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Dissertations / Theses on the topic 'Financial and credit risk'

Author: Grafiati

Published: 28 May 2022

Last updated: 31 July 2025

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1

Martins, Joana Sofia Luís. "Credit risk of financial institutions." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11692.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>Although there is substantial literature on credit risk, studies often do not consider financial institutions. However, considering that several entities are exposed to these institutions, namely through the counterparty role that they play, it is of major relevance the accurate assessment of its credit risk. As such, this study aims at analysing three different models to measure credit risk of financial institutions and conclude which one best

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2

Sewnath, Neville. "Pricing of credit risk and credit risk derivatives : from theory to implementation." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/5614.

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3

Cecchetti, Sara. "An analysis of credit risk financial indicators." Doctoral thesis, Luiss Guido Carli, 2011. http://hdl.handle.net/11385/200885.

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4

Kornmann, Lauren. "Evaluating financial risk with investment guidelines." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/34149.

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Master of Agribusiness<br>Department of Agricultural Economics<br>Allen M. Featherstone<br>Cash management practices for corporate treasurers are in a state of instability in recent years. Events during the credit crisis of 2008 have had an impact on how organization’s cash positions are managed. This has led corporate treasurers to juggle unprecedented amounts of cash across multiple bank counterparties and invest these funds based on previous investment policies with potentially inflexible limits. Many regulations have been passed to strengthen domestic and global financial systems, yet

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5

Lundström, Love, and Oscar Öhman. "Machine Learning in credit risk : Evaluation of supervised machine learning models predicting credit risk in the financial sector." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-164101.

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When banks lend money to another party they face a risk that the borrower will not fulfill its obligation towards the bank. This risk is called credit risk and it’s the largest risk banks faces. According to the Basel accord banks need to have a certain amount of capital requirements to protect themselves towards future financial crisis. This amount is calculated for each loan with an attached risk-weighted asset, RWA. The main parameters in RWA is probability of default and loss given default. Banks are today allowed to use their own internal models to calculate these parameters. Thus hold ca

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6

Siu, Kin-bong Bonny. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B37727473.

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7

Onorato, Mario. "Essays on credit risk, risk adjusted performance and economic capital in financial institutions." Thesis, City University London, 2005. http://openaccess.city.ac.uk/8452/.

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This dissertation consists of three autonomous essays, discussing the following topics: 1. the pricing of defaultable bonds, loans and plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank assets and the operation of bank business units.

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8

Martinez, John Brett. "Credit card credit scoring and risk based lending at XYZ Credit Union." CSUSB ScholarWorks, 2000. https://scholarworks.lib.csusb.edu/etd-project/1752.

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9

Kryukova, Marina. "An empirical investigation of credit risk markets during financial crisis." Thesis, Cardiff University, 2014. http://orca.cf.ac.uk/68077/.

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This thesis addresses several issues in credit risk modelling through an empirical investigation of the two main markets where this risk is traded, namely corporate bond market and CDS market. In the first part, we investigate the main determinants of credit spreads in US and UK corporate bond markets between 2003 and 2011. We explore the effect of various factors predicted by structural form models on corporate bond yield spreads. In addition, we extend our investigation to credit spreads in the corresponding corporate CDS markets. Our analysis sheds light on interdependency between corporate

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10

Yousefi, Sepehr. "Credit Risk Management in Absence of Financial and Market Data." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188800.

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Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. Globalization causes economises to be affected by innumerous external factors and companies to become interdependent, which in turn enlarges the complexity of establishing reliable mathematical models. The precarious situation is exacerbated by the fact that managers often suffer from the lack of data. The default correlations are most often calibrated by either us

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11

Ikpe, Dennis Chinemerem. "Compound Lévy random bridges and credit risky asset pricing." Doctoral thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20681.

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In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive

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12

Rosário, João David Claro Ferreira do. "Credit risk and banking activities." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12580.

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Mestrado em Finanças<br>O risco de crédito para o sector bancário é um assunto muito importante. Nesse sentido, é primordial adquirir ferramentas para medir este risco com algum grau de segurança de modo a ser possível tomar as decisões corretas sobre o crédito cedido a clientes. O objetivo deste trabalho é compreender o quão importante é o risco de crédito para as instituições financeiras e apresentar uma forma de o medir associado com o crédito a empresas, analisando um modelo de score para avaliar que o mesmo seja avaliado. Este trabalho também descreve as atividades desenvolvidas nos princ

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13

Mao, Mei Hui Jennifer. "Two essays on financial economics : I. Weighted utility, risk aversion and portfolio choice : II. Competitive bidding and interest rate formation in an informal financial market." Thesis, University of British Columbia, 1985. http://hdl.handle.net/2429/25936.

