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Journal articles on the topic 'Default Risk Charge (DRC)'

Author: Grafiati

Published: 11 March 2023

Last updated: 31 July 2025

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1

Slime, Badreddine. "Mathematical Modeling of Concentration Risk under the Default Risk Charge Using Probability and Statistics Theory." Journal of Probability and Statistics 2022 (November 1, 2022): 1–12. http://dx.doi.org/10.1155/2022/3063505.

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In the Fundamental Review of the Trading Book (FRTB), the latest regulation for minimum capital market risk requirements, one of the major changes, is replacing the Incremental Risk Charge (IRC) with the Default Risk Charge (DRC). The DRC measures only the default and does not consider the migration rating risk. The second new change in this approach was that the DRC now includes equity assets, contrary to the IRC. This paper studies DRC modeling under the Internal Model Approach (IMA) and the regulator conditions that every DRC component must respect. The FRTB presents the DRC measurement as

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2

Slime, Badreddine, and Jaspreet Singh Sahni. "Modeling default risk charge (DRC) with intensity probability theory." AIMS Mathematics 10, no. 2 (2025): 2958–73. https://doi.org/10.3934/math.2025137.

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3

Bonollo, Michele, Luca Di Persio, and Luca Prezioso. "The Default Risk Charge approach to regulatory risk measurement processes." Dependence Modeling 6, no. 1 (2018): 309–30. http://dx.doi.org/10.1515/demo-2018-0018.

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AbstractIn the present paper we consider the Default Risk Charge (DRC) measure as an effective alternative to the Incremental Risk Charge (IRC) one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets issued by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible because of

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4

Nagesh, Abhishek. "Fundamental Review of the Trading Book (FRTB): A Deep Dive into US, UK and EU Rulemaking and Implementation." Indian Journal of Economics and Finance 5, no. 1 (2025): 81–87. https://doi.org/10.54105/ijef.a2610.05010525.

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The Fundamental Review of the Trading Book (FRTB) is a comprehensive Basel III framework introduced to overhaul market risk capital requirements during the 2007–2009 financial crisis. The framework includes two main approaches for measuring market risk capital: a more risk-sensitive Internal Models Approach (IMA) for banks that obtain supervisory approval and a revised Standardised Approach (SA) that applies granular risk-weighted sensitivities for all banks. This framework has global significance, and its implementation is underway across major jurisdictions. However, the United States, Europ

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Abhishek, Nagesh. "Fundamental Review of the Trading Book (FRTB): A Deep Dive into US, UK and EU Rulemaking and Implementation." Indian Journal of Economics and Finance (IJEF) 5, no. 1 (2025): 81–87. https://doi.org/10.54105/ijef.A2610.05010525/.

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<strong>Abstract: </strong>The Fundamental Review of the Trading Book (FRTB) is a comprehensive Basel III framework introduced to overhaul market risk capital requirements during the 2007–2009 financial crisis. The framework includes two main approaches for measuring market risk capital: a more risk-sensitive Internal Models Approach (IMA) for banks that obtain supervisory approval and a revised Standardised Approach (SA) that applies granular risk-weighted sensitivities for all banks. This framework has global significance, and its implementation is underway across major jurisdictions.

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Abhishek, Nagesh. "Fundamental Review of the Trading Book (FRTB): A Deep Dive into US, UK and EU Rulemaking and Implementation." Indian Journal of Economics and Finance (IJEF) 5, no. 1 (2025): 81–87. https://doi.org/10.54105/ijef.A2610.05010525.

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<strong>Abstract: </strong>The Fundamental Review of the Trading Book (FRTB) is a comprehensive Basel III framework introduced to overhaul market risk capital requirements in the wake of the 2007– 2009 financial crisis. . The framework includes two main approaches for measuring market risk capital: a more risksensitive Internal Models Approach (IMA) for banks that obtain supervisory approval and a revised Standardized Approach (SA) that applies granular risk-weighted sensitivities for all banks. This framework has global significance and its implementation is underway across major jurisd

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7

Joseph, Angelo D. "Emerging Market Default Risk Charge Model." Journal of Risk and Financial Management 16, no. 3 (2023): 194. http://dx.doi.org/10.3390/jrfm16030194.

