scheme having proper and adequate design that conformed to international best practice, it was unable to attract the needed participation of the local commercial banks. We conclude that, while proper and adequate designs of credit-guarantee schemes are important in the success of the schemes, this by itself will not attract the participation of commercial banks in an economy like Zambia’s. We infer from the results of the study that certain other interventions, such as the improvement of the financial- and business-management capabilities of small- and medium-enterprise management, must be put in place before mechanisms such as welldesigned credit-guarantee schemes can be expected to achieve their intended aim.
18
Erlenmaier, Ulrich. "Risk management in banking credit risk management and bank closure policies /." [S.l. : s.n.], 2001. http://deposit.ddb.de/cgi-bin/dokserv?idn=963752502.
19
Martinez, John Brett. "Credit card credit scoring and risk based lending at XYZ Credit Union." CSUSB ScholarWorks, 2000. https://scholarworks.lib.csusb.edu/etd-project/1752.
20
Qu, Jing. "Market and Credit Risk Models and Management Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/649.
Abstract:
This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Value at Risk was calculated using semi-parametric model. Then the weekly losses of the stock portfolio and the daily losses of the entire portfolio were both fitted into ARMA(1,1)-GARCH(1,1), and the estimated parameters were used to find their conditional value at risks (CVaR) and the conditional expected shortfalls (CES).
21
Frizziero, Luca <1995>. "Credit risk management in banks and insurance companies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/16815.
Abstract:
This thesis aims to analyse the ways in which credit risk is managed and modelled in banks and insurance companies. The structure of this research is divided into four chapters. The first part aims to introduce the main features and parameters for the credit risk analysis, such as the probability of default of bond issuers and their joint correlation, the Loss Given Default (LGD), the Exposure at Default (EAD) and the computation of the main quantities of interest for the determination of the capital requirements, with a particular focus on how banks and insurance companies must comply with their respective EU regulatory frameworks, i.e. Basel III for banks and Solvency II for insurers. In Chapter 2, different approaches to model default correlation and the most widespread used models for credit risk management are discussed and compared. Particular emphasis is given to the CreditMetrics, KMV, CreditPortfolioView and CreditRisk+ models, of which this thesis provides an extensive explanation of their basic versions. The third chapter proposes an in-depth comparison of the features that make insurance companies differ from banks, with a specific focus on the insurance industry and the compliance with Solvency II. The last part of this paper encompasses a case study based on the development and application of a credit risk management model using Matlab programming software.
22
Jericevic, Sandra Lynne. "Loan contracting and the credit cycle /." Connect to thesis, 2002. http://eprints.unimelb.edu.au/archive/00000737.
23
Pryce, Gwilym Benjamin John. "Assessing, perceiving and insuring credit risk." Thesis, University of Glasgow, 1999. http://theses.gla.ac.uk/4960/.
Abstract:
This thesis is concerned with the assessment, perception and insurance of credit risk. The thesis aims to make contributions both within these areas, and at specific points of interface between them. No attempt is made to develop a single unifying thesis. Rather, a series of partial models are developed, both theoretical and empirical, that develop and connect particular facets of financial economics. The first model demonstrates how movements in market risk produce movements in lender risk-assessment effort. It is demonstrated that deleterious movements in market-wide risk can actually produce a fall in assessment effort. The capricious nature of risk assessment causes changes in the lender's perception of the weights placed on determinants. This has important implications for borrowers' attempts to minimize risk premiums. Time-variability of signal-weights is tested using structural break tests on ordinary least squares and fixed effects panel models. Results suggest a fluid relationship between risk and determinants. Central to empirical investigation is the measurement of perceived risk. A critique of potential measures rejects the use of interest rate spreads - the most commonly used measure - on the basis that they do not take into account the possibility of credit rationing. A model is then constructed to reproduce the standard explanation of credit rationing - Adverse Selection induced Credit Rationing Equilibrium (ASCRE). This model is then extended to include classificatory risk assessment. Assessment is found to reduce the scope for ASCRE, and to cause favourable selection. Credit insurance is then included, and it is found that insurance cover makes risk assessment less of an imperative to lenders, and reduces the utility losses from raising interest rates. The parallel implication is that credit insurance weakens ASCRE, to the extent that full insurance with flat-rate premiums removes the possibility of ASCRE altogether. If the terms of insurance are made contingent on the terms of the loan, a new form of credit rationing emerges: Contingent Insurance induced Credit Rationing Equilibrium (CICRE). CICRE is separate, but not mutually exclusive, to ASCRE. A theoretical model of the demand for loan insurance is developed, and empirically estimated, in the context of the UK mortgage market. Inter alia, the model examines the role of auto-perception of risk determining credit insurance demand. Results reveal the take-up of credit insurance to be relatively insensitive to the borrower's perception ofhis/her own risk.
24
Cardella, Laura D. "Credit Risk and Inter-Firm Dependence." Diss., The University of Arizona, 2012. http://hdl.handle.net/10150/228116.
Abstract:
I explore whether inter-firm linkages affect firms' credit risk. After controlling for the endogeneity between a firm's credit risk and its dependence on customers and suppliers, I find that supply-chain relationships affect firms' credit risk. My results indicate firms with exposure to major customers have lower ratings, and the level of firm dependence on major customers is negatively associated with firms' credit ratings. Further, I show when a firm's customers also depend on it, this mitigates the negative effect of dependence on credit risk. Finally, I document a negative association between a customer's reliance on its dependent suppliers and the customer's credit rating. Overall, my results provide insights regarding how inter-firm relationships between corporate customers and suppliers affect credit risk.