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This thesis consists of two essays. Each essay addresses a research problem involving some aspects of uncertainty and financial economics. Essay 1 deals with the general question of whether classical results in risk aversion and portfolio choice based on expected utility hypothesis are robust with respect to recent works in nonlinear utility theories generalizing expected utility. We investigate the implications of an axiomatic generalization called weighted utility theory along with the weaker, but unaxiomatized linear Gateaux utility. We establish the equivalence among three definitions of

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14

Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.

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15

Claesson, Johan. "Credit Risk Assessments of Swedish RealEstate Companies." Thesis, KTH, Fastigheter och byggande, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-124335.

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The real estate industry is a sector where the companies generally have a capital structure which is high leveraged. The financing – with the related terms – is therefore specifically of high importance for the companies in the sector. Traditionally, the way of obtain financing is by borrowing from the bank. Lately, due to new bank regulations, the banks have become more restrictive in their lending which have lead to a growth of other financing alternatives. For instance, the corporate bond market has grown rapidly. The development has increased the number who acts as lenders. Institutional i

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16

Tarca, Silvio. "Regulatory Capital Modelling for Credit Risk." Thesis, The University of Sydney, 2015. http://hdl.handle.net/2123/13926.

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Abstract. The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital modelling for credit risk, and extend the model specification of the IRB approach to a more general setting than the usual Gaussian case. It rests on the proposition that quantiles of the distribution of conditional expectation of portfolio percentage loss may be substituted for quantiles of the portfolio loss distribution. We present a more compa

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17

Toto, Andrea. "Three essays on liquidity and contagion." Doctoral thesis, Universitat Jaume I, 2016. http://hdl.handle.net/10803/386238.

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The present PhD thesis consists of three papers. In the 1st paper we review credit risk models and models of counterparty risk and contagion and their application in credit risk management, and compare the two primary types of models in the literature that attempt to describe default processes for debt obligations and other defaultable financial instruments , usually referred to as structural and reduced-form (or intensity) models. We discuss challenges and possible progresses to be made in closing the distance between structural and reduced-form models in modeling counterparty and credit risk

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18

Poramapojn, Pituwan Ratti Ronald. "On- and off-balance sheet credit risk and capital in U.S. banks evidence of unbalanced panel data /." Diss., Columbia, Mo. : University of Missouri--Columbia, 2009. http://hdl.handle.net/10355/6174.

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Title from PDF of title page (University of Missouri--Columbia, viewed on Feb 16, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Dissertation advisor: Dr. Ronald Ratti. Vita. Includes bibliographical references.

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19

Varotto, Simone. "The measurement and regulation of credit and market risk in financial institutions." Thesis, Birkbeck (University of London), 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.401810.

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20

Akins, Brian Keith. "Financial reporting quality and uncertainty about credit risk among the ratings agencies." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/77816.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2012.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 46-53).<br>I study whether financial reporting quality resolves uncertainty about credit risk by examining how it affects disagreement between rating agencies. I find better reporting quality is associated with less uncertainty about credit risk as captured by disagreement about ratings between the agencies. Further, my results are consistent with reporting quality becoming more important in reducing uncertainty when an ag

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21

Toews, Bruce J. "Differences in Financial Performance and Risk Tolerance at Faith-Based Credit Unions." ScholarWorks, 2015. https://scholarworks.waldenu.edu/dissertations/1805.

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In the United States, faith-based and other small credit unions are vanishing at the rate of nearly a credit union each workday. The purpose of this causal-comparative study was to provide managers of faith-based credit unions with information about differences in financial performance and risk tolerance between faith-based and non-faith-based credit unions in order to improve their investment strategy and long-term sustainability. The study included a comparison of ratios measuring the financial performance and risk tolerance of randomly selected faith-based credit unions in the United States

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22

Schutte, Philippus Jacobus Wilhelmus. "A risk mitigation tool for merchant selection." Thesis, Nelson Mandela Metropolitan University, 2010. http://hdl.handle.net/10948/1382.

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Organisations or individuals that lend money (banks and micro lenders) or that sell goods on credit (retailers) are classified as credit providers. The debtor enters into a contractual agreement with a credit provider, or creditor, with the obligation to repay the loan amount, fees and interest according to a predetermined schedule. The contractual agreement, also known as a credit agreement, is as a general rule very complex. Legislation protecting debtors in various ways is an international phenomenon. In South Africa, the National Credit Act, Act 34 of 2005 (NCA) was enacted in 2005. The NC

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23

Thorum, Mark Stuart. "Essays in International Financial Governance." Diss., Virginia Tech, 2015. http://hdl.handle.net/10919/81430.

