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Oguntoyinbo, Mojisola. "Credit risk assessment of the microfinance industry in Nigeria : an application to Accion Microfinance Bank Limited (AMFB)." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/21643.
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Thesis (MDF)--Stellenbosch University, 2011.The research report provides a credit risk assessment and evaluation of Accion Microfinance Bank Limited (AMFB) for the period 2006 to 2010, using Morgan Stanley’s methodology for analysing the credits and performance ratings of microfinance institutions (MFIs). Since MFIs are set up to provide credit and other financial services to the poor, financially underserviced segment of the society, and since the credit support granted to such micro businesses usually lacks collateral, it is imperative that the management of such credit services be sound in order to mitigate the high risks involved. Thus, credit risk management determines the success and survival of microfinance banks (MFBs): weak credit management leads to capital erosion and eventual failure, whereas sound credit risk management guarantees profitability and sustainability and, hence, the realisation of the objectives of their setup – enhancing the welfare of micro-entrepreneurs. The data for the research report were sourced from AMFB’s financial statements for the years 2006 to 2010 and from interviews that were conducted with principal officials of this MFB. The research found that good regulatory corporate governance and management practices, sound quantitative credit risk assessment and management, and quality and maturity of management lead to low credit risk accompanied by high profitability and sustainability for MFBs. As AMFB matured, the quality of portfolio, profitability, sustainability and operating efficiency were seen to increase. The quality of shareholders, board and management was found to be crucial for the sound management of the MFB. The research report, therefore, recommends regular and continuous credit risk identification, assessment and management, as well as sound corporate governance, if MFBs are to survive and grow and achieve their developmental objectives.
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Patricio, Antonio Pires. "Credit risk assessment in Macau." Thesis, University of Macau, 2004. http://umaclib3.umac.mo/record=b1636249.
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Mu, Yuan. "Chinese bank's credit risk assessment." Thesis, University of Stirling, 2007. http://hdl.handle.net/1893/210.
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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.
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Mshelia, James Buba. "Political risk assessment by multinational firms in Nigeria." Thesis, University of Huddersfield, 2015. http://eprints.hud.ac.uk/id/eprint/30193/.
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The study offers an insight into the dynamics of the relationship between political risk and multinational firms in the context of emerging markets. Political Risk Assessment (PRA) importance for multinational firms investing in emerging markets has increased significantly with the growing rate of Foreign Direct Investment (FDI) globally. It is used for managing political risk, and decision-making processes during firms’ internationalisation, and has been identified as one of the key determinants of FDI into developing countries. However, only a few empirical studies on PRA have been undertaken in emerging markets. Previous studies have shown that political risk has been evolving and has resulted in a range of consequences that have influenced the type of strategies which firms adopt. It is in recognition of this that the need to identify a country’s specific political risk factors and their consequences for multinational firms that this study is undertaken in Nigeria. Despite the flux in the political environment of the country with its population divided along cultural, ethnic, language and religious lines within its different geographical regions, Nigeria has witnessed a continuous inflow of FDI. This research contributes to the assessment of political risk by critically analysing the determinants and indicators to examine how the consequences of political risk impact upon multinational firms, with a view to understanding the managerial practices associated with managing political risk in Nigeria. Six objectives were identified as follows: to investigate the determinants of political risk; to examine their impacts; to investigate the variables and indicators used to forecast political risk; to investigate the consequences of political risk; to explore practices of PRA in multinational firms and to identify strategies used to manage and mitigate political risk in Nigeria. Likewise, four hypotheses underpinning these objectives were formulated to understand the dynamics of the relationship between political risk and multinational firms. This study empirically used a sequential mixed method strategy to analyse statistically as well as using thematic and content analysis data collected through a multi-method approach from 74 multinational firms in Nigeria. The dataset of the International Country Risk Guide (ICRG) PRA annual rating for Nigeria within the period 2011 to 2015 was also analysed. The study identifies eight determinants that contribute to the emergence of political risk. It highlighted factors that influence the consequences of political risk on multinational firms which supports the conceptual premise for identifying reasons why firms manage and mitigate political risk in countries, and why some internationalise into specific countries. Empirically, it showed that the impact of political risk varies from one part of a country to another, as do the consequences of their impacts which inform why multinational firms are located more in some parts of the country, and how the consequences of political risk will differ between firms, depending on their location in a country. These findings have implications for practice and showed that firms could improve their conduct of PRA, influence the type of strategies they adopt and how to explore quantitative PRA methodologies when operating in similar emerging markets. This study also showed that some risk indicators used for forecasting political risk appeared major and did not retain the same value within the country. The case of Nigeria showed that the presence of high political risk does not deter firms if the financial and economic risk is low. It reveals also that the practice of PRA differs within firms and that the strategies used to mitigate political risk mostly involve the conduct of PRA and engagement in Corporate Social Responsibility (CSR).
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Desrosiers, Mary Elizabeth. "Prices of credit default swaps and the term structure of credit risk." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-050107-220449/.
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Pershad, Rinku. "A Bayesian belief network for corporate credit risk assessment." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape4/PQDD_0022/MQ50360.pdf.
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Curti, Filippo. "The Rating Game: an Empirical Assessment." Diss., The University of Arizona, 2014. http://hdl.handle.net/10150/323225.
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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.
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Hellström, Ängerud Linnéa. "Credit Risk Assessment of Real Estate Companies : How does the Credit Assessment of Banks and Bond Investors Differ?" Thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-211143.
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The vast majority of the Swedish real estate companies are to some extent financed by debt and are dependent on external capital when expanding their business. Swedish real estate companies have traditionally financed their business through bank loans, but as a result of – among other things – stricter regulations, an increasing share of the Swedish real estate companies seek funding in the capital market, and corporate bonds in particular have emerged as an alternative to bank loans. In all types of lending, whether it is a bank loan or an investor who buys a bond, the lender must assess the credit risk of the company and / or the bond. This is to ensure the company's repayment ability and that the borrower gets sufficient compensation for the risk undertaken. In this thesis, the credit risk assessment process has been evaluated from two different perspectives to explore if there are any differences in the assessment conducted by banks and bond investors. In this thesis, it appears that the differences between the different parties' assessment are relatively small and that both parties evaluate approximately the same parameters and key performance indicators.De allra flesta fastighetsbolag i Sverige finansierar sig delvis genom externt kapital och är beroende av nya krediter när de vill utöka sin verksamhet. Svenska fastighetsbolag har traditionellt sett finansierat sig via banklån men på grund av bland annat striktare regleringar väljer alltfler fastighetsbolag att söka finansiering på kapitalmarknaden, där framförallt företagsobligationer har växt fram som ett alternativ till bankfinansiering. I alla typer av kreditgivning, oavsett om det handlar om banklån eller en investerare som köper en obligation, måste kreditgivaren göra en kreditriskbedömning av bolaget och/eller obligationen. Detta för att säkerställa bolagets återbetalningsförmåga och att långivaren får tillräcklig kompensation för den risk denne tar. I det här examensarbetet har kreditriskbedömningsprocessen utvärderats från två olika perspektiv för att se om det går att hitta några skillnader i bedömningen utförd av banker respektive obligationsinvesterare. Resultatet tyder på att skillnaderna mellan de olika parternas bedömning inte är särskilt stora utan båda parter utvärderar ungefär samma parametrar och nyckeltal.
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Henley, William Edward. "Statistical aspects of credit scoring." Thesis, Open University, 1994. http://oro.open.ac.uk/57441/.
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This thesis is concerned with statistical aspects of credit scoring, the process of determining how likely an applicant for credit is to default with repayments. In Chapters 1-4 a detailed introduction to credit scoring methodology is presented, including evaluation of previous published work on credit scoring and a review of discrimination and classification techniques. In Chapter 5 we describe different approaches to measuring the absolute and relative performance of credit scoring models. Two significance tests are proposed for comparing the bad rate amongst the accepts (or the error rate) from two classifiers. In Chapter 6 we consider different approaches to reject inference, the procedure of allocating class membership probabilities to the rejects. One reason for needing reject inference is to reduce the sample selection bias that results from using a sample consisting only of accepted applicants to build new scorecards. We show that the characteristic vectors for the rejects do not contain information about the parameters of the observed data likelihood, unless extra information or assumptions are included. Methods of reject inference which incorporate additional information are proposed. In Chapter 7 we make comparisons of a range of different parametric and nonparametric classification techniques for credit scoring: linear regression, logistic regression, projection pursuit regression, Poisson regression, decision trees and decision graphs. We conclude that classifier performance is fairly insensitive to the particular technique adopted. In Chapter 8 we describe the application of the k-NN method to credit scoring. We propose using an adjusted version of the Eucidean distance metric, which is designed to incorporate knowledge of class separation contained in the data. We evaluate properties of the k-NN classifier through empirical studies and make comparisons with existing techniques.
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Sule, Friday Eneojo. "Effects of credit risk and portfolio loan management on profitability of microfinance banks in Lagos, Nigeria." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/97163.
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Thesis (MDF)--Stellenbosch University, 2012.The study was carried out to find out the effect of credit risk and portfolio loan management on profitability of microfinance Banks (MFBs) in Lagos, Nigeria. To achieve the objective of the study, an econometric model was developed. A sample size of 14 microfinance banks was randomly selected, comprising four national, five state and five unit microfinance banks respectively. Five year annual financial statements of these 14 selected microfinance banks were obtained for this analysis using panel data that produce 70 observations for the period 2006 to 2010 The result reveals that the current value of all independent variables follow an expected relationship with the profitability of microfinance banks. That is, the net interest margin, asset mix proxied by ratio of loan to total asset, and ratio of equity to total assets have a positive relationship with the profitability of microfinance banks (MFBs) in Lagos state, Nigeria. Asset quality (ratio of non-performing loan to total loan) and the interest earnings to total assets ratio have a negative relationship with profitability of microfinance banks. However, the result reveals that of the five immediate past value of these independent variables, only net interest margin and interest earnings to total assets ratio maintained expected relationship with the performance (profitability) of microfinance banks. From the hypothesis test, it was found that credit risk management has a significant effect on the profitability of microfinance banks in Lagos state, Nigeria The study is set against the background and realisation that many MFBs in Lagos seem to continue to seek growth and profit without much attention to addressing credit risk issues – a necessity for their survival on a sustainable basis. The results indicated that the credit evaluation process was positively and significantly related to the quality of the loan portfolio in MFBs. The study also found out that internal rather than external to the MFB’s are more likely to provide the main explanation for MFBs’ profitability. To enhance their profitability, loan products which seem to have various defects which make loans even more risky need to be reviewed. The defects include: long loan processing procedures, absence of training to clients on proper utilisation of loans, lack of mechanisms to assess the suitability and viability of the business proposal for which loans were applied, inappropriate mechanism for assessing character for loan applicants, absence of moratorium periods between taking of a loan and repayment of a first instalment as clients were requested to repay their first instalment within the first month. The study recommended that MFBs should have a broad outlook in its credit risk and portfolio management strategy and this calls for radical reforms within the MFB’s operations and policies as well as more aggressive approaches most especially before availing credit and in its loan recovery as it had a direct impact on profitability.
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Hrdová, Edita. "Risk Assessment." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-194193.
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This diploma thesis is focused on companies risk evaluation before endorsement of Loan deriving from business relationships. The aim of this thesis is not only to describe individual steps of risk assessment, but also perfom analysis of particular companies based on available data, i.e. Balance sheet, Profit and Loss statement and external rating and after that propose solution for each company. My analysis will be based on theoretical knowledge, further on experience related to my job role as credit analyst. The aim will be to perform objective analysis of real companies and determine financial health of each of them together with their risk evaluation.