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In a default event, several obligors simultaneously experience financial difficulty in servicing their debt to the point where the entire market can experience a sudden yet significant jump to a credit default. To help protect lenders against a jump-to-default event, regulators require banks to hold capital equivalent to the default risk charge as a buffer against the losses they may incur. The Basel regulatory committee has articulated and set default risk modelling guidelines to improve comparability amongst banks and enable a consistent bank-wide default risk charge estimation. Emerging mar

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8

RODRIGUES, MATHEUS PIMENTEL, and ANDRE CURY MAIALY. "MEASURING DEFAULT RISK FOR A PORTFOLIO OF EQUITIES." International Journal of Theoretical and Applied Finance 22, no. 01 (2019): 1950012. http://dx.doi.org/10.1142/s0219024919500122.

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This work evaluates some changes proposed by the Basel Committee on Banking Supervision in regulating capital allocation in the trading book for equities following a company default. In the last decade, the committee designed some measures to account for the risk of a company default that the ten-day value-at-risk measure does not capture. The first and more conservative measure designed to capture the effect of defaults was the incremental risk charge. With time, this measure evolved into the default risk charge. We use a Merton model to compute the probability of default and compare this pro

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9

Wilkens, Sascha, and Mirela Predescu. "Default risk charge: modeling framework for the “Basel” risk measure." Journal of Risk 19, no. 4 (2017): 23–50. http://dx.doi.org/10.21314/jor.2017.358.

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10

Zhao, Yuetong, and Deqin Lin. "Prediction of Micro- and Small-Sized Enterprise Default Risk Based on a Logistic Model: Evidence from a Bank of China." Sustainability 15, no. 5 (2023): 4097. http://dx.doi.org/10.3390/su15054097.

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This study selected factors influencing the default risk of micro- and small-sized enterprises (MSEs) from the perspective of both financial and non-financial indicators and constructed an identification model of the influencing factors for the default risk of MSEs by logistic regression, using the data on loans borrowed by 2492 MSEs from a city commercial bank in Gansu Province as the sample. In addition, the robustness and prediction effect of the model were tested. The empirical results showed that the logistic model has good robustness and high predictive ability. The quick ratio, total as

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Luzzetti, Matthew N., and Seth Neumuller. "THE IMPACT OF LEARNING ON BUSINESS CYCLE FLUCTUATIONS IN THE CONSUMER UNSECURED CREDIT MARKET." Macroeconomic Dynamics 24, no. 5 (2018): 1087–123. http://dx.doi.org/10.1017/s1365100518000676.

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We document that the credit spread on consumer unsecured debt exhibits a persistent, hump-shaped response to an increase in the charge-off rate. This stylized fact poses a significant challenge for a standard model of consumer default in which lenders have rational expectations and, therefore, the credit spread continuously adjusts to reflect the true default incentives of each borrower. In an effort to explain this feature of the data, we construct a model of consumer default with countercyclical income risk in which lenders learn about default risk over time by observing the history of repay

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12

Bonollo, Michele, Antonio Menegon, and Luigi Terzi. "Climate and environmental risk factors in the market risk field: An extended model." Risk Governance and Control: Financial Markets and Institutions 13, no. 2 (2023): 17–27. http://dx.doi.org/10.22495/rgcv13i2p2.

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The extension of the risk management models to the broad sustainability concept is an open issue in both the academic and financial communities. The current state of the art for the risk measurement models is not satisfactory. There are many weaknesses in the data feasibility and the debate about what the new models should measure is still open. We propose a model that aims to improve the existing market risk models by capturing the sustainability risk sources. The starting point is the incremental risk charge (IRC) model, namely a 1 year 99.9 percent value at risk that covers default and migr

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13

Valipour, Esmaeil, Ramin Nourollahi, Kamran Taghizad-Tavana, Sayyad Nojavan, and As’ad Alizadeh. "Risk Assessment of Industrial Energy Hubs and Peer-to-Peer Heat and Power Transaction in the Presence of Electric Vehicles." Energies 15, no. 23 (2022): 8920. http://dx.doi.org/10.3390/en15238920.