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The 2008 financial crisis revealed systemic weaknesses in the global financial architecture, gave rise to the most severe economic collapse since the Great Depression and engendered a fundamental shift in the prevailing consensus on financial governance. It reminded us of the fragility of the international financial system and the politically unacceptable costs to society when it fails. This dissertation adds to the literature on the governance of private and public sector financial institutions. It presents a conceptual framework of linkage between the governance of financial institutions, sy

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24

Weber, Stefan. "Measures and models of financial risk." Doctoral thesis, [S.l. : s.n.], 2004. http://deposit.ddb.de/cgi-bin/dokserv?idn=973223421.

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25

Laureano, Graziella Lage. "Sale of credit portfolio and risk: the case of financial institutions in Brazil." reponame:Repositório Institucional do FGV, 2009. http://hdl.handle.net/10438/4671.

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Made available in DSpace on 2010-04-20T20:14:33Z (GMT). No. of bitstreams: 1 61070100623.pdf: 435548 bytes, checksum: b66651487a8f6639fd39ff2b9bf5d7ad (MD5) Previous issue date: 2009-04-17T00:00:00Z<br>This study examines whether the sale of credit portfolios are used by financial institutions for risk management, according to Stanton (1998) and Murray (2001) or to capture resources, as indicated in Cebenoyan and Strahan (2001) and Dionne and Harchaoui (2003). Two hypotheses on credit portfolio sales were tested: 1) promote rating improvement to the remaining portfolio, or 2) drive to fina

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26

Köhler, Philip. "Modeling Credit Risk for end-customer financing." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124094.

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27

Leniec, Marta. "Information and Default Risk in Financial Valuation." Doctoral thesis, Uppsala universitet, Tillämpad matematik och statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-287364.

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This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. Namely, Paper I deals with valuation of a game version of a perpetual American option where the parties disagree about the distributional properties of the underlying process, Papers II and III investigate pricing of default-sensitive contingent claims, Paper IV treats CVA (credit value adjustment) modellin

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28

Eveline, Ngwa. "Credit Risk Management In Banks As Participants In Financial Markets. : A qualitative study of the perception of bank managers in Sweden (Umeå region)." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-47277.

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Despite the vital role that banks play in Financial markets (FM) by connecting lenders to borrowers, instability in these financial markets, currency values and the global environment has affected the profitability of banks with those in Sweden inclusive. Most if not all companies including banks go into business because they want to create value. The banks like other firms thus look for ways to manage their risks while striving to improve productivity and performance for this value to be created. This productivity only comes when the banks give credits to customers from money deposited by sha

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29

Chen, Xiaofen. "Financial Liberalization, Competition and Sound Banking: Theoretical and Empirical Essays." Diss., Virginia Tech, 2001. http://hdl.handle.net/10919/28595.

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Previous studies seem to agree that increased competition would cause riskier banking behavior. This dissertation shows that when competition intensifies, banks have greater incentives for screening loan applicants, and thus loan quality may improve. In addition, competition fosters banks to rely less on collateral requirements. Hence, banks may be less vulnerable to asset price shocks. The empirical chapter finds evidence of loan quality improvement after removing cross-border entry restrictions in the EU. There is also evidence that banks' behavior across EU countries has converged.<br>Ph. D

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30

Vashkevich, Aliaksandra, and Dong Wei Hu. "Credit Default Swap in a financial portfolio: angel or devil? : A study of the diversification effect of CDS during 2005-2010." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-39410.

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Credit derivative market has experienced an exponential growth during the last 10 years with credit default swap (CDS) as an undoubted leader within this group. CDS contract is a bilateral agreement where the seller of the financial instrument provides the buyer the right to get reimbursed in case of the default in exchange for a continuous payment expressed as a CDS spread multiplied by the notional amount of the underlying debt. Originally invented to transfer the credit risk from the risk-averse investor to that one who is more prone to take on an additional risk, recently the instrument ha

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31

Hörstedt, Maria, and Johanna Linjamaa. "Credit Risk Evaluation of Swedish SMEs : A Banking Sector Perspective." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-107969.