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Isimekhai, Khadijah Ateda. "Environmental risk assessment for an informal e-waste recycling site in Lagos State, Nigeria." Thesis, Middlesex University, 2017. http://eprints.mdx.ac.uk/22233/.
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It has been recognised that the informal E-waste recycling may pose a risk to human health and the environment, this study aims to evaluate the e-waste contamination and the environmental and human health impact of informal e-waste recycling on the exposed population using the risk assessment framework. The distribution of a number of heavy metals in soil from an informal recycling site in the largest market for used and new electronics and electrical equipment in West Africa was investigated. The extent of pollution, potential bioavailability of heavy metals, potential risk due to the recycling activities and impact of external factors such as rainfall were assessed. In recent times, bioaccessibility has emerged as a testing tool used to accurately estimate the risk posed on human health by exposure to environmental contaminants, the oral bioaccessibility and inhalation bioaccessibility was also assessed. The concentrations of all the identified metals in the recycling site were consistently higher than values obtained from the control site, suggesting the impact of the recycling activities on the soil. The order of total metal concentration was Cu > Pb > Zn > Mn > Ni > Sb > Cr > Cd for both the dry and wet season. The total concentration of Cd, Cu, Mn, Ni and Zn where was significantly higher (p≤0.001) in the dry season than in the wet season. The concentrations of Cu (329-7106 mg kg-1), Pb (115-9623 mg kg-1) and Zn (508-8178 mg kg-1) were consistently higher than the international soil guideline values. Using a sequential extraction method, the potential bioavailability of the metals was indicated as Cd > Sb > Zn > Cu > Ni > Pb > Cr, suggesting Cd was the most potentially available. Assessing the risk using the Potential Ecological Risk Index (PERI), Cu was found to contribute the most to the potential ecological risk and Cd the greatest concern due to its high toxic-response factor within the study site and the Risk Assessment Code (RAC) suggested Cd posed the most risk in this site. Furthermore, the oral bioaccessibility test showed that less than 40% of the total concentration of all the identified metals was potentially available for absorption in the gastrointestinal tract. In the inhalation bioaccessiblity, with the exception of Cd, the percentage bioaccessibility of the other metals was less than 35% after 120 hours. The health risk characterization indicated the adverse human health effect through the ingestion pathway and a relative lower probability of risk through the inhalation of pathway. This study established a high level of contamination as a result of the informal recycling activities, underscores the importance of applying speciation and bioaccessibility and bioavailability in risk assessment. Finally, in an attempt to evaluate the risk, the study proposed an integrated risk assessment framework which when tried and tested is aimed to positively influence the risk judgement and ultimately risk management decisions whereby providing valuable insights that would translate to an efficient and sustainable management system at the long run.
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John, Chukwuemeka K., Jaan H. Pu, R. Moruzzi, and M. Pandey. "Health-risk assessment for roof-harvested rainwater via QMRA in Ikorodu area, Lagos, Nigeria." IWA, 2021. http://hdl.handle.net/10454/18451.
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YesThis paper presents a study to assess the roof-harvested rainwater (RHRW) in the Ikorodu area of Lagos state, Nigeria, and recommends guidance to minimise the health risk for its households. The types, design and use of rainwater harvesting systems have been evaluated in the study area to inspect the human risk of exposure to Escherichia coli (E. coli). To achieve these objectives, a detailed survey involving 125 households has been conducted which showed that 25% of them drink RHRW. Quantitative microbial risk assessment (QMRA) analysis has been used to quantify the risk of exposure to harmful E. coli from RHRW utilised as potable water, based on the ingestion of 2 L of rainwater per day per capita. Results have revealed that the maximum E. coli exposure risk from the consumption of RHRW, without application of any household water treatment technique (HHTTs) and with application of alum only, were 100 and 96 respectively, for the estimated number of infection risk per 10,000 exposed households per year. This estimation has been done based on 7% of E. coli as viable and harmful. Conclusively, it is necessary that a form of disinfectant be applied to the RHRW before use.
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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.
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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.
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Bartels, Bernhard [Verfasser]. "Essays on credit rating agencies and the assessment of sovereign risk / Bernhard Bartels." Mainz : Universitätsbibliothek Mainz, 2015. http://d-nb.info/1071065726/34.
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Nkwunonwo, Ugonna Chimnonyerem. "Meeting the challenges of flood risk assessment in developing countries, with particular reference to flood risk management in Lagos, Nigeria." Thesis, University of Portsmouth, 2016. https://researchportal.port.ac.uk/portal/en/theses/meeting-the-challenges-of-flood-risk-assessment-developing-countries-with-particular-reference-to-flood-risk-management-in-lagos-nigeria(74bed67b-cc6b-44e5-b99e-fd5d7277b5cc).html.
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Flooding poses significant threats to many urban areas globally. Realistically, flood risk assessment (FRA) which underlies solutions to these threats is often difficult to accomplish within the context of data poor developing countries (DPDCs), such as Nigeria, Mozambique and Bangladesh, and this highlight key issues, which are crucial for research. Despite the increasing vulnerabilities of people and urban assets, and the weak institutional capacity that prevails, previous research efforts relating to flood risk management (FRM) have failed to address this lingering issue of data paucity. Vulnerabilities of social systems in particular have not been assessed, although few discussions relating to vulnerability largely show that this concept is being considered, but within a limited scope and application. Although the level of awareness of urban flooding in the DPDCs is considerably poor, more scientific procedures, such as flood modelling, is lacking. The present research is motivated by these issues, and therefore provides a possible workaround, using Lagos, Nigeria as a case in point. A critical review of flooding and current efforts to address flood risk in Lagos was undertaken. This is crucial to identify key objectives that will need to address present urban flooding challenges, and close the gaps in knowledge of FRM, between increasing urban flood risk and the means of protecting human lives and urban assets, to achieve a major sustainable urban development goal. Using the general view of vulnerability, proposed by Adger (2006) and IPCC (2007) in which vulnerability is defined on the basis of exposure, susceptibility and lack of coping capacity, social vulnerability to urban flooding in the area was evaluated. Indices of social vulnerability (SocVI) were constructed for the sixteen Local Government Areas (LGAs) that make up the Lagos city. A new flood model, GFSP-1 (Geoinformation Flood Simulation Program 1), was developed by combining two conceptual parts – Cellular Automata (CA) and Semi-Implicit Finite Difference Scheme (SIFDS). The new model was tested and validated in Portsmouth, United Kingdom, using a severe flooding event that occurred on September 15th 2000. This event was chosen since map of hotspots of surface water flooding and social media-based information, especially photographic images of the event, were available to enable a rigorous validation of the new model. Simulation of various spatial and temporal scenarios for the July 11th 2011 flooding in Lagos was also carried out. In both of the test cases, the new model required only a 2-m horizontal resolution airborne LiDAR DEM, Manning's friction coefficient, and a rainfall intensity value to simulate urban flood hydrodynamics. The results emerging from the research are as follows. Firstly, the SocVI construct indicates a high level of social vulnerability to urban flooding in Alimosho, Kosofe and Agege LGAs in Lagos metropolis. Secondly, in relation to the new flood model, the results show that GFSP-1 simulated flooding at locations similar to those depicted by the map of hotspots of surface water flooding in Portsmouth, and identified during the reconnaissance survey in Lagos. Simulated maximum flood water depths from ten sampled locations in Portsmouth and six in Lagos compared well with estimated maximum flood water depths. The Pearson correlation coefficient (r) between model predictions and estimated values is 0.986 for Portsmouth, and 0.968 for Lagos. This indicates optimal performance for the new model in terms of reconstructing the characteristics of urban flooding. Additionally, the plots of water depth vs. time which produce a smooth curve throughout the simulation, and the short time spent in the simulation show that the model's outputs are unconditionally stable, and inexpensive from a computational point of view. These are major issues of considerations in flood modelling research. The challenges of flooding in the DPDCs will continue unabated unless significant improvements are made on current flood risk policy and management efforts. This will necessitate evolving new measures, by which the urgent needs to protect human lives and economic infrastructure in the DPDCs outweigh considerations for uncertainty and standardisation in FRM. These new measures will consider the critical understanding of the dynamics of urban flooding, and the factors that influence social vulnerability to the hazard in the DPDCs. While such understanding is underpinned by provision of data and mapping of urban flood hazard and risk, considering climate change scenarios, how to maximise the potentials within presently available datasets in the DPDCs should be explored as a major research opportunity. The present research explores this opportunity, and, through its objectives and findings, provides flood hazard underpinnings, as well as makes significant contributions to knowledge in the area of ameliorating the impacts of urban flooding in Lagos in particular, and data poor urban centers in general. It is fundamental to innovative FRM policy and practice within these areas, as well as existing strengthening existing flood risk adaptation efforts.
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Ahlberg, Heléne, and Linn Andersson. "How do Banks Manage the Credit Assessment to Small Businesses and What Is the Effect of Basel III? : An implementation of smaller and larger banks in Sweden." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18257.
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Background: Small businesses are considered as a valuable source for the society and the economic growth and bank loan is the main source of finance for them. Small businesses are commonly seen as riskier than larger businesses it is thus noteworthy to examine banks’ credit assessment for small businesses. The implementation of the Basel III Accord will start in 2013 with the aim to generate further protection of financial stability and promote sustainable economic growth, and the main idea underlying Basel III is to increase the capital basis of banks. Purpose: The purpose of this study is to describe how larger and smaller banks in Sweden are managing credit assessment of small businesses, and if this process differs according to the size of the bank. The authors further want to investigate how expectations of new capital regulations, in form of Basel III, affect the credit assessment and if it is affecting the ability of small businesses to receive loans. Method: In order to meet the purpose of the thesis a mixed model approach is used. The authors conducted semi-structured interviews with representatives from three smaller and three larger banks. Additional, statistics were computed in order to examine the economic state of the Swedish market, where also an archival research with 10 allocated banks operating with corporate services was executed. Conclusions: The banks have a well-developed credit process where building a mutual trust relationship with the customer is crucial. If the lender has a good relationship with the customer, it will ease the collection of credible information and thus enhance the process of making right decision. The research examined minor differences between smaller and larger banks in their credit assessment. Currently, the banks do not see any problems with adjusting to the new regulation and thus do not see specific effects for small businesses and their ability to receive loans. The effects that can be identified by the expectations of Basel III are the banks’ concern of charging the right price for the right risk and the demand of holding more capital when lending to businesses. The banks have come a long way on the adjustment to Basel III, which has pros and cons, thus it implies that banks are already charging customers for the effect of the regulations that will not be 100 percent implemented until 2019. The difference that was identified between larger and smaller banks is that larger banks seem to have more established strategies when working on the implementation of Basel III.
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Jaff, Kani, and Josef Oguz. "Kreditgivning till företag : En jämförelse mellan två svenska storbankers kreditbedömning för små och medelstora företag." Thesis, Högskolan i Skövde, Institutionen för handel och företagande, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-11305.