25
Luttig, Helmuth Hartwig. "An evaluation of the South African National Credit Act and the implications for credit users." Thesis, Stellenbosch : University of Stellenbosch, 2010. http://hdl.handle.net/10019.1/6401.
Abstract:
Thesis (MBA (Business Management))--University of Stellenbosch, 2010.ENGLISH ABSTRACT: The National Credit Act came into being on the 1st of June 2007 and besides its other objectives was intended to make credit more accessible to all South Africans, to stop unreasonable practices by lenders and to protect consumers against reckless lending. This research study investigates the credit environment for the period since the implementation of the Act up to the fourth quarter of 2009 to determine whether South African credit users are indeed better off or whether we are heading for a credit crisis. A literature review was conducted to investigate the extension of credit to households during the period under review and to investigate consumers’ ability and willingness to repay their debt. Due to the global and local financial crisis that happened during this period and the losses and wealth destruction that ensued, the research was extended to consider the influence of the macroeconomic situation on the debtors’ ability to honour their debt commitments. To determine whether South African households are heading for a credit crisis the researcher reviewed literature relating to the financial vulnerability of households, the application of their monthly disposable income, the main reasons for entering into credit agreements, and lastly the extent of over indebtedness. The findings indicate that credit has indeed become more accessible to all South Africans as the number of credit active consumers continued to increase from quarter to quarter. With regards to the cost of credit and the minimum qualifying criteria, credit also became more accessible as individuals earning as little as R1 500 per month became eligible for credit and store cards that used to be exclusive to higher income earners. During the period under review the standing of credit active consumers continued to deteriorate with only 54% of credit active users classified as current at the end of the period, almost 10% lower than before the implementation of the act. It was also found that macroeconomic influences from around the world had a real influence on the ability of credit active consumers to honour their financial commitments. Increased interest rates, inflation, higher transport and energy costs, unemployment and many other factors influenced the income available for and the ability to repay debt over the period under review. Lastly it was found that households are increasingly vulnerable to any changes in their income, expenses, savings or debt position. It is increasing to such an extent that more than 50% of all credit active consumers surveyed during a previous study admitted to borrowing in order to re-pay debt and that a relatively large percentage of users are committed to debt repayments for more than 100% of their monthly income. These findings support the opinion that a credit crisis is on the loom in the South African credit industry. Due to the relatively short period covered by the research stretches and the multitude of income groups and credit agreements included, more research is needed to make specific recommendations to improve the position of credit active consumers. The challenges facing the industry are further complicated by the need credit and other needs of the lower income earners, the required price-for-risk-policies of credit providers and the low levels of financial education amongst users. All three these themes require more research.
AFRIKAANSE OPSOMMING: Die Nasionale Kredietwet wat op 1 Junie 2007 in werking getree het het onder meer ten doel gehad om krediet meer toeganklik te maak vir alle Suid Afrikaners, om onbillike praktyke deur krediegewers stop te sit en om gebruikers te beskerm teen roekelose kredietverlening. Hierdie navorsing verken die kredietomgewing vir die tydperk sedert inwerkingtreding van die wet tot en met vierde kwartaal van 2009 ten einde vas te stel of Suid Afrikaanse gebruikers inderdaad beter daaraan toe is, en of ons afstuur op n krediet krisis. ‘n Literatuurstudie is onderneem om die toestaan van die verskillende tipes huishoudelike krediet tydens hierdie termyn te ondersoek, sowel as die gebruikers daarvan se gewilligheid en vermoë om hul maandelikse skuldverpligtinge na te kom. Vanwee die ernstige finansiële krisis wat tydens hierdie periode in die wêreld en in Suid Afrika grootskaalse verliese en welvaartsvernietiging tot gevolg gehad het, is die literatuurstudie uitgebrei om ook oorweging te gee aan die invloed van hierdie gebeure op skuldenaars se vermoë om hul skuldverpligtinge te diens. Ten einde vas te stel of Suid Afrikaanse huishoudings afstuur op ‘n kredietkrisis het die navorser literatuur bestudeer rakende die finansiële kwesbaarheid al dan nie van huishoudings, die aanwending van hul beskikbare inkomste, die redes vir huishoudings om geld te leen en laastens die omvang van gebruikers wat meer veskuldig is as wat hulle kan bekostig. Die bevindinge dui daarop dat krediet weliswaar meer toeganklik is vir alle Suid Afrikaners aangesien die aantal krediet gebruikers gedurende die tydperk van kwartaal tot kwartaal gegroei het. Wat betref die koste daarvan en die minimum vereistes daarvoor het krediet ook meer toeganklik geword, en kwalifiseer individue wat so min as R1 500 per maand verdien nou vir kreditkaarte en winkel krediet wat voorheen net beskore was vir die hoër inkomste groepe. Tydens hierdie periode het die status van kredietgebruikers verder verswak en het die persentasie kredietgebruikers wat op datum is met hul verpligtinge so laag as 54% gedaal; bykans 10% minder as voor die inwerkingtreding van die wet. Daar is verder bevind dat makro ekonomiese toestande in die res van die wêreld en Suid Afrika ‘n daadwerklike invloed het op die vermoë van kredietgebruikers om hul skuldverpligtinge na te kom. Stygende rentekoerse, inflasie, duurder vervoer en energiekoste, werkloosheid en vele ander faktore het die kontant beskikbaar vir en die vermoë om skuld te delg baie nadelig geraak oor heirdie tydperk. Laastens is bevind dat huishoudings toenemend kwesbaar is vir enige veranderinge in hul inkomste, uitgawe, spaar of skuld verpligtinge. Soveel-so dat meer as 50% van alle gebruikers van krediet erken dat hulle by tye geld geleen het om ander skuld te betaal, en dat ‘n beduidelnde persentasie gebruikers tot meer as 100% van hul besteebare inkomste verbind is vir maandelikse terugbetalings. Bogenoemde bevindinge ondersteun die opinie dat daar n dreigende krisis in die Suid Afrikaanse kredietomgewing is. Aangesien hierdie navorsing beperk is tot ‘n relatiewe kort termyn en dit ‘n groot spektum van inkomstegroepe en kredietooreenkomste dek, is verdere navorsing nodig om spesifieke aanbevelings te maak ten einde Suid Afrikaanse kredietgebruikers in ‘n beter posisie te plaas. Die uitdagings in die industrie word verder gekompliseer deur die krediet en ander behoeftes van laer inkomstegroepe, die noodsaaklikheid vir uitleners om hul produkte te prys vir die inherente risikos wat daaraan gebonde is en die lae vlak van finansiële opleiding onder gebruikers. Al drie hierdie temas benodig verdere navorsing.