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As a result from the latest financial crisis, the banking industry has undergone major modifications during the last years in order to limit banks’ risks. A vast majority of existing literature tends to focus upon credit risk evaluation methods and techniques mainly concerning quantitative measures and large companies. Thus, the lack of research regarding credit risk evaluation of SMEs is profound, especially considering Sweden. With the dominant market share of SMEs compared to large corporations the authors found it interesting to further explore this area of the credit assessment process as

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32

Wu, Weiou. "Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/4048.

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This thesis investigates correlations and linkages in credit risk that widely exist in all sectors of the financial markets. The main body of this thesis is constructed around four empirical chapters. I started with extending two main issues focused by earlier empirical studies on credit derivatives markets: the determinants of CDS spreads and the relationship between CDS spreads and bond yield spreads, with a special focus on the effect of the subprime crisis. By having observed that the linear relationship can not fully explain the variation in CDS spreads, the third empirical chapter invest

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33

Bernstein, Elan M. "The Impact of Credit Default Swap Introduction on Firm Systematic Risk." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1063.

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This paper empirically explores how the introduction of Credit Default Swap (CDS) trading affects firm systematic risk. By treating the introduction as an event study and imploring propensity score matching and difference-in-differences analysis, this research finds that firm exposure to market risk increases after the introduction of CDS instruments, controlling for higher debt levels. These findings change, however, in times of financial crisis when the impact of CDS trading actually reduces systematic risk. These results show that CDS introduction enables a firm to more dramatically change

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Gueye, Djibril. "Some contributions to financial risk management." Thesis, Strasbourg, 2021. http://www.theses.fr/2021STRAD027.

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Cette thèse traite différentes questions liées à la gestion quantitative des risques financiers. Nous nous intéressons, dans une première partie, aux modèles de temps de défaut en risque de crédit dans le cadre de la théorie de grossissement de filtrations. Nous proposons des modèles où le temps de défaut peut coïncider avec des instants de chocs économiques. D’abords, nous étendons le modèle de Jiao et Li (2018) dans le cas où les chocs ne sont pas prévisibles en étudiant les caractéristiques du temps de défaut. Nous présentons ensuite le modèle de Cox généralisé qui est une extention de celu

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Wilson, Theresa M. "The Effects of Gender, Age, Education, and Risk Tolerance on Credit Card Balances." Miami University Honors Theses / OhioLINK, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=muhonors1209148205.

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36

Ilerisoy, Mahmut. "Essays on liquidity risk, credit market contagion, and corporate cash holdings." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1855.

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This thesis consists of three chapters and investigates the issues related to liquidity risk, credit market contagion, and corporate cash holdings. The first chapter is coauthored work with Professor Jay Sa-Aadu and Associate Professor Ashish Tiwari and is titled ‘Market Liquidity, Funding Liquidity, and Hedge Fund Performance.’ The second chapter is sole-authored and is titled ‘Credit Market Contagion and Liquidity Shocks.’ The third chapter is coauthored with Steven Savoy and titled ‘Ambiguity Aversion and Corporate Cash Holdings.’ The first chapter examines the interaction between hedge fun

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37

Holmberg, Ulf. "Essays on credit markets and banking." Doctoral thesis, Umeå universitet, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-53494.

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This thesis consists of four self-contained papers related to banking, credit markets and financial stability. Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. We find evidence supporting the asset deterioration hypothesis and results that emphasize the importance of accurate firm quality estimates. In addition, we find that an increase in the debt’s time to maturity, homogenous expected default rates and a cons

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Hsu, Chih-Cheng, and 許志誠. "The Credit Risk of Financial Institutions." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/38684693155834179514.

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碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>92<br>This thesis surveyed the literature about the credit risk of financial insititutions in past few years. In chapter 1 we defined what is the credit risk and the types of the credit risk. We used the credit level indicator to measure the credit ridk in chapter 2. Then we introduced several model to manage the credit risk, include C-analysis, P-analysis, Z-Score, J.P. Morgan’s CreditMetrics, KMV, Mckinsey’ CreditPortfolioView and CSFB’s CreditRisk in chapter 3. In chapter 4 we discussed how the supervise the credit risk through Basel Accord. At last we made the

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Tsai, Ying-Hua, and 蔡櫻花. "DISCUSSION ON NETWORK FINANCIAL CREDIT RISK MANAGEMENT." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/h7m8j6.