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Bakgrund: Kreditvärdighet är ett ämnesområde för bankerna att bedöma om en kund är kreditvärdig. Bankerna använder sig av olika bedömningsfaktorer för att bedöma huruvida företaget är en lämplig låntagare. Detta görs för att man skall få en uppfattande bild av företaget. Problemfråga: Hur går bankers kreditbedömning av små och medelstora företag till? Syfte: Syftet är att studera om bankerna skiljer sig åt vad det gäller kreditbedömningen för små och medelstora företag samt på vilket sätt de granskar informationen som de får av företagen. Metod: Syftet kommer att besvaras med en empirisk undersökning som grundar sig på teorin förtroende och principal-agentteorin. Vi har kompletterat teorierna med tidigare studier, vetenskapliga artiklar, litteraturer, årsredovisningar och intervjuer. Slutsats: Slutsatsen är att det inte finns några markanta skillnader i den här studien, därför att samtliga banker gör en allsidig bedömning av företaget för att bedöma kreditvärdigheten, genom att de tar hänsyn till både finansiella och icke-finansiella faktorer. En liten avvikelse som vi dock fann är att Handelsbanken betonar tron på verksamheten mer i jämförelse med Nordea, detta har göra med att frihet ges till Handelsbanken vid beviljande av krediten då banken är väldigt decentraliserad.Background: Creditworthiness is a subject for banks to assess whether a customer is creditworthy or not. The banks use different assessment factors in order to assess whether the company is a suitable borrowers. This is done in order to get a perception picture of the companies. Problem issue: How does banks credit evaluate to small and medium-sized enterprises? Purpose: The purpose is to study whether the banks proves to be different in terms of credit assessment for small and medium-sized enterprises and in what way they review the information they receive from companies Method: The purpose will be answered by an empirical study based on the theory of trust and principal-agent theory. We have complemented the theories with previous studies, scientific articles, literatures, annual reports and interviews. Conclusion: The conclusion is that there are no significant differences in this study because all banks make a comprehensive assessment of the company to assess creditworthiness, by taking into account both financial and non-financial factors. A small difference we found is that Handelsbanken underlines belief the business more in comparison with Nordea, this has to do with the liberty given to Handelsbanken in the granting of credit which the banks are highly decentralized.
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Aguilar, Diana, Tetyana Semenyuk, and Alina Turesson. "Minimering av risker vid kreditgivning." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9958.
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Nedgångar i världsekonomin med påföljande likviditetsproblem hos företag har medfört negativa konsekvenser för banker, vilket skapade behov av effektiv kreditriskhantering. För att förhindra stora kreditförluster försöker banker ständigt minimera sina risker vid kreditgivning genom att identifiera fallgropar.
Syftet är att undersöka vilka faktorer som bidrar till kreditförluster och belysa hur Nordea kan minimera risker vid kreditgivning utifrån dessa faktorer.
Datainsamling skedde via granskning av litteratur och en fallstudie. Studieobjektet var affärsbanken Nordea där det genomfördes flera intervjuer med kreditansvariga på en regional nivå. För att ta reda på utvecklingen av kreditvolym inom Sverige sammanställdes data utifrån kreditgivningsstatistik från Nordea Hypotek AB.
Enligt teorin är kreditförluster beroende av direkta och indirekta faktorer. Medan de direkta faktorerna kan påverkas av en kreditanalytiker ligger de indirekta faktorer utanför dennes inflytande. Det kan konstateras att Nordea har lyckats minimera kreditrisker i avsevärd grad med reservation för vissa förbättringar och att de faktorer som förorsakar förluster har banken klarat av att hålla under kontroll.
Bankens grundläggande strategi i riskhanteringen är att använda sig av förnuftig kreditgivning. Samtliga respondenter har betonat vikten av att göra grundliga utredningar vid nya kreditansökningar samt frekventa uppföljningar vid en föraning på betalsvårigheter hos befintliga kredittagare. Genom dessa rutiner kan banken fånga upp problematiska affärstransaktioner och förebygga uppkomsten av kreditförluster.
Turbulence in the world economy with following liquidity problem in enterprises has lead to negative consequences for banks that creates a need for effective credit risk management. To prevent significant credit losses, banks tries constantly to minimize their risks in credit granting through identifying pitfalls.
The purpose is to investigate the factors that contribute to the credit losses and illustrate how Nordea can minimize risks in credit granting.
Data were gathered from the literature review and a case study. The object of study is the Swedish Business Bank Nordea where several credit managers has been interviewed at the regional level. To obtain a volume of credit development in Sweden, gathered the credit granting statistics of the source of Nordea Hypotek AB.
According to the theory credit losses are depending on direct and indirect factors. While direct factors can be affected by a credit analyst, indirect factors are outside of his influence. It can be stated that Nordea has been succeed in minimizing of risks at the considerable degree, with reservation for some improvements, and that some factors that cause losses the bank manage to keep under control.
Bank´s fundamental strategy in risk management is to use reasonable credit granting. All of respondents have stressed the importance of thorough inquiry on new credit application and frequent following up suspicions of payment difficulties with existing borrowers. Through these routines can bank capture problematic business transactions and prevent appearance of credit losses.
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Aerni, Matthias. "Public disclosure of market and credit risks : risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks /." [S.l.] : [s.n.], 1999. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008789196&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Crede, Andreas. "Technological change and the information society : an examination of credit risk assessment and cash handling procedures in commercial banks." Thesis, University of Sussex, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.360581.
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Aroge, Olatunde O. "Assessment Of Disruption Risk In Supply Chain The Case Of Nigeria’s Oil Industry." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/17396.
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evaluate disruption risks in the supply chain of petroleum production. This methodology is developed to formalise and facilitate the systematic integration and implementation of various models; such as analytical hierarchy process (AHP) and partial least squares structural equation model (PLS-SEM) and various statistical tests. The methodology is validated with the case of Nigeria’s oil industry.
The study revealed the need to provide a responsive approach to managing the influence of geopolitical risk factors affecting supply chain in the petroleum production industry. However, the exploration and production risk, and geopolitical risk were identified as concomitant risk factors that impact performance in Nigeria’s oil industry. The research findings show that behavioural-based mechanisms successfully predict the ability of the petroleum industry to manage supply chain risks. The significant implication for this study is that the current theoretical debate on the supply chain risk management creates the understanding of agency theory as a governing mechanism for supply chain risk in the Nigerian oil industry. The systematic approach results provide an insight and objective information for decisions-making in resolving disruption risk to the petroleum supply chain in Nigeria. Furthermore, this study highlights to stakeholders on how to develop supply chain risk management strategies for mitigating and building resilience in the supply chain in the Nigerian oil industry.
The developed systematic method is associated with supply chain risk management and performance measure. The approach facilitates an effective way for the stakeholders to plan according to their risk mitigation strategies. This will consistently help the stakeholders to evaluate supply chain risk and respond to disruptions in supply chain. This capability will allow for efficient management of supply chain and provide the organization with quicker response to customer needs, continuity of supply, lower costs of operations and improve return on investment in the Nigeria oil industry. Therefore, the methodology applied provide a new way for implementing good practice for managing disruption risk in supply chain. Further, the systematic approach provides a simplistic modelling process for disruption risk evaluation for researchers and oil industry professionals. This approach would develop a holistic procedure for monitoring and controlling disruption risk in supply chains practices in Nigeria.
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Ochuko, Rita E. "E-banking operational risk assessment. A soft computing approach in the context of the Nigerian banking industry." Thesis, University of Bradford, 2012. http://hdl.handle.net/10454/5733.
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This study investigates E-banking Operational Risk Assessment (ORA) to enable the development of a new ORA framework and methodology. The general view is that E-banking systems have modified some of the traditional banking risks, particularly Operational Risk (OR) as suggested by the Basel Committee on Banking Supervision in 2003. In addition, recent E-banking financial losses together with risk management principles and standards raise the need for an effective ORA methodology and framework in the context of E-banking. Moreover, evaluation tools and / or methods for ORA are highly subjective, are still in their infant stages, and have not yet reached a consensus. Therefore, it is essential to develop valid and reliable methods for effective ORA and evaluations.
The main contribution of this thesis is to apply Fuzzy Inference System (FIS) and Tree Augmented Naïve Bayes (TAN) classifier as standard tools for identifying OR, and measuring OR exposure level. In addition, a new ORA methodology is proposed which consists of four major steps: a risk model, assessment approach, analysis approach and a risk assessment process. Further, a new ORA framework and measurement metrics are proposed with six factors: frequency of triggering event, effectiveness of avoidance barriers, frequency of undesirable operational state, effectiveness of recovery barriers before the risk outcome, approximate cost for Undesirable Operational State (UOS) occurrence, and severity of the risk outcome.
The study results were reported based on surveys conducted with Nigerian senior banking officers and banking customers. The study revealed that the framework and assessment tools gave good predictions for risk learning and inference in such systems. Thus, results obtained can be considered promising and useful for both E-banking system adopters and future researchers in this area.
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Ochuko, Rita Erhovwo. "E-banking operational risk assessment : a soft computing approach in the context of the Nigerian banking industry." Thesis, University of Bradford, 2012. http://hdl.handle.net/10454/5733.
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This study investigates E-banking Operational Risk Assessment (ORA) to enable the development of a new ORA framework and methodology. The general view is that E-banking systems have modified some of the traditional banking risks, particularly Operational Risk (OR) as suggested by the Basel Committee on Banking Supervision in 2003. In addition, recent E-banking financial losses together with risk management principles and standards raise the need for an effective ORA methodology and framework in the context of E-banking. Moreover, evaluation tools and / or methods for ORA are highly subjective, are still in their infant stages, and have not yet reached a consensus. Therefore, it is essential to develop valid and reliable methods for effective ORA and evaluations. The main contribution of this thesis is to apply Fuzzy Inference System (FIS) and Tree Augmented Naïve Bayes (TAN) classifier as standard tools for identifying OR, and measuring OR exposure level. In addition, a new ORA methodology is proposed which consists of four major steps: a risk model, assessment approach, analysis approach and a risk assessment process. Further, a new ORA framework and measurement metrics are proposed with six factors: frequency of triggering event, effectiveness of avoidance barriers, frequency of undesirable operational state, effectiveness of recovery barriers before the risk outcome, approximate cost for Undesirable Operational State (UOS) occurrence, and severity of the risk outcome. The study results were reported based on surveys conducted with Nigerian senior banking officers and banking customers. The study revealed that the framework and assessment tools gave good predictions for risk learning and inference in such systems. Thus, results obtained can be considered promising and useful for both E-banking system adopters and future researchers in this area.
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Liao, Kevin, and Sophie Falk. "Den frivilliga revisionens påverkan på bankernas kreditbedömning." Thesis, Högskolan i Skövde, Institutionen för handel och företagande, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-18622.