26
Mu, Yuan. "Chinese bank's credit risk assessment." Thesis, University of Stirling, 2007. http://hdl.handle.net/1893/210.
Abstract:
This thesis studies the Chinese banks’ credit risk assessment using the Post Keynesian approach. We argue that bank loans are the major financial sources in emerging economies and it is uncertainty, an unquantifiable risk, rather than asymmetric information about quantifiable risk, as held by the mainstream approach, which is most important for the risk attached to credit loans, and this uncertainty is particularly important in China. With the universal existence of uncertainty, borrowers and lenders have to make decisions based on convention and experience. With regard to the nature of decision-making, this implies the importance of qualitative methods rather than quantitative methods. The current striking problem in Chinese banking is the large amount of Non-Performing Loans (NPLs) and this research aims to address the NPLs through improving credit risk management. Rather than the previous literature where Western models are introduced into China directly or with minor modification, this work advocates building on China’s conventional domestic methods to deal with uncertainty. We briefly review the background of the Chinese banking history with an evolutionary view and examine Chinese conventions in the development of the credit market. Based on an overview of this history, it is argued that Soft Budget Constraints (SBC) and the underdeveloped risk-assessing mechanism contributed to the accumulation of NPLs. Informed by Western models and experience, we have made several suggestions about rebuilding the Chinese convention of credit risk assessment, based on an analysis of publications and interviews with Chinese bankers. We also suggest some further development of the Asset Management Companies (AMCs) which are used to dispose of the NPLs.
27
Hu, Zhiwei. "Market model for portfolio credit derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20HU.
28
Ho, Siu Lam. "Lévy LIBOR model and credit risk /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?MATH%202007%20HOS.
29
Eguaoritseyemi, Okirika Temeoweikuro. "Investigation into credit risk management practices in Nigerian banks." Thesis, University of Buckingham, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549719.
Abstract:
Frail credit risk management practices have dragged financial intermediaries into financial crisis or bankruptcy if not well managed. The study seeks to appraise the intent to which Nigerian banks have meritoriously managed credit risk after the 2005 bank recapitalization exercise. It also seeks to establish other factors on why some banks to fail the 2009 stress test conducted by Central Bank of Nigeria. The study found that the failure to effectively manage credit risk as a result of increase capital inflow into the banking system and excessive lending contributed immensely to the 2009 banking crisis. The research also identified lax credit risk management practices as a major factor that caused the crisis. Furthermore, banks to develop and implement their credit I scoring models for assessing, monitoring and reviewing of credit portfolios and other credit granted.
30
Spence, Joshua. "PERVIOUS CONCRETE: A HYDROLOGIC ANALYSIS FOR STORMWATER MANAGEMENT CREDIT." Master's thesis, University of Central Florida, 2006. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/4176.
Abstract:
Portland Cement pervious concrete's ability to permit water infiltration has encouraged its use as a stormwater management tool. However, the material has suffered historically poor support due to a number of factors, including failures due to poor mix design and improper construction techniques, concern about lesser structural strength, concern about poor long term performance due to clogging of surface pores and undefined credit for stormwater management. This study focuses on long term performances of pervious concrete parking lots and their stormwater management credit. Before stormwater management credit could be estimated, it was necessary to develop a testing device to gather information from existing pervious concrete parking lots currently in use. Eight parking lots were examined to determine the infiltration rates of the pervious concrete, as well as to verify the soil makeup beneath pavement. A total of 30 cores were extracted from pervious concrete parking lots and evaluated for infiltration rates. Three of the sites had a pervious concrete section that included a gravel reservoir. Infiltration rates were measured using the application of an embedded single-ring infiltrometer. In an attempt to provide an estimate of credit, a mass balance model was created to be used for simulation of the hydrologic and hydraulic function of pervious concrete sections. The purpose of the model is to predict runoff and recharge volumes for different rainfall conditions and hydraulic properties of the concrete and the soil. The field derived hydraulic data were used to simulate infiltration volumes and rainfall excess given a year of rainfall as used in a mass balance operated within a spreadsheet. The results can be used for assessing stormwater management credit.M.S.