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The peer-to-peer (P2P) strategy as a new trading scheme has recently gained attention in local electricity markets. This is a practical framework to enhance the flexibility and reliability of energy hubs, specifically for industrial prosumers dealing with high energy costs. In this paper, a Norwegian industrial site with multi-energy hubs (MEHs) is considered, in which they are equipped with various energy sources, namely wind turbines (WT), photovoltaic (PV) systems, combined heat and power (CHP) units (convex and non-convex types), plug-in electric vehicles (EVs), and load-shifting flexibili

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EL HAJJAJI, OMAR, and ALEXANDER SUBBOTIN. "CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING." International Journal of Theoretical and Applied Finance 18, no. 03 (2015): 1550017. http://dx.doi.org/10.1142/s021902491550017x.

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We propose a Credit Value Adjustment (CVA) model capturing the Wrong Way Risk (WWR) that is not product-specific and is suitable for large-scale computations. The model is based on a doubly stochastic default process with the default intensities proxied by credit spreads. For different exposure structures, we show how credit–market correlation affects the CVA level, its sensitivities to credit and market factors, its volatility and the quality of hedging. The WWR is most significant for exposures highly sensitive to the market volatility in a situation when credit spreads are at moderate level

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Santos, João A. C., and Andrew Winton. "Bank Capital, Borrower Power, and Loan Rates." Review of Financial Studies 32, no. 11 (2019): 4501–41. http://dx.doi.org/10.1093/rfs/hhz001.

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Abstract We examine how bank capital and borrower bargaining power affect loan spreads. Consistent with previous studies, higher bank capital has a negative impact on loan rates, but borrower cash flow has a significant effect on this impact: compared with high-capital banks, low-capital banks charge more for borrowers with low cash flow, but offer greater marginal discounts as these borrowers’ cash flow rises. These effects are largely focused on more bank-dependent borrowers. We find some evidence that low-capital banks charge a higher premium for bank-dependent borrowers’ systematic risk, b

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De Faro, Clovis Jose Daudt Lyra Darrigue. "Sobre o Sistema de Amortização Linear Crescente." Brazilian Review of Finance 11, no. 4 (2013): 559. http://dx.doi.org/10.12660/rbfin.v11n4.2013.13832.

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Aiming to reach a compromise solution to the issues of default risk and the payment capacity of takers of housing loans, Jorge Oscar de Mello Flôres submited to the Banco Nacional de Habitação, which was then in charge of the Brazilian System of Housing Financing, what he named as the Linearly Increasing System of Amortization. (LISA). Following a critical analysis of the LISA, it is proposed the alternative named as the Generalyzed System of Mixed Amortization (GSMA).

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17

Lehdili, Noureddine, and Arshia Givi. "Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge." Risk and Decision Analysis 7, no. 3-4 (2018): 91–105. http://dx.doi.org/10.3233/rda-180042.

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18

ڈاکٹر محمد سعد صدیقی та سلمان احمد خان. "التزام بالتصدق۔۔۔فقہی وشرعی حیثیت". FIKR-O NAZAR فکر ونظر 48, № 2 (2010): 3–34. https://doi.org/10.52541/fn.v48i2.3884.

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A problem, which Islamic banks face in Murabaha and Ijarah financing, is the danger of default. So, if a client defaults in payment of the price or rental at the due date, the price cannot be increased. In interest based loans, the amount of loan keeps on increasing according to the period of default. But it is prohibited in Islamic Financing. The real solution to this problem is to develop a system where the defaulters are punished by depriving them of getting a financial facility in future. So, the alternative suggestion is that while entering into a Murabaha or Ijarah transaction, client un

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19

Huang, Rong, Xiaojun Lin, Xunzhuo Xi, and Desmond Chun Yip Yuen. "The effect of earnings management on external loan price: evidence from China." International Journal of Accounting & Information Management 30, no. 2 (2022): 277–300. http://dx.doi.org/10.1108/ijaim-11-2021-0225.