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Bakgrund: Den 1 november 2010 avskaffades revisionsplikten för små företag i Sverige, vilket innebar att små företag får välja om de vill ha en revisor eller inte. Ett av motiven bakom lagändringen var att småföretagens tillväxt skulle öka. För att öka tillväxten krävs finansiering. Småföretagens främsta finansieringskällor är eget kapital och löpande intäkter. Detta räcker emellertid inte utan företagen behöver ofta komplettera med externfinansiering, i form av banklån. Trots vikten av externt kapital har små företag svårare än stora företag att finansiera tillväxten med banklån. En av anledningarna till detta är att den finansiella informationen som bankerna samlar in är bristfällig. För att informationens trovärdighet ska öka önskar därför bankerna att den finansiella informationen är granskad av en revisor. Syfte: Syftet med studien är att förklara hur bankerna upplever att kreditbedömningen av små företag har påverkats av frivillig revision. Således syftar studien till att öka förståelsen för hur kreditbedömningen går till samt vilken roll revisorn har i denna. Metod: Studien har baserats på den kvalitativa metoden där sex stycken intervjuer har genomförts. Fem av dessa har varit telefonintervjuer medan en har varit en personlig intervju på informantens arbetsplats. Alla informanter arbetar inom banksektorn och var tillgängliga inom Skaraborgsområdet, därmed har både ett strategiskt- och bekvämlighetsurval gjorts. Resultat och slutsats: Studien visar på att revisionen har en viss roll vid kreditbedömningen genom sin granskningsfunktion. Däremot kan inte studiens resultat påvisa att bankerna i Skaraborg har upplevt att den frivilliga revisionen har haft en avgörande påverkan på kreditbedömning.Background: On 1 November 2010 the statutory audit for small firms in Sweden was abolished, which meant that small firms were allowed to choose whether or not to havean auditor. One of the motives behind the change in the law was that the growth of small firms would increase. In order to increase growth, financing is required. The main source of financing for small firms are equity and current income. However, this is not enough,and small firms often need to supplement with external financing, in the form of bankloans. Despite the importance of external capital, small firms find it more difficult than large firms to finance economic growth with bank loans. One of the reasons for this is that the financial information collected by banks is inadequate. Therefore, in order to increase the credibility of the information, the banks wish that the financial information is audited by an auditor. Purpose: The purpose of the study is to explain how the banks feel that the credit assessment of small firms has been affected by the voluntary auditing. Thus, the aim of the study is to increase the understanding of how the credit assessment is carried out and what role the auditor has in it. Methods: The study has been based on the qualitative method where six interviews have been conducted. Five of these have been telephone interviews while one has been a personal interview at the informant’s workplace. All the informants work in the banking sector and were available in the Skaraborg area, thus both a strategic and convenience selection has been. Results and conclusion: The study shows that the audit has a certain role in the credit assessment through its function. However, the results of the study cannot show that the banks in Skaraborg have experienced that the voluntary audit has had a decisive impact on credit assessment.
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Edvardsson, Emma, and Jenny Martinsson. "Ta en risk! Friskt vågat är hälften vunnet, inte sant? : En kvalitativ studie av svenska bankers riskstrategier och riskbedömning av privatpersoners konsumtionslån utan säkerhet." Thesis, Högskolan Väst, Avd för företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-15380.
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I dagens samhälle sporras konsumenter till att konsumera mer och mer. En anledning till att konsumenter idag konsumerar mer än tidigare är att pengar idag är mer lättillgängliga än de tidigare varit. Det har lett till att fler tar konsumtionslån, vilket är en riskfylld affär för de banker som bistår konsumenter med lån. Bankerna utsätts för en kreditrisk i samband med att de beviljat ett lån utan säkerhet. Författarna till den här studien har ett stort intresse inom ekonomi och konsumtion och således upptäcktes även intresset för riskerna som bankerna står inför i de här sammanhangen. Studiens författare uppmärksammade att det fanns en ytterst begränsad mängd tidigare forskning inom ämnet och önskade därmed att fylla den identifierade kunskapsluckan. Studien syftade att besvara vilka faktorer svenska banker beaktar vid en kreditbedömning och hur en sådan utförs för konsumtionslån. Utöver det syftade studien även att besvara hur bankerna bedömt de risker de utsätts för i samband med konsumtionslån, hur riskerna påverkade bankernas riskstrategier samt hur bankerna beaktade konsumenternas beteende i riskbedömningarna. Studien utfördes med en kvalitativ metod. Teori samlades in och bearbetades från 18 vetenskapligt granskade artiklar. Sju semistrukturerade intervjuer med sju olika svenska banker utfördes. Intervjupersonerna valdes ut baserat på den kunskap och erfarenhet de besatt inom kredit och riskbedömning. Således hade de intervjuade roller i form av kreditchefer, kontorschefer, kreditspecialister och senior credit riskmanager. De intervjuade bankerna valdes ut i vetskap om att de representerar olika delar av marknaden, vilket skapade en större variation och bredd i det insamlade datamaterialet. Således intervjuades storbanker, medelstora banker och nischbanker. Av studien har det framkommit att de främsta faktorerna bankerna tog hänsyn till vid en kreditbedömning, var kundens inkomst och återbetalningsförmåga. I studien visade det sig även att bankerna identifierade kundens vilja och förmåga att återbetala ett lån, som de största riskerna som bankerna möts av. Bankerna tog även hänsyn till kunders beteende, dock i olika utsträckning, vid riskbedömningarna. Bankerna tillämpade olika typer av riskklassificeringsmodeller som riskbedömningen och räntenivån baserades på. Det skilde sig mellan bankerna i huruvida de såg konsumtionslån som lönsamma. Dock ansåg de flesta bankerna att konsumtionslån inte var den mest lönsamma låneprodukten.In today's society consumers are regularly encouraged to consume more and more. One reason that people today consume more than people used to are that money nowadays are more easily accessible than they were before. This has led to more people applying for unsecured smaller loans, which is a risky business for banks that grants these kinds of loans. The banks put themselves in risk of consumers not being able to pay them back when they grant unsecured loans. This papers authors have an interest in both economy and consumption and therefor also discovered an interest in the risks that banks put themselves in when granting unsecured loans. The authors discovered that there was a limited amount of earlier research available on the subject. An aim for this paper therefore was to identify which factors the banks consider when assessing a credit loan application and how the bank make the assessments. Furthermore, this paper aims to identify the risks that the banks put themselves in when granting this kind of loan, how the risks affect the banks risk strategies and how the banks take in consideration consumers behaviour when the banks make their risk assessments. This paper was conducted by a qualitative method. Theory was assembled from 18 peer reviewed articles. Seven semi structured interviews where held with representatives from seven different Swedish banks. The persons being interviewed where chosen based on the knowledge and experience they possessed in credit and risk assessment. Therefore, the people that were asked to take part in the interviews worked as credit managers, office managers and credit risk managers. The banks that contributed with an interview where chosen with knowledge that they would represent different parts of the market, wishing to create a bigger variation and a depth in the data material. The interviewed persons represented bigger banks, medium sized banks and nichebanks. In the empiricism the study shows that the main factors that banks consider when they assess these kinds of loans are the customers income and assessed ability to repay the loans. The banks identified both the customers' ability and their will to repay the loan, as the biggest risk they faced. They also considered how customers behave. The study shows that banks applied different kinds of risk scoring models that they based the risk assessment and interest rate on. From the study it shows that banks differ in their view on whether these types of loans are profitable, although most of the banks did not consider them to be profitable
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Lemaitre, Rosenholm Alexander. "Kreditbedömning av fastighetsbolag generellt och samhällsfastigheter mer specifikt." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-298368.
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Samhällsfastigheter har seglat upp som ett av de mest attraktiva segmenten i fastighetsbranschen under desenaste åren. Att många fastighetsrådgivare som Newsec och Svefa tror att detta bara är början på entrend med allt större transaktionsvolymer gör det vidare intressant att analysera detta närmare. Den ökade skuldsättningen för fastighetsbolag rent generellt medför en tilltagande kreditrisk och innebärsamtidigt ett ökat tryck på att denna typ av bolag vårdar sin skuld. Detta för att kunna belönas med lägreupplåningskostnader och lägga grunden för en ökad finansiell stabilitet. Kreditvärdering är en viktigdimension i denna process, och att få en hög kreditrating är en central del och rekommenderas numera iallt större utsträckning. Begreppet samhällsfastigheter behandlas frekvent i media men det finns en otydlighet och okunskap kringvad begreppet står för. Samhällsfastigheter innefattar bland annat en länk till offentlig sektor, lågvakansgrad, stabila kassaflöden och stabila hyresgäster övertid. I sin tur kan oklarhet kring begreppet ledatill osäkerhet kring graden av stabilitet och trygghet som ett fastighetsbestånd avspeglar eller bör avspegla. Ambitionen med uppsatsen är därför att genom en deskriptiv redogörelse bidra med ökad kunskap försegmentet samt hur kreditvärderingen av samhällsfastigheter skiljer sig från ett mer klassisktfastighetsbestånd. Uppsatsen är baserad på intervjuer med aktörer verksamma på den svenskakreditbedömnings marknaden som kan lyfta olika perspektiv av processen kring kreditvärdering avfastigheter generellt och samhällsfastigheter mer specifikt. Resultatet av uppsatsen sammanfattas i arbetets slutsats där frågeställningarna arbetet grundar sig ibesvaras. De frågeställningar som besvaras är följande: Vilka faktorer är centrala vid kreditbedömning avett fastighetsbolag respektive samhällsfastighetsbolag? Vilka faktorer skiljer sig i kreditbedömning avsamhällsfastigheter från andra typer av fastighetsinvesteringar?Commercial properties have emerged as one of the most attractive segments in the real estate industry inrecent years. The fact that many real estate advisers such as Newsec and Svefa believe that this is only thebeginning of a trend with increasing transaction volumes makes it interesting to analyze this segmentmore thoroughly. The increased indebtedness for real estate companies, in general, entails increasing credit risk and at thesame time leads to increased pressure on this type of company to take care of its debt. This is to beableto be rewarded with lower financial costs and lay the foundation for increased financial stability. Creditrating is an important dimension in this process and getting a credit rating can be a central factor as statedin the thesis and is now increasingly recommended. The concept of community properties is frequently covered in the media, but there is sometimes a lack ofclarity and ignorance about the concept of what it stands for. These include, among other things,a link to the public sector, low vacancy rates, stable cash flows, and stable tenants over time. In turn, thisambiguity around the concept can lead to uncertainty about the degree of stability and security that aproperty portfolio reflects or should reflect. The ambition of the thesis is therefore to contribute through a descriptive statement with increasedknowledge for the segment and how the credit rating of community properties differs from a more classicproperty portfolio. The thesis is based on interviews with different types of actors active in the Swedishcredit assessment market that can highlight different perspectives on the process around credit valuationof properties in general and community properties more specifically. The result is summarized in the work's conclusion where the questions the work is based on areanswered. The questions that are answered are the following: What factors are central in the creditassessment of a real estate company and a public real estate company, respectively? What factors differ inthe credit rating of public properties from other types of real estate investments?
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CHEN, JINGRU. "Selection of Optimal Threshold and Near-Optimal Interval Using Profit Function and ROC Curve: A Risk Management Application." Diss., Temple University Libraries, 2011. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/108514.
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StatisticsPh.D.
The ongoing financial crisis has had major adverse impact on the credit market. As the financial crisis progresses, the skyrocketing unemployment rate puts more and more customers in such a position that they cannot pay back their credit debts. The deteriorating economic environment and growing pressures for revenue generation have led creditors to re-assess their existing portfolios. The credit re-assessment is to accurately estimate customers' behavior and distill information for credit decisions that differentiate bad customers from good customers. Lending institutions often need a specific rule for defining an optimal cut-off value to maximize revenue and minimize risk. In this dissertation research, I consider a problem in the broad area of credit risk management: the selection of critical thresholds, which comprises of the "optimal cut-off point" and an interval containing cut-off points near the optimal cut-off point (a "near-optimal interval"). These critical thresholds can be used in practice to adjust credit lines, to close accounts involuntarily, to re-price, etc. Better credit re-assessment practices are essential for banks to prevent loan loss in the future and restore the flow of credit to entrepreneurs and individuals. The Profit Function is introduced to estimate the optimal cut-off and the near-optimal interval, which are used to manage the credit risk in the financial industry. The credit scores of the good population and bad population are assumed from two distributions, with the same or different dispersion parameters. In a homoscedastic Normal-Normal model, a closed-form solution of optimal cut-off and some properties of optimal cut-off are provided for three possible shapes of the Profit Functions. The same methodology can be generalized to other distributions in the exponential family, including the heteroscedastic Normal-Normal Profit Function and the Gamma-Gamma Profit Function. It is shown that a Profit Function is a comprehensive tool in the selection of critical thresholds, and its solution can be found using easily implemented computing algorithms. The estimation of near-optimal interval is developed in three possible shapes of the bi-distributional Profit Function. The optimal cut-off has a closed-form formula, and the estimation results of near-optimal intervals can be simplified to this closed-form formula when the tolerance level is zero. Two nonparametric methods are introduced to estimate critical thresholds if the latent risk score is not from some known distribution. One method uses the Kernel density estimation method to derive a tabulated table, which is used to estimate the values of critical thresholds. A ROC Graphical method is also developed to estimate critical thresholds. In the theoretical portion of the dissertation, we use Taylor Series and the Delta method to develop the asymptotic distribution of the non-constrained optimal cut-off. We also use the Kernel density estimator to derive the asymptotic variance of the Profit function.