Department of Civil and Environmental Engineering
Engineering and Computer Science
Civil Engineering
31
Wang, Yang. "Credit risk management in rural commercial banks in China." Thesis, Edinburgh Napier University, 2013. http://researchrepository.napier.ac.uk/Output/6659.
Abstract:
Credit risk is one of the most general risks that exist in the financial market and a major risk faced by financial institutions. Credit risk management (CRM) is to identify, measure, monitor, and control risk arising from the possibility of default in loan repayments. The primary objective of CRM of rural commercial banks (RCBs) is to maintain risk within acceptable parameters and satisfy the regulatory requirements. CRM has long been the focus of governments, regulatory authorities and financial institutions. This thesis examines the importance of CRM for RCBs, which has been overlooked in the literature, and attempts to develop a CRM framework for RCBs. It has four specific research objectives: 1) to discuss the differences between RCBs and city based-commercial banks; 2) to examine the importance of CRM for RCBs and identify the approaches available for banks to manage credit risks; 3) to identify the key factors that have influenced the credit evaluation and assessment, as well as credit risk control in the context of China's RCBs; and 4) to propose a practicable CRM framework that suits the characteristics of Chinese RCBs. This study adopts qualitative analysis and case study approaches to identify key factors contributing to the failure of RCBs' customers, resulting in loan defaults and banks' credit risk. The quantitative-based CRM tools available for large financial institutions do not meet the requirements of RCBs because the main customers of RCBs are small and medium-sized enterprises (SMEs) and farming households and there is a lack of financial data and credit rating relating to these customers. In addition to normal risks faced by financial institutions, RCBs in China are also exposed to risks specifically to rural commercial banking business and in particular, farming-related loans and services. This study proposes a CRM framework for RCBs in China. The framework is based on the identification of business failures of RCBs' customers and factors contributing to the failures of SMEs and farming households. The framework is divided into five steps. The first step is to distinguish business failure and closure. The second step is to identify factors contributing to the failure of customers, which should be considered from environmental, operational, financial and guanxi aspects. The third step is to use PCA to identify principal factors. The fourth step is to design a credit risk analysis model with an analysis of these principal factors. The final step is to use the credit risk analysis model to manage credit risks of their portfolios and individual loans provided to SMEs and farming households. The CRM framework has been confirmed by practitioners through interviews conducted in the case bank. Interviews raise a number of issues relating to the development of a CRM model and assessment of credit risk of SMEs in China. The case study through an analysis of documents of the case bank reveals the importance of CRM and organisational structure in risk management and CRM. The case study presents evidence of lacking of practical methods in managing credit risk by RCBs in China. The proposed framework expects to address the problem. This study has made several contributions to the literature that studies CRM in financial institutions in general and RCBs in particular. This study critically identifies the current lack of studies specifically addressing the RCBs' CRM, and proposes a CRM framework for RCBs. The framework considers financial and non-financial variables to analyse SMEs and farming household for which financial information is very limited. Using nonfinancial variables along with financial variables as predictors of business failure significantly improves credit analysis quality and accuracy. Also, this study recognises guanxi as risk potentials affecting the business of SMEs and farming households and includes guanxi risks in the framework. The consideration of guanxi in credit risk analysis fits well with China's business environment.
32
Blyzniuk, Charles H. "Incipe denuo: The Effect of Restatements on Credit Rating and Credit Default Swap Price." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/801.
Abstract:
This paper seeks to investigate the reaction of credit ratings and credit markets in response to accounting restatements. Accounting restatements can often be perceived as a precursor to fraudulent activity, which could lead to a more negative credit rating, or a heightened credit default swap (CDS) price. CDS prove to be a useful measuring tool as they adjust to changes relatively quickly; much more quickly than the assessment of a credit rating agency. My results suggest that restatements do indeed have an effect on credit rating. It does, however take longer for credit ratings to be updated after the restatement, but CDS quotes move faster and are just as, if not more accurate. I also find that credit default swaps do not anticipate restatements, showing that while the credit markets are beating the rating agencies, they do not appear to be beating the accountants.
33
Frankfurth, Karsten. "The management of leveraged buyout credits by bank credit functions in Europe : risk factors and their use." Thesis, Heriot-Watt University, 2014. http://hdl.handle.net/10399/2858.
Abstract:
LBO transactions were structured increasingly aggressive in the years prior to the outbreak of the financial crisis (2007), as reflected in rising debt proportions. This was followed by many LBO credits experiencing difficulties to adhere to their loan documentations. Bank credit functions played a role in this, giving rise to an investigation into whether their work could be more effective. To identify areas for improvement in their work of evaluating LBO credits and – if such areas can be identified – deduce some potential measures how to address them was the aim of this research. The research is timely as evaluations of LBO credits continue to be required heavily. Many of the credits structured around 2006/2007 will soon require refinancing and in parallel new transactions come to the market. A literature review on the risk factors and cycles relating to LBOs, the simple techniques of portfolio management and LBO credit management practices found that all the ingredients required for effective LBO credit management are available. This is in conflict with the observation of increasing credit risk inherent in these transactions in the years just prior to the outbreak of the financial crisis of 2007. Based on this, 18 experts were interviewed. The results were analysed quantitatively and qualitatively. To enhance robustness, results were discussed with four senior credit executives as well as a focus group discussion of the credit function of one bank. The exploratory results of this research suggest that there is strong awareness of the risk factors in LBOs. The systematic risk in LBOs in form of an LBO cycle however is not considered to a significant degree in credit analysis/credit monitoring. Some important risk factors also receive relatively little attention in credit analysis/credit monitoring and aspects of portfolio management are not used strongly at the level of credit functions. Finally, an area of improvement that had been identified was the utilization of results; i.e. the need to draw consequences from observations made with view to risk factors. Due to the limited scope of the study, updating the results with more recent data as well validation and triangulation of results remain recommended.