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Purpose This paper aims to explore how external creditors assess firms’ financial aggressiveness in China. Design/methodology/approach Using bank loan-specific data, the authors investigate whether firms exhibit greater costs of bank loans when they engage in earnings manipulation and whether this association changes when restrictions on lenders’ compensation are promulgated. Findings The authors find compelling evidence that bank executives charge higher premiums on firms with accrual earnings management to compensate for additional financial risk but do not charge extra loan prices for firms

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20

Kurniawati, Lelly, and Albertus Sentot Sudarwanto. "Legal Protection for Creditor Due To Debitors Default in Bank Loan Agreement." International Journal of Social Sciences and Humanities Invention 6, no. 11 (2019): 5702–6. http://dx.doi.org/10.18535/ijsshi/v6i11.01.

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For bank, loan is one of its core business. In addition to profitability, loan also contains credit risk. Accordingly, Financial Services Authority (OJK) as the supervisory authority of Indonesian banks enforces the credit regulation in Indonesia. This is understandable given that improper credit management may result in bank’s revenue from credit sector, which may disturb the bank’s health due to the decrease of bank's revenue. Therefore, resolution of problem loan is priority for banks. The present study was categorized as normative legal study, the data were analyzed qualitatively. Various

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Choi, Tsan-Ming, Na Liu, Shuyun Ren, and Chi-Leung Hui. "No Refund or Full Refund: When Should a Fashion Brand Offer Full Refund Consumer Return Service for Mass Customization Products?" Mathematical Problems in Engineering 2013 (2013): 1–14. http://dx.doi.org/10.1155/2013/561846.

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We analytically explore in this paper the consumer return policy under fashion mass customization (MC) program. To be specific, we model the stochastic fashion MC program with the consideration of consumer demand uncertainty. If a consumer return policy is implemented, we further consider return uncertainty. By modeling the optimization objective of the risk averse MC fashion brand via a mean-variance approach, we derive the closed-form optimal solution under each case. We then conduct both analytical and numerical sensitivity analyses. For the scenario with full refund and return, we reveal t

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22

Tiwari, Piyush. "International Real Estate Review." International Real Estate Review 4, no. 1 (2001): 57–79. http://dx.doi.org/10.53383/100029.

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Housing mortgage finance in India is constrained by the maximum loan-to-cost ratio and installment income ratio conditions imposed by housing finance companies. The typical reason for this behaviour is that the market for the sharing of risk in mortgage lending is not yet fully developed. Mortgage insurance plays an important role in developing this market. The objective of this paper is to present a case for mortgage insurance market in India. This paper develops a mortgage premium structure framework in which mortgage insurers charge an insurance premium that equates losses to revenue. This

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23

Alier, Maker Ghai. "Interest Rates and Microfinance Performance in Eastern Africa." International Journal of Science and Business 11, no. 1 (2022): 24–35. https://doi.org/10.5281/zenodo.6402149.

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The contribution of microfinance industry to poverty alleviation has been overwhelmingly positive in many countries and regions. However, the most controversial dimensions which spark debate has often been interest rate charge by most microfinance institutions which seemingly miss the link towards the social mission for which the institutions were expected to perform. This has caused great concern about potential exploitations of poor borrowers by institutional lenders. This study therefore investigates to understand the possible effects of interest rates on microfinance performance. The resea

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24

Ilinka Antova. "COVID-19 on Performance of Islamic Banks in Fintech and Digitalization Era." Journal of Islamic Finance 11, no. 1 (2022): 81–93. https://doi.org/10.31436/jif.v11i1.637.

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This study attempts to provide insight on risk and opportunities for Islamic banks arising from COVID-19 pandemic by using document analysis approach. The COVID-19 pandemic has increased banking risk. The paper emphasizes the impact of the crisis on credit risk as historically thought as the most significant risk driver. Increased credit risk in Islamic financial institutions (IFIs) is due to broad-based deterioration of economic conditions affecting multiple sectors, resulting in a general increase of non-performing financing (NPF) balances and charge-offs. Further, it was found that banks ha

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Araka, H., V. Mogwambo, and S. Otieno. "Effect of Non - Performing Loans on Financial Performance of Commercial Banks in Kenya." International Journal of OIRC JOURNALS 3, no. 1 (2018): 44–51. https://doi.org/10.5281/zenodo.13830289.