Temple University--Theses
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Ara??jo, Eudes Martins de. "Modelo ajustado de credit scoring para an??lise de risco de companhias no segmento de m??dio porte no Brasil." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2015. http://132.0.0.61:8080/tede/handle/tede/389.
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Previous issue date: 2015-03-31The objective of this work is to verify if the credit rating model proposed by Brito and Assaf Neto (2008) designed for publicly held companies may also be applied to privately held companies in Brazil. In this work, 60 companies were used, being 30 of them in bankruptcy or insolvency processes in the period from 1994 to 2004, herein referred to as insolvent companies, and 30 of them with normal economic and financial situation referred here as solvent companies. In the present study, 60 companies were used; 30 of them presenting financial restrictions during the year of 2013 and 30 having a normal economic and financial situation. The model proposed by Brito and Assaf Neto (2008) used a logistic regression with 25 economic and financial indicators to see if they were able to separate solvent companies from non-solvent companies. Out of the 25 indicators used for this study, only 4 of them were statistically significant, namely: (I) retained profits on assets, (ii) financial debt, (III) net working capital and (IV) cash balance on sales. This four-variable model obtained a 90% accuracy in the correct classification of solvent and insolvent companies. However, the logistic regression model estimated based on the data from private companies showed different results from the one estimated by Brito and Assaf Neto (2008).In this case, only two variables showed to be statistically significant: (I) equity on assets and (II) cash balance on sales. This adjusted model reached a 57% accuracy in correctly classifying the companies. In short, the results presented here showed that it was not possible to estimate the adjusted credit-scoring model with a good accuracy for privately held companies in Brazil this based on extracted data from their financial statements.
O objetivo neste trabalho ?? verificar se o modelo de classifica????o de risco de cr??dito proposto por Brito e Assaf Neto (2008) desenvolvido para companhias de capital aberto tamb??m pode ser aplicado as companhias de capital fechado no Brasil. Nele foram utilizadas 60 companhias, sendo 30 com processos de concordata ou fal??ncia no per??odo de 1994 a 2004 denominadas insolventes e 30 com situa????o econ??mico-financeira normal denominadas solventes. No estudo aqui desenvolvido, tamb??m foram utilizadas 60 companhias; 30 apresentando restritivos financeiros durante o ano de 2013 e 30 com situa????o econ??mico-financeira normal. O modelo proposto por Brito e Assaf Neto (2008) utilizou uma regress??o log??stica com 25 indicadores econ??mico-financeiros para verificar se eles eram capazes de separar companhias solventes de companhias insolventes. Dos 25 indicadores utilizados, apenas 4 deles apresentaram signific??ncia estat??stica, sendo eles: (I) lucros retidos sobre ativo, (II) endividamento financeiro, (III) capital de giro l??quido e (IV) saldo de tesouraria sobre vendas. Esse modelo com quatro vari??veis obteve uma acur??cia de 90% nas classifica????es corretas das companhias abertas solventes e insolventes. No entanto, o modelo de regress??o log??stica estimado com base nos dados das companhias de capital fechado mostrou resultados distintos daquele estimado por Brito e Assaf Neto (2008). Nesse caso, apenas duas vari??veis se mostraram estatisticamente significantes: (I) patrim??nio l??quido sobre ativo e (II) saldo de tesouraria sobre vendas. Esse modelo ajustado obteve uma acur??cia de apenas 57% nas classifica????es corretas das companhias. Em suma os resultados aqui relatados mostraram que n??o foi poss??vel estimar um modelo ajustado de credit scoring com boa acur??cia para companhias de capital fechado no Brasil com base em dados extra??dos de suas demonstra????es financeiras.
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Sousa, Filho Joaquim C??ndido de. "Um estudo do processo de an??lise e concess??o de cr??dito realizado por empresas n??o financeiras." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2005. http://132.0.0.61:8080/tede/handle/tede/342.
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Previous issue date: 2005-12-19This thesis has, as its main purpose, to study the analysis and extension of credit process for legal entities of any size, made by non-financial companies, involving only medium and large industrial companies, and, at the same time, distributors of its own products. It is an exploratory research, involving one hundred and twenty-nine companies of eight segments: food; beverage; audio, video, and home appliances; cleaning products; paper; stationery shop; toiletries; and domestic utilities. The main topics were: feeling, technique, and confidence participation in the process of analysis and extension of credit; the position within the company which defines the credit policy; the importance degree attributed by the credit gestor to several aspects; the main variables with regard to the company and the partners thereof, used by the credit gestor in the analysis and extension of credit process; the importance degree attributed thereof; the variables which, severally, can hinder the extension of credit; the variables less important with regard to the company and the partners thereof, in the analysis and extension of credit process; the impact of the computer utilization (hardware and software) in the analysis and extension of credit process, and the main difficulties undergone by the credit gestor in such process. The statistical analysis of data revealed a great uniformity in the analysis and extension of credit process among the re searched companies. Although the use this technique is preponderant in the analysis and extension of credit process, feeling and confidence are still liable for a material part of such process. Other relevant conclusion was that the intensive usage by the credit gestor of some variables in the analysis and extension of credit process does not necessarily implicate in the attribution of a correspondent level of important to these variables. Finally, the research performed investigated the greatest difficulties undergone by the credit gestors, identifying that the difficulties are the same, regardless of the companies segment. Such difficulties involve, basically, the credit area and the commercial area of the companies, showing clearly the necessity of a deep work to eliminate or minimize such difficulties.
Esta disserta????o tem como objetivo principal o estudo do processo de an??lise e concess??o de cr??dito para pessoas jur??dicas de qualquer porte, realizado por empresas n??o financeiras, envolvendo somente m??dias e grandes empresas industriais e ao mesmo tempo, distribuidoras de seus pr??prios produtos. Trata-se de uma pesquisa explorat??ria, envolvendo cento e vinte e nove empresas de oito segmentos: alimentos, bebidas, eletroeletr??nico,produtos de limpeza, papel, papelaria, toucador e utilidades dom??sticas. Os principais t??picos abordados foram: a participa????o do feeling, da t??cnica e da confian??a no processo de an??lise e concess??o de cr??dito; o cargo dentro da empresa que define a pol??tica de cr??dito; o grau de import??ncia atribu??do pelo gestor de cr??dito a diversos aspectos; as principais vari??veis em rela????o ?? empresa e aos s??cios da mesma, utilizadas pelo gestor de cr??dito no processo de an??lise e concess??o de cr??dito; o grau de import??ncia atribu??do ??s mesmas; as vari??veis que isoladamente podem impedir a concess??o de cr??dito; as vari??veis menos importantes em rela????o ?? empresa e aos s??cios da mesma, no processo de an??lise e concess??o de cr??dito; o impacto da utiliza????o do computador (hardware e software) no processo de an??lise e concess??o de cr??dito e as principais dificuldades encontradas pelo gestor de cr??dito neste processo. A an??lise estat??stica de dados revelou grande uniformidade no processo de an??lise e concess??o de cr??dito entre as empresas pesquisadas. Embora a utiliza????o da t??cnica seja preponderante no processo de an??lise e concess??o de cr??dito, o feeling e a confian??a, ainda respondem por uma parcela significativa deste processo. Outra conclus??o relevante foi que o fato do gestor de cr??dito utilizar intensamente algumas vari??veis no processo de an??lise e concess??o de cr??dito, n??o implica necessariamente a atribui????o de correspondente n??vel de import??ncia a estas vari??veis. Finalizando, a pesquisa realizada abordou as maiores dificuldades encontradas pelos gestores de cr??dito, sendo identificado que as dificuldades s??o as mesmas, independentemente do segmento das empresas. Estas dificuldades envolvem, basicamente, a ??rea de cr??dito e a ??rea comercial das pr??prias empresas, demonstrando, claramente, a necessidade da realiza????o de um profundo trabalho objetivando eliminar ou minimizar estas dificuldades.
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Hargedal, Axel, and Emil Danmo. "Bedömning av kommersiella fastighetskrediter : En studie om förhållandet mellan kreditgivarens bedömning avkassaflöde och värderingsflöde." Thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-215940.
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Med en kvalitativ metod genom intervjuer har denna studie undersökt kreditgivares bedömningsprocess för kommersiella fastighetskrediter. Ett område av intresse att studera då det handlar om att bedöma risken att kreditgivaren inte återfår de pengar som lånats ut. Syftet har varit att undersöka processen i sin helhet, kassaflödet och värderingsflödet samt hur bådadera spelar in i bedömningen. Kassaflödet syftar på kredittagarens återbetalningsförmåga medan värderingsflödet syftar på värderingen av säkerheter. Studiens empiri undersöker bedömningsprocessens olika delar med hänsyn till syftets fyra frågeställningar. Det framkommer att kredittagarens återbetalningsförmåga mäts genom ett detaljerat kassaflöde med relativt kort kalkylperiod. Värderingsflödet är ett mindre detaljerat kassaflöde med längre kalkylperiod för värdering av säkerheter. Studiens analys konstaterar att kassaflödet nästan uteslutande är det centrala i alla bedömningar och bland annat att nyckeltal kopplade till kassaflöde, som historiskt sett använts i bedömningen av rörelsedrivande bolag, kommit att användas även för kommersiella fastighetskrediter. Säkerheters marknadsvärden visar sig vara mindre betydelsefulla även under tider av ekonomisk kris då kovenanter kopplade till dessa ofta bryts men ändå accepteras, så länge återbetalningsförmågan kvarstår. Detta tycks vara naturligt då affärens välgång ligger i kassaflödens förmåga att försörja avtalsenlig ränta och amortering, inte i säkerheters värden. Ianspråktagande och likvidation av säkerheter leder i bästa fall enbart till återbetalning av utestående lånebalans. Ett fåtal fall då säkerheters värden får en större betydelse har dock under studien identifierats.The study has, using a qualitative research method through interviews investigated creditors assessment procedure for commercial real estate mortgages. An area of interest to study since the purpose of credit risk assessment is about evaluating the risk of the creditor not getting back the money that’s been lent. The purpose has been to investigate the overall procedure and the assessment of cash flow for both repayment ability and valuation of collateral purposes and their roles in the credit risk assessment process. The study investigates the different parts of the procedure with regards to the four questions. It appears that the debtor’s repayment ability is measured through a detailed cash flow projected over a relatively short horizon. Valuation of property collateral is done using a less detailed cash flow projected over a longer horizon. The study concludes that the short-term cash flow almost exclusively is the central part in every assessment and among other findings that ratios referring to cash flow, that’s historically been used in the assessment of operating companies, are now being used for commercial real estate mortgages. The market value of collateral has proven to be less significant even during times of economic crisis when financial covenants referring to these are often broken, but still accepted, if the repayment ability withstands. This seems natural since the prosperity of the engagement lies within the ability of the cash flow to cover the loan servicing, not within the value of the collateral. A claim and liquidation of collateral in the best of cases only results in repayment of the outstanding loan balance. A few cases where the value of collateral receives a greater importance have however during the study been identified.