34
Derrocks, Velda Charmaine. "Credit risk management in development finance institutions and SMME sustainability." Thesis, Nelson Mandela Metropolitan University, 2017. http://hdl.handle.net/10948/14862.
Abstract:
Small, Medium and Micro Enterprises (SMMEs) make a significant contribution to the South African Economy. Regardless of size, these businesses have the ability to create employment, make a generous contribution to tax collections, uplift communities and serve as a beacon of hope for those trapped in the cycle of poverty and unemployment. However, SMMEs lack access to much-needed financial resources that are critical for their growth. Development Finance Institutions (DFIs) aim to bridge the gap between the SMME’s financial needs and the development of the respective SMME businesses, by providing funding to entrepreneurs with potentially viable businesses and ideas. Debt funding to these SMMEs are based on sound commercial lending principles that take various non-quantitative variables into account. The sustainability of SMMEs is a primary concern to all participants in the economy, as it is known that SMME failure rates are high Therefore, the primary objective of this study was to investigate the impact that the credit risk management practices of DFIs have on the sustainability of SMMEs, by examining a case study of a typical DFI. An electronic questionnaire survey was considered as an appropriate measurement method for this study. The targeted population of the study included SMMEs in the Eastern Cape that are Trust for Urban Housing (TUHF) clients and 23 SMMEs were identified as part of the study sampling frame. A total number of 14 questionnaires were returned out of the 23 targeted SMMEs - giving a response rate of 61%. The quantitative data was processed using the STATISTICA program, leading to appropriate descriptive statistical analyses. In order to better understand the impact of credit risk management practices on the sustainability of SMMEs, a hypothesis was formulated and linear regression analysis was used to establish the statistical significance of certain credit risk principles and sustainability characteristics. The results of the empirical study revealed that credit risk management practises do impact on the sustainability of SMMEs. Further, by testing the hypothesis, it was also revealed that certain sustainability variables are regarded as more important than others.
35
Yousefi, Sepehr. "Credit Risk Management in Absence of Financial and Market Data." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188800.
Abstract:
Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. Globalization causes economises to be affected by innumerous external factors and companies to become interdependent, which in turn enlarges the complexity of establishing reliable mathematical models. The precarious situation is exacerbated by the fact that managers often suffer from the lack of data. The default correlations are most often calibrated by either using financial and/or market information. However, there exists circumstances where these types of data are inaccessible or unreliable. The problem of scarce data also induces diculties in the estimation of default probabilities. The frequency of insolvencies and changes in credit ratings are usually updated on an annual basis and historical information covers 20-25 years at best. From a mathematical perspective, this is considered as a small sample and standard statistical models are inferior in such situations. The first part of this thesis specifies the so-called entropy model which estimates the impact of macroeconomic fluctuations on the probability of defaults, and aims to outperform standard statistical models for small samples. The second part specifies the CIMDO, a framework for modeling correlated defaults without financial and market data. The last part submits a risk analysis framework for calculating the uncertainty in the simulated losses. It is shown that the entropy model will reduce the variance of the regression coefficients but increase its bias compared to the OLS and Maximum Likelihood. Furthermore there is a significant difference between the Student's t CIMDO and the t-Copula. The former appear to reduce the model uncertainty, however not to such extent that evident conclusions were carried out.Kreditriskhantering är den enskilt viktigaste delen i banker och finansiella instituts säkerhetsåtgärder mot nedsidor i deras investeringar. En påtaglig svårighet inom ämnet är modelleringen av simultana konkurser. Globalisering ökar antalet parametrar som påverkar samhällsekonomin, vilket i sin tur försvårar etablering av tillförlitliga matematiska modeller. Den prekära situationen förvärras av det faktum att analytiker genomgående saknar tillräcklig data. Konkurskorrelation är allt som oftast kalibrerad med hjälp av information från årsrapporter eller marknaden. Dessvärre existerar det omständigheter där sådana typer av data är otillgängliga eller otillförlitliga. Samma problematik skapar även svårigheter i skattningen av sannolikheten till konkurs. Uppgifter såsom frekvensen av insolventa företag eller förändringar i kreditbetyg uppdateras i regel årligen, och historisk data täcker i bästa fall 20-25 år. Syftet med detta examensarbete är att ge ett övergripande ramverk för kreditriskhantering i avsaknad av finansiell information och marknadsdata. Detta innefattar att estimera vilken påverkan fluktueringar i makroekonomin har på sannolikheten för konkurs, modellera korrelerade konkurser samt sammanfatta ett ramverk för beräkning av osäkerheten i den estimerade förlustdistributionen. Den första delen av examensarbetet specificerar den så kallade entropy modellen. Denna skattar påverkan av makroekonomin på sannolikheterna för konkurs och ämnar att överträffa statistiska standardmodeller vid små datamängder. Den andra delen specificerar CIMDO, ett ramverk för beräkning av konkurskorrelation när marknads- och företagsdata saknas. Den sista delen framlägger ett ramverk för riskanalys av förlustdistributionen. Det visas att entropy modellen reducerar variansen i regressionskoefficienter men till kostnad av att försämra dess bias. Vidare är det en signifikant skillnad mellan student’s t CIMDO och t-Copula. Det förefaller som om den förstnämnda reducerar osäkerheten i beräkningarna, men inte till den grad att uppenbara slutsatser kan dras.