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Commercial banks in Kenya have suffered significant loanrepayment default problems resulting into decreasedemployment levels and liquidity problems. Interest ratechanges have also contributed to non-performing loans.Non-performing loans are associated with bank failuresbecause borrowers do not pay their loans in time whichleads to financial crises for commercial banks in Kenya.Due to the nature of their business, commercial banksexpose themselves to the risks of default from borrowersand this risk is known as credit risk. If the non-performingloans are kept existing and continuously rolled ove

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Vozzella, Pietro, and Giampaolo Gabbi. "What is good and bad with the regulation supporting the SME’s credit access." Journal of Financial Regulation and Compliance 28, no. 4 (2020): 569–86. http://dx.doi.org/10.1108/jfrc-10-2019-0132.

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Purpose This analysis asks whether regulatory capital requirements capture differences in systematic risk for large firms and micro-, small- and medium-sized enterprises (MSMEs). The authors explore whether bank capital regulations intended to support SMEs’ access to borrowing are effective. The purpose of this paper is to find out whether the regulatory design (particularly the estimate of asset correlations) positively affects the lending process to small and medium enterprises, compared to large corporates. Design/methodology/approach The authors investigate the appropriateness of bank capi

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Sun, Hua, and Lei Gao. "Lending practices to same-sex borrowers." Proceedings of the National Academy of Sciences 116, no. 19 (2019): 9293–302. http://dx.doi.org/10.1073/pnas.1903592116.

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Using massive US mortgage lending data, we propose a method to infer a borrower’s sexual orientation indirectly without a self-identification requirement and demonstrate the method’s potential to approximately measure the sexual orientation of the US population at the local level annually over decades. We continue to examine the lending practices to same-sex borrowers and its spillover effects. The persistent results since 1990 reveal that, in contrast with otherwise comparable different-sex loan applicants, the approval rate for same-sex applicants is ∼3–8% lower. Furthermore, conditional on

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Nivetha, P. "Influence Between Bank Spread Rate and NPA." Shanlax International Journal of Management 10, no. 3 (2023): 45–50. http://dx.doi.org/10.34293/management.v10i3.5841.

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This research aimed to determine how interest rate dispersion affects the quantity of bad loans at Indian financial institutions. The research strategy used in this analysis of Indian Bank data was descriptive in nature. The Bank Supervision Report was employed as a secondary source for this study’s data collection. The correlation between interest rate spread and loan default was investigated using quantitative and qualitative methods of data analysis. Charts, tables, and pie diagrams were used to illustrate the information. The research found that the cost of loans paid to borrowers is affec

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Naim, Kamran, Curtis Brundy, and Rachael G. Samberg. "Collaborative transition to open access publishing by scholarly societies." Molecular Biology of the Cell 32, no. 4 (2021): 311–13. http://dx.doi.org/10.1091/mbc.e20-03-0178.

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For decades, universities, researchers, and libraries have sought a systemwide transition of scholarly publishing to open access (OA), but progress has been slow. There is now a potential for more rapid and impactful change, as new collaborative OA publishing models have taken shape. Cooperative publishing arrangements represent a viable path forward for society publishers to transition to OA as the default standard for disseminating research. The traditional article processing charge OA model has introduced sometimes unnavigable financial roadblocks, but cooperative arrangements premised on c

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Violet, Jepchumba, Karanja Simon, Amukoye Evans, Muthami Lawrence, and Kipruto Hillary. "Timing and Determinants of Tuberculosis Treatment Interruption in Nairobi County, Kenya." International Journal of Public Health Science (IJPHS) 6, no. 3 (2017): 203~212. https://doi.org/10.11591/ijphs.v6i3.8475.