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Mello, Bernardo Brazão Rego. "Classificação de risco setorial com base nos métodos Weighted Influence Non-linear Gauge System e Analytic Hierarchy Process." reponame:Biblioteca Digital do Banco Nacional de Desenvolvimento Econômico e Social, 2014. http://web.bndes.gov.br/bib/jspui/handle/1408/5341.
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Bibliografia: p. 46-48Dissertação (mestrado) - Faculdade de Economia e Finanças Ibmec, Rio de Janeiro, 2014.
Devido à crescente importância dos mercados financeiros nas últimas décadas, o risco de crédito tem se tornado um tema fundamental na tomada de decisões acerca de investimentos, taxas de financiamento, solvência corporativa, tendência e perspectivas etc. Os modelos de avaliação de risco de crédito, em geral, podem ser classificados em duas categorias: quantitativo e qualitativo. Modelos quantitativos buscam analisar informações de demonstrativos financeiros e seus indicadores, enquanto modelos qualitativos focam na análise de variáveis intangíveis que afetam os negócios globais. Estes modelos normalmente seguem uma estrutura "top-down" de análise setorial, competitividade e comparação de pares e gestão. O objetivo desta dissertação é apresentar um modelo de classificação de risco setorial com base em métodos de análise multicritério que possam mensurar a importância das variáveis que afetam os setores da economia brasileira, bem como a influência entre estas. O modelo é baseado, principalmente, no método Weighted Influence Non-Linear Gauge System. Acerca dos julgamentos sobre as variáveis, o modelo baseia-se na utilização do método Analytic Hierarchy Process. O resultado do modelo é apresentado através de níveis de risco, aplicado a quatorze setores da economia brasileira. A dissertação se encerra com uma discussão sobre os resultados, bem como com um esboço do direcionamento para futuras pesquisas.
Due to the increasing importance of the financial market over the past decades, credit risk has become a paramount issue in investment, loan spreads, corporate solvency, trends and prospetcs, etc. Credit risk evaluation models may be classified in two broad categories: quantitative and qualitative. Quantitative models seek to analyze information from financial statement and indexes, while qualitative models focus on the analysis of intangible variables that affect global business. These models typically follow a top-down approach by analyzing the industry risk, competitiveness and peer comparison and management. The aim of this thesis is to present an industry risk assessment model based on multicriteria analysis methods that can measure the strengh of variables that affect the industries of Brazilian economy, as well as the influence between them. The model is based primarily on the Weighted Influence Non-Linear Gauge System method. Concerning human judgements about the variables, the model is founded on the use of the Analytic Hierarchy Process method. The result from the model is presented through risk levels, applied to fourteen industries in the Brazilian economy. The thesis closes with a discussion of results, as well as with an outline to future research directions.
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Abo, Elnasr Mohammed, Henrik Magnusson, and Magnus Sprycha. "Förmånsrätt och Företagsinteckning : Konsekvenser av den nya lagstiftningen." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-630.
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Banker lånar ut pengar till företag genom så kallade företagshypotek som också är väldigt speciellt för Sverige. Som säkerhet användes då olika tillgångar som varulager, maskiner och kundfordringar. Om företaget sedan gick i konkurs så hade banken rätt att få utdelning på 100 procent av kreditgivningen. Nu har de endast rätt att få tillbaka 55 procent av säkerheten. Andra fordringsägare står nu även högre prioriterade än vad banken gör. Syftet med lagreformen är att minska de onödiga konkurserna i form av exempelvis att leverantörerna inte får sin utbetalning av konkursboet och riskerade att gå omkull själva.
Syftet med denna uppsats är att undersöka och beskriva hur bankernas agerande och krav på säkerheter vid kreditgivning till små- och medelstora företag har förändrats efter införandet av nya förmånsrättsregler och lagen om företagsinteckning. Syftet är vidare att undersöka om och hur tillverkande små- och medelstora företags krediter i banken har påverkats på grund av den nya lagen.
För att besvara syftet med rapporten så genomfördes en kvalitativ undersökning där banker intervjuades. Vidare genomfördes även en kvantitativ undersökning som bestod av en enkätundersökning som var riktad till 250 tillverkande företag i Gnosjö, Gislaved, Värnamo och Vaggeryds kommuner.
Den nya förmånsrättslagen medför ett flertal större konsekvenser för förhållandet mellan banker och företag. De flesta av dessa konsekvenser är negativa för både banker och företag, då majoriteten av båda parterna tror att banken kommer att kräva mer säkerheter i framtiden för att säkerställa sina lån. För att komma undan detta problem så kommer nya utlåningsformer att öka, framför allt factoring och leasing. Resultatet av undersökningen visar att flera av lagsiftarnas syften med lagen inte kommer att uppfyllas. Den största förväntade positiva effekten av förändringen är att leverantörerna kommer ta en mindre smäll när en kund går i konkurs.
Banks lends money to companies through so called floating charges, which are significant for Sweden. Assets, such as stocks, machines and customer claims are used as collateral. If a company went bankrupt, before the new priority right law was used, the bank was in favour to get the entire loan back. Now, after the law reform, the bank only can insist on getting 55% of the given security. Other creditors are now better prioritised than the banks. The purpose with the law reform is to minimize the unnecessery bankruptencies, for example suppliers that cannot handle the loss when a big customer goes bankrupt.
The purpose of this thesis is to emphasize what expected consequenses the new law will have on the bank’s granting of credit to small and medium sized companies and how these effects will affect the companie’s credit support.
To answer the purpose with this report a qualitative research was made involving interviews with banks. Further a quantitative research, consisting of a inquiry research, addressed to 250 production companies in the Jönköping region was made.
The new priority right law brings several consequences affecting the relationship between banks and companies. Most of the consequences are negative for both banks and companies, as the majority of both parts believes that the banks will demand more securities in the future to ensure their loans. To solve this, new lending out forms, especially factoring and leasing, will be used.
The result of this research shows that most of the purposes with the law reform will not be fulfilled. The largest positive expected effect of the change is that the suppliers will take a smaller damage when a customer goes bankrupt.
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Du, Toit Johannes Gerhardus. "An overview of the relationship between the South Africa banking sector and the South African wine industry." Thesis, Stellenbosch : Stellenbosch University, 2006. http://hdl.handle.net/10019.1/50573.
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Thesis (MBA)--Stellenbosch University, 2006.ENGLISH ABSTRACT: This study shows that a close relationship exists between the South African wine industry and South African financial institutions. Research indicated a need to understand the characteristics and complexity of the wine industry, as well as that of credit assessment. This is important for both industries to further develop and strengthen their relationships. SA WIS provides statistics about various aspects of the South African wine industry. The wine industry is characterised by a fragmented basis. To strategically focus the industry, the South African Wine and Brandy Company (SAWB) was established in 2002. In the application for finance it is important for the applicant to know how credit is evaluated by financial institutions, and which aspects are of importance in the application. One cannot predict the future. The credit assessor therefore bases his credit decision on historical financial data, with the assumption that the trend will continue unless there are indications to the contrary. A specific wine industry credit application and evaluation process is discussed in the study. The final decision is only as good as the analysis, and the analysis is only as good as the information gathered. This study thus provides evidence that with a better understanding of the South African wine industry, financial institutions will be able to assess credit risks better. Similarly, the wine industry will benefit by a better understanding of credit assessment when applying for finance. A detail SWOT analysis was done on this industry. A summary was done of the most important finance needs of the South Afican wine industry, compared to the financial products offered by the South African banking industry and the information required to do the credit assessment. The additional information that the wine industry can supply to help the assessor to assess the application, is also listed. The study closes with proposals to the South African wine and banking industries on what to implement, in an effort to achieve a better relationship.
AFRIKAANSE OPSOMMING: Die studie toon dat 'n verwantskap bestaan tussen die Suid-Afrikaanse wynindustrie en Suid-Afrikaanse finansiele instellings. Navorsing toon aan dat daar 'n behoefte bestaan om die karaktereienskappe en kompleksiteit van die wynindustrie te verstaan, sowel as die van krediet keuring. 'n Beter verstandhouding is nodig om die twee industriee se verwantskap te versterk. SAWIS verskaf statistieke oor 'n verskeidenheid van die wynindustrie se aktiwiteite. Die wynindustrie het 'n gefragmenteerde basis. Die Suid-Afrikaanse Wyn en Brandewyn Maatskappy (SAWB) is in 2002 gestig, juis ten doel om die bedryf strategies te fokus. Dit is belangrik vir 'n aansoeker van krediet om te verstaan hoe die finansiele instelling kredietaansoeke evalueer, asook watter aspekte belangrik is om aan te spreek in 'n kredietaansoek. Die toekoms kan nie met sekerheid bepaal word nie. Die kredietkeurder baseer dus sy kredietkeuring op historiese data, met die aanname dat die tendens sal aanhou, tensy daar aanduidings is van die teendeel. 'n Spesifieke wynindustrie kredietaansoek en evaluasieproses word bespreek in die studie. Die finale krediet besluit is slegs soos goed soos die analise en die analise op sy beurt is weer net so goed soos die inligting wat versamel is. Die studie bewys dus dat met 'n beter begrip van die Suid-Afrikaanse wynindustrie, finansiele instellings 'n beter kredietanalise evaluasie sal kan doen. Terselfdertyd sal die wynindustrie bevoordeel word deur beter te verstaan hoe kredietaansoeke geevalueer word wanneer vir finansiering aansoek gedoen word. 'n Detail SWOT-analise is op die bedryf gedoen. 'n Opsomming word gedoen van die mees algemene finansieringsbehoeftes in die wynbedryf, gemeet teenoor die finansiele produkte aangebied en inligting vereis deur die finansiele instellings. Addisionele inligting wat die wynbedryf kan bied ten einde die kredietkeurder te help om die aansoek beter te kan evalueer, word ook gelys. Die studie sluit af met voorstelle aan die Suid Afrikaanse wyn- en bank industriee wat geimplimenteer kan word teneinde 'n beter verhouding te bewerkstellig.
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Симбирцева, А. А., and A. A. Simbirtseva. "Совершенствование методического инструментария для оценки рисков при кредитовании физических лиц : магистерская диссертация." Master's thesis, б. и, 2021. http://hdl.handle.net/10995/99983.
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Магистерская диссертация посвящена совершенствованию методического инструментария для оценки рисков при кредитовании физических лиц. В работе исследуются теоретические основы потребительского кредитования и управления кредитными рисками; проводится анализ состава кредитных портфелей банков и выявление проблем; осуществляется совершенствование методологии оценки рисков на основе уточнения качественных критериев оценки заёмщика, характеризующих его работодателя, а также совершенствование системы мотивации персонала с целью повышения ее риск-ориентированности. В качестве научной новизны предложен методический подход к анализу заемщиков-физических лиц на основе совершенствования оценки компании-работодателя; методический подход к оценке результатов деятельности кредитных специалистов на основе системы показателей KPI и балльно-весового метода.The master's thesis is devoted to improving methodological tools for assessing risks in lending to individuals. The paper examines theoretical foundations of consumer lending and credit risk management; analyzes the composition of banks ' loan portfolios and identifies problems; improves the risk assessment methodology based on clarifying the qualitative criteria for evaluating the borrower that characterize his employer, as well as improving the personnel motivation system in order to increase its risk-orientation. As a scientific novelty, a methodological approach to the analysis of individual borrowers based on improving the assessment of employer company is proposed; a methodological approach to evaluating the performance of credit specialists based on KPI indicator system and point-weight method.