36
Wang, Shuo. "Three essays on credit ratings, earnings management, and insider trading." Thesis, University of Bristol, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.702898.
37
Curti, Filippo. "The Rating Game: an Empirical Assessment." Diss., The University of Arizona, 2014. http://hdl.handle.net/10150/323225.
Abstract:
The question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.
38
Hadziefendic, Adnan, and Kristian Ullakko-Haaraoja. "Managing a Credit Portfolio : A pilot study for Sandvik AB." Thesis, University of Gävle, Department of Business Administration and Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-4566.
Abstract:
Background:
If a company does not have an optimal model for credit portfolio management they can face difficulties if they cannot forecast how the credit portfolio will behave during recessions. It can be explained with the fact that the management for the company might ask how the department forecasts a probable default within the credit portfolio. The senior management might want to know how the management for the credit portfolio measures how big credit losses can become. They might also want to know how it is possible to reduce the risk of big credit losses. The key factor in this type of questions is how it is possible for a company to forecast a default.
Purpose:
Our purpose is to make a pilot study where we bring out the components that are necessary for the creative of an optimal model that is applicable on Sandvik’s credit portfolio.
Method:
For the collection of empirical data, we used a qualitative method. The qualitative method was based on interviews with respondents from Scania Financial Services, Volvo CE International and Swedbank. In addition, we had discussions with our “employer” Sandvik about their credit portfolio management. We analyzed the empirically gathered data with a hermeneutic perspective.
Conclusions:
Sandvik has a credit portfolio with many small companies which imply that it is a high risk portfolio. For that reason we brought out components that are necessary for their credit portfolio. The components we brought out were by a comparison between the theory and our cases. The components are following: parameters within country assessment, customer’s customer, payment history and payment behavior, judgement of customer’s management, utterances from the management, investment plans, cash flow analysis, stable earnings, key performance indicators, profitability, future forecasts, balance sheet analysis, legal situation, business expertise and securities.
39
Zuleger, Stephanie. "Identifying impediments of succession planning in credit unions." Thesis, Pepperdine University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10248028.
Abstract:
Credit unions, the cooperatives started by the people to serve the people, have experienced tremendous growth, success, and challenge since their inception in the mid-19th century. While the overall number of members and assets are growing, the physical number of credit unions is decreasing due to mergers or insolvency, keeping market share stagnant for the past 20 years. As with all organizations, succession planning is essential to ensure a future. Considering a conceptual foundation including stakeholder theory and succession planning, the purpose of this qualitative study was to better understand how succession planning is utilized by CEOs of credit unions today, what impedes credit unions from succession planning and leadership development, as well as what tools or resources are needed within the industry to either build or enhance the succession planning efforts.
Based on in-depth interviews with eight current CEO’s, findings revealed that succession planning is happening more frequently in large credit unions than previous research noted. CEOs are committed to their stakeholders and to the industry and are driving this process in their credit unions, they believe developing leaders is their main role, and they see succession planning as a competitive advantage because of the results it generates. To make the process successful, the CEOs are utilizing consultants, incorporating a variety of activities, focusing on innovation and technology, and challenging the talent management status quo. The CEOs did not believe suggested impediments from previous research were accurate. Rather, they believed that intrinsic factors got in the way including excuses, basic human nature and egos. To truly revolutionize the industry and gain market share, the CEOs shared that many strategies including hiring practices must change.
It is recommended that credit union leaders and directors become knowledgeable on succession planning and its benefits, connect strategic planning with talent management, and remove intrinsic obstacles to most effectively give back to their stakeholders. Additional research on smaller credit unions and their succession planning efforts, recruiting and hiring tactics for credit union CEOs, and the prioritization of succession planning, strategic planning, and financial results is needed.
40
Elkamhi, Redouane. "Three essays on credit risk, fixed income and derivatives." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=21948.