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Tuberculosis (TB) treatment is a key pillar in the management and control of TB. Service delivery within the treatment facilities plays an important role in ensuring treatment adherence by TB patients. A prospective cohort study involving 25 health facilities, 25 facility in-charge officers and 291 patients diagnosed as new sputum smear positive (SM+) between December 2014 and July 2015 was undertaken. The aim of the study was to estimate the median time to treatment interruption, associated factors and overall predictors of non-adherence to TB treatment. A total of 19 (6.5%) treatment interru

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Muhamad Asni, Muhammad Fathullah Al Haq, Muhammad Shahrul Ifwat Ishak, and Mohammad Dhiya'ul Hafidh Fatah Yasin. "Penalty for Late Payment: The Study of Shariah Risk in Islamic Housing Products in Malaysia." global journal al thaqafah 12, no. 2 (2022): 28–44. http://dx.doi.org/10.7187/gjat122022-3.

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The Islamic banking scheme has become an alternative to the conventional banking scheme since conventional banking is based on riba, that strongly prohibited by Shariah. Islamic banking scheme charges profit through Islamic-authorised sale and leasing transactions between banks and customers. However, through the sale and leasing transactions entered into, the customer is also required to purchase and rent in instalments as specified in the contract. If the client is late paying the specified instalment, how does the bank engage with it? Hence, the study to identify the management of Shariah r

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Jepchumba, Violet, Simon Karanja, Evans Amukoye, Lawrence Muthami, and Hillary Kipruto. "Timing and Determinants of Tuberculosis Treatment Interruption in Nairobi County, Kenya." International Journal of Public Health Science (IJPHS) 6, no. 3 (2017): 203. http://dx.doi.org/10.11591/ijphs.v6i3.8475.

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Tuberculosis (TB) treatment is a key pillar in the management and control of TB. Service delivery within the treatment facilities plays an important role in ensuring treatment adherence by TB patients. A prospective cohort study involving 25 health facilities, 25 facility in-charge officers and 291 patients diagnosed as new sputum smear positive (SM+) between December 2014 and July 2015 was undertaken. The aim of the study was to estimate the median time to treatment interruption, associated factors and overall predictors of non-adherence to TB treatment. A total of 19 (6.5%) treatment interru

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Olanrewaju, OLATUNDUN, Akanji AYINDE Wasiu, Abefe ABDULRAHEEM Mumini, and Oluwatobi OLADEJI Grace. "Tenant Risk in the Residential Rental Market in Osogbo, Nigeria: Issues, Implications, and Mitigating Strategies." International Journal of Recent Research in Commerce Economics and Management (IJRRCEM) 11, no. 1 (2024): 10–19. https://doi.org/10.5281/zenodo.10461608.

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<strong>Abstract:</strong> For landlords to achieve their financial goals concerning property investment, they need to pay attention to tenant risk. This study focuses on the residential rental market in Osogbo, Nigeria, and aims to identify the factors that contribute to tenant risk in this area. The goal is to develop strategies that can help mitigate these risks. The study obtained primary data through a structured questionnaire, which was administered to 32 professional property management firms (firms of estate surveying and valuation) in Osogbo, the study area. Out of the 32 questionnair

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Godefroi, Christophe, and Niels Pranger. "The SEPA Payment Account Access scheme is driving ‘open banking’ in the EU beyond the revised Payments Services Directive." Journal of Payments Strategy & Systems 18, no. 4 (2024): 406. https://doi.org/10.69554/askg9092.

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This paper presents the SEPA Payment Account Access (SPAA) scheme, exploring its origins, associated benefits and challenges as well as the related regulatory context. The SPAA scheme covers the set of rules, practices and standards that allow for premium, value-added open banking services beyond the regulatory requirements. The revised Payment Services Directive (PSD2) describes the legal framework for open banking in Europe. It obliges account servicing payment service providers to provide — free of charge — dedicated interfaces to allow regulated third parties to access an account holder’s

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Abdirashid, Ali Abdi, and Ambrose O. Jagongo. "Group Lending and Loans Performance in Micro-Finance Institutions in Nairobi City County, Kenya: Case of Kenya Women Microfinance Bank Limited." International Journal of Current Aspects 3, no. III (2019): 96–110. http://dx.doi.org/10.35942/ijcab.v3iiii.33.