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Cheng, Wei-Hao, and 程偉皓. "Constructing an Integrated Credit Risk Assessment Model." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/03898996914582122640.
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碩士國立交通大學
工業工程與管理系所
101
The importance of investigating the credit of borrowers is highly considered among current financial organizations. Most of the financial risks data in present distinguished into 2 different cases, which are: default and non-default. The credit risk assessment model is widely accepted in most of financial industries to evaluate the degree of risk impact of borrowers. There are a number of credit risk assessment models for any specific applied areas, most financial organizations construct numerous assessment models by history data. The effects of risk with different data character do not have the same behavior in the same model. Since the lack of analysis in the relations between data characters and model mythologies, most organizations use try-error method to classify the most accurate model as adapted model. While the accuracy in models do not have significant difference, the suggested decisions may different. This paper provides an integrated credit risk assessment model when the differences of multiple models are trivial. Based on the consequences of various models, formulating fuzzy membership function generates new decision result. An anonymous financial organization is as example in this research. Applied Group Method of Data Handing (GMDH), k-Nearest Neighbor algorithm (KNN) and logistic regression with fuzzy theory to construct the credit risk assessment model to increase the predicted accuracy of decision rate.
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Syu, Jia-Hao, and 許家豪. "Credit Risk Assessment Using Model-Based Clustering." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/54588626970986075964.
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碩士國立東華大學
應用數學系
98
This paper used the Gaussian mixture model to find credit risk. The author referred to Fraley and Raftery (2002), used the covariance that parameterized by eigenvalue decomposition and got ten models. As for the variables, the author extracted 22 variables from Altman (1968), Shumway (2001), Duffie (2007), Compbell (2008), and several financial related books. The author selected five variables and collocated with the ten Gaussian mixture models. The result indicated that the VEI model performed well combined with the variables that the author found. Compared with the classification of TEJ TCRI, the empirical result indicated that the author’s classification result had better classified result.
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Chen, Ching-Tsung, and 陳敬聰. "A Study Of Credit Card Risk Assessment." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/69021514682882371587.
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YU, SHIN-YUN, and 于新昀. "The Difference of Assessment about Credit Risk between Sales and Credit Review Personnel." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/kgxy3z.
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碩士中信金融管理學院
金融管理研究所
106
Sales and credit review personnel both play important role in credit loan process. However, the differences of their job content may cause diversity of their perspectives. Li-ying Ho(2012) and Sheng Hsin Hu(2014) used to analysis sales and credit review personnel who are in charge of SMEs and discussed different perspective in both group. Those researches show that there are different perspective between sales and credit review personnel. As a result, this research uses analytical hierarchy process (AHP) to analyze credit risk perspectives from sales and credit review personnel and tries to find out if there are differences between their views. The result shows that there is no difference in most situations, but there are some divergences under specific circumstances. This paper suggests that we can use this method to understand how sales’ opinions different from credit review personnel’s views. In this way, both sides can enhance their quality of communication and also improve their working efficiency.
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Yang, Chi-lin, and 楊麒麟. "Assessment of Credit Risk Models - Application of Merton Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/99027093760473397286.
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碩士國立中央大學
財務金融學系碩士在職專班
95
More and more attention is being drawn to credit risk related issues in recent years. For banks, it is of critical and growing importance to establish credit risk models that can raise alarms with accuracy. This study begins with the New Basel Capital Accord (Basel II) which proposes to allow banks to utilize the Internal Ratings-Based Approach (IRB). It is used to demonstrate that credit risk required capital in credit risk management for banks with respect to corporate lending credits will vary by valuation method. As a result, banks are encouraged to establish internal assessment systems. Introduction on the evolution of credit risk assessment method will be made as well as on the four major credit risk models in practice. And finally, this study will use the Merton model as an example to illustrate the significance of corporate values. A forecast sample will be selected from the listed companies in Taiwan to verify the forewarning capacity of the option model. Empirical results from this study show that performance of the Merton model in forewarning for the selected 60 listed companies (including matched samples) does not meet the expectation. However, the model serves well in verifying credit risk forecasting models by case analysis.
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Hsiao, Chien-Wen, and 蕭茜文. "Constructing a Credit Risk Assessment Model by Granular Computing." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/02575149517814868721.
Full textAbstract:
碩士國立交通大學
工業工程與管理學系
99
Most of the finance risk data with a class imbalance problem. Class imbalanced data means the asymmetric categories of data, a data with class imbalance problem could be divided into two categories: major class data and minor class data. If we use all the imbalanced data without sampling, the accuracy of major class instances could be very well, but poor predictive ability to identify minority instances. Many risk assessment models have been developed in many studies, but most of them use sampling method to deal with the class imbalanced data. This study use “Granular Computing” model to tackle class imbalance problems. Using Granular computing to construct risk model could provide a better insight into the essence of data, and effectively solve class imbalance problems. In order to improve the lack of Granular Computing, and enhance the efficiency of credit risk modeling, this study adds a new index: “PM” to avoid a situation which minor class data spread to major class granular. In the end, the study compares the granular computing risk assessment model with several sampling methods. By calculation and compare of the accuracy, AUC and G-means, we can conclude that using granular computing credit assessment model would have same or even better result than sampling models.
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Chang, Chin-Tsai, and 張金燦. "The Study of Clustering Technology in Credit Risk Assessment." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/14097453232772028809.
Full textAbstract:
碩士銘傳大學
資訊工程學系碩士班
100
Accompanied by a large amount of stored data files, databases, and other repository, the data becomes increasingly important. This huge amount of data to how fast effective treatment to find interest and associated information, it is very important. The development and application of the segmentation (Cluster) technology is just able to assist the processing and application of auxiliary information to interpret such information and are interested in knowledge capture, to help decision making. The purpose of this study in the use of the cluster approach, the difference between its group is small, the characteristics of the differences between clusters follow the data mining and knowledge discovery process (Knowledge Discovery in Database, of KDD) steps, the credit card holder payment behavior information segmentation into different clusters, the evaluation model applicable for individual clustering development, and then integrate the clustering results of the assessment to enhance the power of discrimination on the overall data.
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MEI, SHU-FENG, and 梅淑峰. "A Study on Factors of Credit Card Risk Assessment." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/svrhd6.
Full textAbstract:
碩士世新大學
資訊管理學研究所(含碩專班)
107
As credit card has become a main paying mode for consumer over the past years, credit card is definatly a most profitale product for financial institutions, the issuance of credit cards is expected to be continuously growing with the increase of electronic-payment, if only relying on experienced personnel to evaluate the bad debt risk of credit card holders, it will be a heavy workload for personnel and the evaluation result may varies from individuals to individuals; in order to reduce the cost, financial institutions will inevitably need to create a model of credit risk. In this study, the SPSS statistical software was used to perform descriptive statistical analysis, the Logistic Regression Analysis was applied to evaluate the factors of credit risk assessment, and the Decision Tree Analysis to verify the relevance between the risk variable characteristics and credit card overdue behavior. This study performed reseach on three major factors that cardholder's personal basic information, the status of bank transactions and the JCIC(Joint Credit Information Center) report, based on the empirical findings: when the delayed payment has occurred, the higher probability of being overdue; the factors of the application for the personal debt list, the age, the total amount of overall credit cards and unsecured loans, the income, and the number of reviewing by JCIC in last three months, are extremely related to the high probability of overdue. Therefore, the financial institution must carefully review the provided financial certification from applicant, because of the income is highly related to debt-paying ability in the future, a complete database is also required for the verification of the overdue factor that “the cardholder’s transaction status with financial institutions” in the future
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Sanidas, Panagiotis. "An innovative assessment ofan innovative assessment of corporate credit risk - easyjet plc." Master's thesis, 2017. http://hdl.handle.net/10362/26198.
Full textAbstract:
Credit rating is often referred to as an art because it is up to the analyst’s discretion how to interpret and evaluate the credibility of a company. It is also up to the analyst which approach will be adopted to reach the rating. In this paper, the reader will be provided with an analysis and a rating of easyJet’s creditworthiness. This overall rating will derive from the weighted average of two sub-ratings. One obtained from a structural model, Merton Distance to Default, and one obtained from the traditional method that most rating agencies follow. Both approaches will be analyzed in detail later.
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hua, Chiang li, and 江麗華. "An Empirical Study on the Default Risk Assessment Model of Credit CardsAn Empirical Study on the Default Risk Assessment Model of Credit Cards." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/74403080396263595344.
Full textAbstract:
碩士輔仁大學
資訊管理學系
96
The prevailing usage of credit cards and cash cards flourishes the financial market of Taiwan in recent years, but it also induces growing credit debt problem contrarily due to the excessive consumption and inappropriate financial planning. Previous studies found that the causes of worse consumer credit quality are various and belong to multi-sectors including factors from consumer behaviors, card issuers’ market strategies and government’s regulations and policies. Accordingly, all financial institutions aim for the methodology to efficiently manage cardholder’s credit risk and to achieve regulations of Financial Supervisory Commission of Executive Yuan, the ratio that overdue receivables of card issuers should not exceed three percent. The purpose of this study is to induce the significant factors of consumer credit failure and to develop a risk assessment model for credit rating. Firstly, this paper referred both domestic and foreign literature related to credit risk assessment as the basis of the research framework. The following step was to classify available credit data of the sample bank according to previous research framework and induce significant parameters through a series of statistic analyses, such as factor analysis, tabulated statistics, normality test, differential expression test. After putting estimated parameters into the logistic regression analysis model, an appropriate risk assessment model of credit card is established for standardizing the credit debt management and credit risk rating, and then enhancing total credit quality for financial institutions. The empirical result shows that the credit debt problem of credit card could attribute to various significant factors - position, age, education level, the amount of unsecured loans, monthly average income, the number of cancelled cards, credit status, record of bounce check, the number of credit-card defaults, the number of consumer-loan defaults, the number of cash-card defaults, queried times from other financial institutions in recent three months, the credit card usage rate. After putting these thirteen credit risk parameters into the logistic regression model and simulated it by historical credit data, this research establishes a risk assessment model of credit card for the sample bank. Under a 5% standard level of significance, the forecasting accuracy probability of credit default is 82% and 56.9% respectively for normal cardholders and delinquent cardholders, while the default value of forecast probability in the risk assessment model was set to 45%. Additionally, the total forecasting accuracy probability reached to 73.6%. Comparing to various forecasting accuracy probabilities from different forecasting probability setting, this paper concludes the default setting in 45% forecasting probability could properly rank credit-card applicants to several risk sectors, and then apply appropriate strategies whether to reject unqualified applications, to set higher late charge, or to adjust credit limits. To conclude, financial institutions’ capacity to evaluate credit risk could avoid some personal credit bankruptcy, reduce bank’s loss due to a customer’s default, and improve economic efficiency.
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Shen, Chun-Cheng, and 沈俊誠. "Integrating Risk Assessment and Credit Rating Model for Financial Institutions." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/60898054775382102741.