Abstract:
This dissertation comprises three essays. In the first essay, we provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, an infinite state-space setup using the no-arbitrage principle. Our approach allows for general forms of heteroskedasticity in returns. It also allows for conditional non-normal return inno- vations, which is critically important because heteroskedasticity alone does not su¢ ce to capture the option smirk. The resulting risk-neutral return dynamics are from the same family of distributions as the physical return dynamics. Our framework nests the valuation results obtained by Duan (1995), and Heston and Nandi (2000) by allowing for a time-varying price of risk and non-normal innovations. In the second essay, we develop a methodology to study the linkages between equity and corporate bond risk premia and apply it to a large panel of corporate bond transaction data. We find that a significant part of the time variation in bond default risk premia can be explained by equity-implied bond risk premium estimates. We compute these estimates using a recent structural credit risk model. In addition, we show by means of linear regressions that augmenting the set of variables predicted by typical structural models with equity-implied bond default risk premia significantly increases explanatory power. This, in turn, suggests that time-varying risk premia are a desirable feature for future structural models. In the third essay, we first document empirically that embedded put option values are related to proxies for term structure risk, default risk and illiquidity. In a second step, we develop a valuation model that simultaneously captures default and interest rate risk. We use this model to disentangle the reduction in yield spread enjoyed by putable bonds that can be attributed to each risk. Perhaps surprisingly, the most impCette thèse comprend trois essais. Dans le premier essai nous avons développé des résultats pour l'évaluation des actifs contingents de type Européen pour une vaste classe de spécification du rendement de l'actif sous-adjacent. Notre méthode est obtenue dans une économie à temps discret et espace infini en utilisant seulement la condition de non arbitrage dans le marché. Notre approche permet une forme générale d'heteroskedasticité pour les rendements. Les résultats pour les cas d'homoskedasticité sont retrouvés comme des cas spéciaux. Notre approche permet d'accommoder les cas où l'innovation dans la dynamique du rendement est conditionnellement non normale. Cette flexibilité est extrêmement importante car l'heteroskedasticité seulement n'est pas su¢ sant pour cap- turer le phénomène du "smirk" dans les prix des options. Nos résultats emboîtent ceux obtenue dans Duan (1995) et Heston et Nandi (2000). Dans le deuxième essai nous avons développé une méthodologie pour étudier le lien entre la prime de risque dans les obligations corporatives et celle de l'actif risqué de la firme. Nous avons appliqué notre méthode sur une large base de données des transactions des obligations corporatives. Nous avons trouvé qu'une importante partie de la variation temporelle du risque de défaut dans ces obligations peut être expliquer par des estimées de la prime de risque du défaut reconstruite à partir de l'actif risqué de la firme seulement. En plus, nous avons démontré à l'aide des régressions linéaires qu'augmentant la série des variables prédites par le modèle structurel par notre estimé de la prime du risque de défaut ajoute une explication significative. Dans le troisième essai nous avons montré empiriquement que la valeur des obligations corporatives du type" puttable" est reliée aux risques de défaut, de liquidité et celui dû aux taux d'intérêts. Dans la deuxième étape de ce projet nous avons développé un mo
41
Carreno, Jason. "The Implications of Employee Turnover on Credit Unions." ScholarWorks, 2016. https://scholarworks.waldenu.edu/dissertations/2526.
Abstract:
A lack of managerial responses to employee needs contributes to an increased rate of employee turnover in credit unions. Some managers do not possess the skills and strategies necessary to reduce employee turnover. This case study explored what strategies managers used to successfully reduce employee turnover. The population for this study was managers of a financial institution in Northeast Kansas with at least 1 year of leadership experience using methods to reduce employee turnover. Theory X and theory Y theory was the conceptual framework for this study. Data collection included semistructured face-to-face interviews with 10 managers and an exploration of company archival documents. Using Yin's 5-step data analysis method, 3 major themes emerged:
the ideal work environment; communication with employees; and work relationship with supervisors, which included the importance of connecting with your employees. Recommendations for action included listening, properly communicating, problem solving, and maintaining a stable work environment. Managers may apply these results to successfully reduce turnover in the organization. Social implications include providing a better understanding of employee retention and increasing knowledge of what influences employee turnover.
42
Jarvis, Marilyn Adams. "Credit risk-rating system for agricultural leases." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-12232009-020554/.
43
Khatywa, Thembalethu. "Mathematical models of credit management and credit derivatives." Thesis, 2010. http://hdl.handle.net/11394/3529.
Abstract:
>Magister Scientiae - MScThe first two chapters give the background, history and overview of the dissertation, together with the necessary mathematical preliminaries. Thereafter, the next four chapters deal with credit risk and credit derivatives.The final part of the dissertation is devoted to the Basel II bank regulatory framework and the mathematical modeling of asset allocation in bank management, pertaining to credit risk.Credit risk models can be categorized into two groups known as structural models and reduced form models. These models are used in pricing and hedging credit risk. In this thesis we review a variety of credit risk instruments described by models of the said types. One of the strategies utilized by companies to mitigate credit risk is by using credit derivatives.In this thesis, five main types of risk derivatives have been considered: credit swaps, credit linked notes, credit spreads, total return swaps and collaterized debt obligations. Valuation models for the first three derivatives that are mentioned above, are also presented in this dissertation.The material presented include some of the most recent developments in the literature. Our methods range from single-period modeling to application of stochastic optimal control theory. We expand on the material presented from the literature by way of simplifying or clarifying proofs, and by adding illustrative examples in the form of calculations, tables and simulations.Also, the entire Chapter 6 is a new original contribution to the existing literature on mathematical modeling of credit risk. Key words: credit risk; default risk; structural approach; reduced form approach; incomplete information approach; investment strategy; Basel II regulatory framework
44
Liu, Jr-Hua, and 劉志華. "Credit Risk Measurement and Management." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/71075880435028591650.
Abstract:
碩士國立臺灣大學
商學研究所
86
The main configuration of this research is to use a portfolio credit risk approach of CreditMetrics quantifies credit risks that arise due to increa sed exposure to an obligor or a group of correlated obligors. In this research, the credit risk includes not just default or insol vency risk but also changes in credit spreads and thereby market values, cha nges in credit ratings, and generic changes in credit quality. And foll ow this concept, this research has some issues as follows： 1、Use certain model to measure credit risk of any bonds、lo ans、receivables and derivatives whose value exposures are affected by the credit risk. 2、Use Black & Scholes and Vasicek model to extend the a sset pricing under the credit risk, which includes bonds pricing、loans pric ing、receivables pricing and derivatives pricing. 3、Introduce how to use this credit risk model to help obligees or investors to manage their assets'' credit exposures. 4、Introduce credit derivatives and develop new credit derivatives to help obligees or investors to hedge、 diversify a and gain access to credit exposures. 5、Use the result of the credit risk model and asset pricing to develop the pricing model of credit derivatives.