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The microfinance industry has grown over the years. However, there is a growing concern on the loan default among microfinance institutions in Kenya. This may be a pointer to increased ineffectiveness of the institutions’ various lending programs. This study seeks to examine the relationship between group lending and loans performance in micro-finance institutions in Kenya, with a focus on KWFT. The study specifically sought to: determine the relationship between group self-internal regulations among group members and loans performance in KWFT microfinance; to examine the relationship between

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MUKANDILA KALOMBO, Pascal. "PROBLEMATIQUE DES ACCOUCHEMENTS DYSTOCIQUES AU CENTRE DE SANTE MATERNEL ET INFANTILE (CSMI) DE LUBAO, EN REPUBLIQUE DEMOCRATIQUE DU CONGO." Tanganyika Journal Of Science 2, no. 1 (2022): 17–24. http://dx.doi.org/10.59296/tgjs.2221033.

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RESUME Introduction : Les accouchements dystociques constituent un problème majeur de santé publique, surtout dans les pays en voie de développement situés au Sud du Sahara, comme la République Démocratique du Congo où les soins obstétricaux de qualité demeurent rares en milieu rural. La gravité des accouchements dystociques est liée aux taux de mortalité et morbidité qui les accompagnent dans un contexte de ressources limitées. L’objectif de cette étude est de déterminer la fréquence des accouchements dystociques, le terrain le plus vulnérable et le mode de prise en charge le plus utilisé. Mé

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Chowdhury, Uttam. "Regulation of transgelin and GST-pi proteins in the tissues of hamsters exposed to sodium arsenite." International Journal of Toxicology and Toxicity Assessment 1, no. 1 (2021): 1–8. http://dx.doi.org/10.55124/ijt.v1i1.49.

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Hamsters were exposed to sodium arsenite (173 mg As/L) in drinking water for 6 days. Equal amounts of proteins from urinary bladder or liver extracts of control and arsenic-treated hamsters were labeled with Cy3 and Cy5 dyes, respectively. After differential in gel electrophoresis and analysis by the DeCyder software, several protein spots were found to be down-regulated and several were up regulated. Our experiments indicated that in the bladder tissues of hamsters exposed to arsenite, transgelin was down-regulated and GST-pi was up-regulated. The loss of transgelin expression has been report

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Slime, Badreddine. "Concentration Risk Under the Default Risk Charge (DRC)." SSRN Electronic Journal, 2017. http://dx.doi.org/10.2139/ssrn.3101344.

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Slime, Badreddine. "Modeling the Default Risk Charge (DRC) Using the Intensity Model." SSRN Electronic Journal, 2018. http://dx.doi.org/10.2139/ssrn.3273825.

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Xiao, Tim. "Incremental Risk Charge Methodology." SSRN Electronic Journal, January 1, 2009. https://doi.org/10.2139/ssrn.2426836.

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In this paper, we present a methodology for calculating IRC. First, a Merton-type model is introduced for simulating default and migration. The model is modified to incorporate concentration. The calibration is also elaborated. Second, a simple approach to determine market data, including equity, in response to default and credit migration is presented. Next, a methodology toward constant level of risk is described. The details of applying the constant level of risk assumption and aggregating different subportfolios are addressed. Finally, the empirical and numerical results are presented.

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Xiao, Tim. "Incremental Risk Charge Methodology." October 5, 2020. https://doi.org/10.5281/zenodo.4067123.

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The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and concentration in an integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assum

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Xiao, Tim. "Incremental Risk Charge Methodology." February 18, 2019. https://doi.org/10.5281/zenodo.2572029.

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<strong>ABSTRACT</strong> The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and concentration in an integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be generated. The second Monte Carlo simulation is the random draws based on the co

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Gunn, Christopher M., Alok Johri, and Marc-André Letendre. "Charge-offs, Defaults and the Financial Accelerator." B.E. Journal of Macroeconomics, August 2, 2022. http://dx.doi.org/10.1515/bejm-2021-0078.