Full textAbstract:
碩士國立交通大學
工業工程與管理系所
92
The risk assessment and credit rating are two important indicators for financial institutions to evaluate the payment capability of the loan applicants. However, the raising ratio of the bad loans drives financial institutions to review and reconstruct their credit risk assessment models to make right and efficient decisions of loaning under the economic depression. In general, most of the models are built based upon five dimensions: applicant’s personality, payment capacity, capital, business condition, and collaterals. Many studies proposed several credit rating models for evaluating the listed companies, but these credit rating models would be invalid when they are employed for evaluating the credit of small and median enterprise(SME). Therefore, an integrated risk assessment and credit rating model is developed for the loan applicants of small business enterprise. The proposed procedure has five stages: (1) selecting variables and collecting data, (2) finding the appropriate weight of variables by using Analytic Hierarchy Procedure, (3) constructing a model of loan risk assessment to discriminate between good and bad loaners using Multivariate Discriminant analysis, Logistic regression and Kernel method separately, (4) constructing a multi-level credit rating model for good and bad loans, (5) constructing a prediction model of survival for bad loaners and default probability table which can provide financial institutions information to make decision about the proper length of payment periods. Response Surface method(RSM) is also used in this study to find optimal parameter setting level of Kernel method. Finally, a real case is provided to demonstrate the effectiveness of the proposed procedure.
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Chang, Kai-Ming, and 張凱鳴. "Integrating Risk Assessment and Credit Rating in Bank's Loan Granting Decision." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/48411421716094768401.
Full textAbstract:
碩士長庚大學
企業管理研究所
94
Granting loan is one of the bank’s important businesses. Banks will have large losses if they do not seriously and correctly evaluate the credit risk of borrowers. Moreover, loan defaults hurt banks and will eventually cause social costs. To reduce the default possibility, a complete and integrated classification model to evaluate the applicants’ payback capability is urgently needed. Meanwhile, risk assessment and credit rating are both important indicators when banks make loan-granting decisions. Thus in this thesis, we applied data envelopment analysis-discriminant analysis (DEA-DA) to see if loan default happened in any of 100 listed domestic electronic companies between 2001 and 2005. We compared the classification performance of DEA-DA with two frequently used discrimination models－multiple discriminant analysis and Logit analysis－in either the risk assessment or credit rating base and also in their integrated framework with risk assessment first. Two main results of this thesis are as follows. 1. DEA-DA outperforms the other two discriminant analysis methods in terms of better forecast accuracy of the average payback ratio and higher cumulative probability of payback ratio on either basis of risk assessment or credit rating; 2. DEA-DA concludes more consistently than the other two analyses while sorting loan defaults in the integrated model of risk assessing first and then credit rating.
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Teles, Germanno Gurgel do Amaral. "Decision Support Systems for Risk Assessment in Credit Operations Against Collateral." Doctoral thesis, 2020. http://hdl.handle.net/10400.6/11163.
Full textAbstract:
With the global economic crisis, which reached its peak in the second half of 2008, and
before a market shaken by economic instability, financial institutions have taken steps to protect
the banks’ default risks, which had an impact directly in the form of analysis in credit institutions
to individuals and to corporate entities. To mitigate the risk of banks in credit operations, most
banks use a graded scale of customer risk, which determines the provision that banks must
do according to the default risk levels in each credit transaction. The credit analysis involves
the ability to make a credit decision inside a scenario of uncertainty and constant changes and
incomplete transformations. This ability depends on the capacity to logically analyze situations,
often complex and reach a clear conclusion, practical and practicable to implement.
Credit Scoring models are used to predict the probability of a customer proposing to
credit to become in default at any given time, based on his personal and financial information
that may influence the ability of the client to pay the debt. This estimated probability, called the
score, is an estimate of the risk of default of a customer in a given period. This increased concern
has been in no small part caused by the weaknesses of existing risk management techniques
that have been revealed by the recent financial crisis and the growing demand for consumer
credit.The constant change affects several banking sections because it prevents the ability to
investigate the data that is produced and stored in computers that are too often dependent on
manual techniques.
Among the many alternatives used in the world to balance this risk, the provision of
guarantees stands out of guarantees in the formalization of credit agreements. In theory, the
collateral does not ensure the credit return, as it is not computed as payment of the obligation
within the project. There is also the fact that it will only be successful if triggered, which involves
the legal area of the banking institution. The truth is, collateral is a mitigating element
of credit risk. Collaterals are divided into two types, an individual guarantee (sponsor) and the
asset guarantee (fiduciary). Both aim to increase security in credit operations, as an payment
alternative to the holder of credit provided to the lender, if possible, unable to meet its obligations
on time. For the creditor, it generates liquidity security from the receiving operation. The
measurement of credit recoverability is a system that evaluates the efficiency of the collateral
invested return mechanism.
In an attempt to identify the sufficiency of collateral in credit operations, this thesis
presents an assessment of smart classifiers that uses contextual information to assess whether
collaterals provide for the recovery of credit granted in the decision-making process before
the credit transaction become insolvent. The results observed when compared with other approaches
in the literature and the comparative analysis of the most relevant artificial intelligence
solutions, considering the classifiers that use guarantees as a parameter to calculate the
risk contribute to the advance of the state of the art advance, increasing the commitment to
the financial institutions.Com a crise econômica global, que atingiu seu auge no segundo semestre de 2008, e diante de um mercado abalado pela instabilidade econômica, as instituições financeiras tomaram medidas para proteger os riscos de inadimplência dos bancos, medidas que impactavam diretamente na forma de análise nas instituições de crédito para pessoas físicas e jurídicas. Para mitigar o risco dos bancos nas operações de crédito, a maioria destas instituições utiliza uma escala graduada de risco do cliente, que determina a provisão que os bancos devem fazer de acordo com os níveis de risco padrão em cada transação de crédito. A análise de crédito envolve a capacidade de tomar uma decisão de crédito dentro de um cenário de incerteza e mudanças constantes e transformações incompletas. Essa aptidão depende da capacidade de analisar situações lógicas, geralmente complexas e de chegar a uma conclusão clara, prática e praticável de implementar. Os modelos de Credit Score são usados para prever a probabilidade de um cliente propor crédito e tornar-se inadimplente a qualquer momento, com base em suas informações pessoais e financeiras que podem influenciar a capacidade do cliente de pagar a dívida. Essa probabilidade estimada, denominada pontuação, é uma estimativa do risco de inadimplência de um cliente em um determinado período. A mudança constante afeta várias seções bancárias, pois impede a capacidade de investigar os dados que são produzidos e armazenados em computadores que frequentemente dependem de técnicas manuais. Entre as inúmeras alternativas utilizadas no mundo para equilibrar esse risco, destacase o aporte de garantias na formalização dos contratos de crédito. Em tese, a garantia não “garante” o retorno do crédito, já que não é computada como pagamento da obrigação dentro do projeto. Tem-se ainda, o fato de que esta só terá algum êxito se acionada, o que envolve a área jurídica da instituição bancária. A verdade é que, a garantia é um elemento mitigador do risco de crédito. As garantias são divididas em dois tipos, uma garantia individual (patrocinadora) e a garantia do ativo (fiduciário). Ambos visam aumentar a segurança nas operações de crédito, como uma alternativa de pagamento ao titular do crédito fornecido ao credor, se possível, não puder cumprir suas obrigações no prazo. Para o credor, gera segurança de liquidez a partir da operação de recebimento. A mensuração da recuperabilidade do crédito é uma sistemática que avalia a eficiência do mecanismo de retorno do capital investido em garantias. Para tentar identificar a suficiência das garantias nas operações de crédito, esta tese apresenta uma avaliação dos classificadores inteligentes que utiliza informações contextuais para avaliar se as garantias permitem prever a recuperação de crédito concedido no processo de tomada de decisão antes que a operação de crédito entre em default. Os resultados observados quando comparados com outras abordagens existentes na literatura e a análise comparativa das soluções de inteligência artificial mais relevantes, mostram que os classificadores que usam garantias como parâmetro para calcular o risco contribuem para o avanço do estado da arte, aumentando o comprometimento com as instituições financeiras.
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Adeka, Muhammad I., Simon J. Shepherd, and Raed A. Abd-Alhameed. "Threat analysis versus risk analysis in intelligence and security assessment." 2014. http://hdl.handle.net/10454/11483.
Full textAbstract:
NoA realisation of the relationships among the security terms threat, vulnerability and risk, led to a perception of inconsistency about the security assessment procedure in the defence and public security industry in Nigeria. This is a practice whereby threat analysis is usually over-emphasised to the detriment of vulnerability and risk analyses. An original misconception surrounding the term analysis, as employed in the Intelligence Cycle, and its opposite counterpart, synthesis, was suspect. This paper was designed to sort out the technical relationship between analysis and synthesis, with a view to exploiting the implications optimally. It was revealed that the two terms are opposite in meaning but need to be intricately inter-woven in their employment as evaluation techniques. Unfortunately, most intelligence and security “analysts” embark on analysis with little or no idea about synthesis, thus muddling up the two concepts to the advantage of analysis. This original misconception led to a culture of non systematism and haphazardness in the intelligence assessment procedure. This culture was transmitted, in situ, from intelligence „analysis‟ to security „analysis.‟ Thus, the terms vulnerability and risk in security assessment suffer an almost identical fate with synthesis. It is the same reason that is most probably responsible for the divergence in the security assessment procedure between the public and private segments of the security industry. The implications of this anomaly include the virtual disappearance of synthesist in the global professional vocabulary of intelligence and security organisations, except for India; with resultant inconsistencies in the definition of intelligence analysis, and a culture of lack of systematism and accountability in the security assessment procedure. It is proposed that the phrase intelligence analysis, as employed in intelligence processing, should be replaced with intelligence synthesis. Intelligence products should be made amenable to re-evaluation and accountability. In military and security operations, the object of security assessment should be risk analysis, as opposed to threat analysis. Newly suggested terminologies are analosynthesis, synthonalysis and equisynalysis. Similarly, thesis, as a synonym of dissertation, should be replaced with synthesis.
Petroleum Technology Development Fund (PTDF)
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Reichenbach, Jonas. "Credit scoring with advanced analytics: applying machine learning methods for credit risk assessment at the Frankfurter sparkasse." Master's thesis, 2018. http://hdl.handle.net/10362/49557.
Full textAbstract:
Project Work presented as the partial requirement for obtaining a Master's degree in Information Management, specialization in Information Systems and Technologies ManagementThe need for controlling and managing credit risk obliges financial institutions to constantly reconsider their credit scoring methods. In the recent years, machine learning has shown improvement over the common traditional methods for the application of credit scoring. Even small improvements in prediction quality are of great interest for the financial institutions. In this thesis classification methods are applied to the credit data of the Frankfurter Sparkasse to score their credits. Since recent research has shown that ensemble methods deliver outstanding prediction quality for credit scoring, the focus of the model investigation and application is set on such methods. Additionally, the typical imbalanced class distribution of credit scoring datasets makes us consider sampling techniques, which compensate the imbalances for the training dataset. We evaluate and compare different types of models and techniques according to defined metrics. Besides delivering a high prediction quality, the model’s outcome should be interpretable as default probabilities. Hence, calibration techniques are considered to improve the interpretation of the model’s scores. We find ensemble methods to deliver better results than the best single model. Specifically, the method of the Random Forest delivers the best performance on the given data set. When compared to the traditional credit scoring methods of the Frankfurter Sparkasse, the Random Forest shows significant improvement when predicting a borrower’s default within a 12-month period. The Logistic Regression is used as a benchmark to validate the performance of the model.