45
Du, Yibing. "Price discovery of credit risk." 2009. http://hdl.handle.net/10106/1639.
46
Tsai, Ying-Hua, and 蔡櫻花. "DISCUSSION ON NETWORK FINANCIAL CREDIT RISK MANAGEMENT." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/h7m8j6.
Abstract:
碩士元智大學
管理碩士在職專班
105
Due to the vast territory of mainland China, the financial services are presently lack of convenience and popularity. Also, Chinese banks still mainly serve for local governments, large state-owned enterprises and listed companies, so that a large number of small and medium enterprises and individuals borrowing needs had not be satisfied. Since 2005, some non-financial industries have started to operate the Internet financial business. With the development of Internet technology and the rapid growth of P2P network borrowing, the convenience of the network has shortened the loan audit cycle and improve the turnover rate of funds, therefore this kind of new financial service model, P2P network borrowing, is widely accepted by the public. However, the risk management mechanism of Internet lending platform, whether policy risk or network risk has always been factors that affect the development of Internet lending.
47
Wu, Chia-Wen, and 吳佳紋. "The Credit Risk Management for Account Receivables." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/73561696679042312831.
Abstract:
碩士國立交通大學
管理學院財務金融學程
100
Credit risk management or credit control, focuses on four key areas: • Deciding what credit to give a customer. • Everyday credit control. • Delayed payment and chasing debts. • Dealing with large companies Credit Control is aimed at serving the follow two purposes: to increase the sales revenue by extending credits to customers who are deemed good and to minimize the risk of losses from bad debts by restricting or denying credits to customers who are not good. This will improve the company's cash flows. Credit control is an important component in the overall profitability of many firms. The effectiveness of credit control procedures lies chiefly in the firm’s ability to judge the creditworthiness of potential customers. This is much more effective than trying to reclaim money from delinquent accounts.
48
Huang, Jia-Long, and 黃嘉龍. "Portfolio Credit Risk Management: Theory and Application." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/17590062415945178013.
Abstract:
博士國立臺灣大學
經濟學研究所
96
The implementation of Basel II in 2007 has driven banks to enhance their risk management capability, and the IRB approach has become the goal that many banks are aiming for. The IRB capital calculation formula is based on many assumptions including independence between PD and LGD, no concentration risk and identical parameters applying to all countries. Popular credit risk models like CreditMetrics or CreditRisk+ also make assumptions that LGDs are constant or LGDs are independent of PDs and do not explicitly deal with the dependence issue between PD and LGD. For this reason, we try to build a joint model for PD and LGD. The PDs depend on expected stock returns, which are in turn affected by a common factor, as well as return thresholds that are determined by risk ratings. In contrast, LGDs depend on asset values and expected equity/debt ratios, in which asset values are decomposed to three categories with different guarantee powers, while expected equity/debt ratios are influenced by the common factor. The central idea of this joint model is that PD and LGD are both affected by the common factor and hence are correlated. Viewing listed companies in Taiwan as a portfolio, we could estimate all parameters of our joint model and run Monte Carlo simulation to generate portfolio’s credit loss distribution and calculate the corresponding economic capital. The simulated economic capital is larger than the economic capital under the independence assumption and is also larger than the IRB capital. In addition, to employ economic capital as the basis for risk pricing and risk adjusted performance measurement, we must allocate portfolio economic capital to individual counterparty, which requires further Monte Carlo simulations. From the simulations, we find the ranking of allocated economic capital substantially differs from the ranking of IRB capital. Our main conclusion is that banks need to explore the basic idea of IRB capital formula and use their internal data to construct economic capital models if they want to correctly measure and manage credit risks. Banks could then meet the requirement of the Pillar II in Basel II and allocate economic capital much more efficiently. Banks need to access loans according to comparative risk. Only when this is accomplished, will banks earn more risk adjusted profit. Their counterparty would also bear less financing cost. Social welfare could therefore improve.
49
莊國意. "Research on Credit Management for Government Organizations." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/82469394584551001266.
50
Chang, Chih-Chuan, and 張志全. "Credit Risk, Idiosyncratic Risk, and Earnings Management." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/36180661765872829976.
Abstract:
碩士國立中興大學
高階經理人碩士在職專班
100
This paper examines the effect of the idiosyncratic risk of a firm on its credit risk and the relationship between the credit risk and accrual or real earnings management under considering idiosyncratic risk. We further investigate the effects of composition of real earnings management on the credit risk of a firm. In sensitivity analysis, we examine the effects of the credit risk and the idiosyncratic risk of a firm on managerial behavior of income smoothing. The findings indicate that net cash flows of external financing, debt financing and equity financing activities are negatively related to the credit risk of a firm whether the idiosyncratic risk are measured by market model or Fama-French three factors model, implying that the higher financed funds, the higher credit rating of a firm is. It is because the firm has more investment opportunities and is in growth stage. The idiosyncratic risk of a firm is positively related to the credit risk. Next, both accrual and real earnings managements are positively related the credit risk under considering the idiosyncratic risk, and the idiosyncratic risk is also positively related to credit risk. As for the compositions of real earnings management, abnormal cash flows are negatively related to the credit risk but both abnormal production cost and abnormal discretionary expense are unrelated to credit risk. In this case, we also find the idiosyncratic risk of a firm is positively correlated with the credit risk. Moreover, in sensitivity analysis, the evidence indicates that the idiosyncratic risk is negatively related to earnings smoothing and the firm with higher credit risk prefers to income smoothing strategy.