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Abstract U.S. banks countercyclically vary the ratio of charge-offs to defaulted loans (COD) and the standard deviation of COD is roughly 15 times that of GDP. We show that canonical financial accelerator models cannot explain these facts, but introducing stochastic default costs and stochastic risk can potentially resolve the discrepancy. Estimating the augmented model and including both surprise and news shocks reveals that default cost news shocks account for most of the variance of COD. Also, in the many model specifications we work with, default cost news shocks always account for at leas

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Wilkens, Sascha, and Mirela Predescu. "Model Risk in FRTB: The Case of the Default Risk Charge." SSRN Electronic Journal, 2017. http://dx.doi.org/10.2139/ssrn.3053426.

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MATUMUENI, NSONA Jiguelle. "CREDIT RISK ASSESSMENT OF COMMERCIAL BANKS IN THE DEMOCRATIC REPUBLIC OF CONGO." July 14, 2022. https://doi.org/10.5281/zenodo.6831723.

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The normal functioning of any company involves interactions with financial institutions. Thus, they often resort to external financing, mainly the bank. In reality, the bank is not totally assured of being reimbursed for any credit granted. It finds itself in various situations, either the credit contracted is not repaid, or it is only partially repaid, or it is not repaid on time. It is this non- payment that is known as credit risk, which is much more random, significant and poorly handled, leading several banks to default. Given that, in the business of commercial banks, the granting of loa

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Edward, Yeboah, Oppong-Mensah Nicholas, and Korley Amartey Benjamin. "Credit Risk in Microfinance Institutions: Empirical Evidence from Accra Metropolis of Ghana." Journal of Economics and Business 1, no. 3 (2018). https://doi.org/10.31014/aior.1992.01.03.23.

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This study investigates the credit risk in the Microfinance Industry in Ghana using Microfinance Institutions (MFIs) in Accra Metropolis as the test case. The study used the loan default rate as a proxy variable to measure credit risk and examined the effect of some explanatory variables on loan default. Primary data was used, and the purposive sampling techniques were adopted to select 90 respondents from 20 Microfinance Institutions out of 43. The multivariate linear regression model was used to analyze the relationship between the dependent and explanatory variables. The results indicated t

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Javadi, Siamak, and Theophilus Osah. "Credit risk correlation and the cost of bank loans." Financial Management, June 27, 2024. http://dx.doi.org/10.1111/fima.12467.

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AbstractUsing several approaches to compute firms’ credit risk correlation, we provide robust empirical evidence that lenders charge higher loan spreads to borrowers with higher credit risk correlation. Consistent with the theoretical literature, we find that the credit risk correlation effect is concentrated in investment‐grade firms, driven by tightening lending conditions, and more pronounced for firms with higher rollover risk. We also show that banks whose borrowers have higher average credit risk correlation, have greater default risk themselves. Overall, our results indicate that banks

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Wilkens, Sascha, and Mirela Predescu. "Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge." Journal of Risk Model Validation, 2018. http://dx.doi.org/10.21314/jrmv.2018.198.

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Nguyen, Duc Duy, Steven Ongena, Shusen Qi, and Vathunyoo Sila. "Climate Change Risk and the Cost of Mortgage Credit." Review of Finance, March 4, 2022. http://dx.doi.org/10.1093/rof/rfac013.

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Abstract We show that lenders charge higher interest rates for mortgages on properties exposed to a greater risk of sea level rise (SLR). This SLR premium is not evident in short-term loans and is not related to borrowers’ short-term realized default or creditworthiness. Further, the SLR premium is smaller when the consequences of climate change are less salient and in areas with more climate change deniers. Overall, our results suggest that mortgage lenders view the risk of SLR as a long-term risk and that attention and beliefs are potential barriers through which SLR risk is priced in reside

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Beer, Yishai. "The Taxation of Interest Swaps and the Financial Service Charge: Toward a Consistent Approach." Florida Tax Review 1, no. 12 (2022). http://dx.doi.org/10.5744/ftr.1994.1122.

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The Supreme Court has defined interest as "compensation for the use or forbearance of money."' This definition, and its subsequent interpretation by the courts, requires a direct link between the payment of "compensation" and the "use of money." This link has created a distortion in the current U.S. tax treatment of the administrative cost component of interest and its "financial service charge" substitute, and ambiguity with regard to the taxation of interest swaps.Economically, interest consists, in part, of compensation given to a saver-lender for forgoing current consumption in favor of an

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