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碩士<br>元智大學<br>管理碩士在職專班<br>105<br>Due to the vast territory of mainland China, the financial services are presently lack of convenience and popularity. Also, Chinese banks still mainly serve for local governments, large state-owned enterprises and listed companies, so that a large number of small and medium enterprises and individuals borrowing needs had not be satisfied. Since 2005, some non-financial industries have started to operate the Internet financial business. With the development of Internet technology and the rapid growth of P2P network borrowing, the convenience of the network has s

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Kuan, Min-Hui, and 官旻慧. "Measuring Corporate Credit Risk by Financial Ratios." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/97538638016139532351.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>93<br>This thesis tests the prediction power of models assessing the probability of business financial failures. Specifically, discriminant analysis and logistic model are used to examine Taiwan’s data. Past studies have documented important variables to predict business financial distress. The most popularly used ones are either (1) five standard financial ratios, including liquidity, profitability, leverage, solvency, and activity ratios or (2) the above five financial ratios plus the cash flow ratio. This thesis tests the performance of the two groups of vari

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Neto, Tiago Alexandre Sezinando. "Assessing the credit risk of financial institutions." Master's thesis, 2014. http://hdl.handle.net/10451/11793.

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Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2014<br>Esta tese analisa a performance do uso da Distance to Default , uma medida da estabilidade financeira de um banco baseada no modelo de Merton, através da Análise ROC, uma técnica para medir a fiabilidade de um método de diagnóstico usada nas mais diversas disciplinas, desde a medicina até à robótica. Concluímos que a Distance to Default de uma instituição financeira produz bons resultados na previsão da ocorrência de problemas financeiros nessa instituição. Estes problemas

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Neuberg, Richard. "Advances in Credit Risk Modeling." Thesis, 2017. https://doi.org/10.7916/D84T6JZ0.

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Following the recent financial crisis, financial regulators have placed a strong emphasis on reducing expectations of government support for banks, and on better managing and assessing risks in the banking system. This thesis considers three current topics in credit risk and the statistical problems that arise there. The first of these topics is expectations of government support in distressed banks. We utilize unique features of the European credit default swap market to find that market expectations of European government support for distressed banks have decreased -- an important deve

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Du, Yibing. "Price discovery of credit risk." 2009. http://hdl.handle.net/10106/1639.

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Huang, Yen-Po, and 黃彥博. "Financial Report Readability, Risk Management Quality and Bank Credit Risk." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/18986953137786433275.

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碩士<br>輔仁大學<br>金融與國際企業學系金融碩士班<br>103<br>This paper explores the effects of financial report readability and the RMI (Risk Management Index) on the BHCs’ credit risk by U.S. BHCs data from year 2001 to 2013 which total assets were ever listed on the top 100 in the period. Empirical results of this study show that the readability of risk description items (Item 1A, Item 7A) is significantly and negatively related to BHCs’ credit risk. For the RMI variables, the existence of risk management function, the staffing of CRO, and the experience of directors in risk management committee are significantl

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rong, huang shuen, and 黃舜容. "Predicting Financial Distress for Merton's Credit Risk Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/39839533533542941930.

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碩士<br>國立高雄應用科技大學<br>金融資訊研究所<br>97<br>Credit Risk has been the great concern in the financial market. In this thesis we first use the discriminate analysis based on accounting data,the model chooses five financial ratios that cover the corporate operation and financial situation. They are earnings per share, operating cash flow to total debt, equity substantial growth rate,and average days to accounts receivable（totally five variables）. The second, we try to combine this financial accounting analysis that we so called Local Z-Score Model and Merton model into a Hybrid model of credit risk measu

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Shang-JungYeh and 葉上戎. "Weighted Random Forests for Evaluating Financial Credit Risk." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/923j7c.

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Di, Tommaso Caterina. "Different measures of credit risk: comparison between credit rating and CDS." Thesis, 2017. http://hdl.handle.net/10955/1718.

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Dottorato di ricerca in Scienze economiche e aziendali, XXIX ciclo<br>Il rapido ritmo di innovazione finanziaria che ha avuto luogo nel corso dell’ultimo decennio ha portato ad una proliferazione di nuovi e sempre pi`u sofisticati prodotti finanziari che hanno reso il sistema finanziario incline al contagio e hanno aumentato il rischio sistemico. Inoltre, la natura globale della crisi finanziaria statunitense ha evidenziato l’integrazione delle economie e dei mercati. In questo contesto di maggiore complessit`a e integrazione, al fine di garantire la stabilit`a finanziaria dei mercati, co

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ZHOU, ZHI-LIN, and 周志霖. "The Credit Risk Research on Taiwan's 30 Blue Chip Index Company:Evidence from Credit Risk Index and Financial Warning Credit Ranking." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6ur35y.

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碩士<br>靜宜大學<br>會計學系<br>106<br>This study investigates the classification of credit risk on Taiwan credit risk index and financial warning credit ranking respectively by using discriminant analysis method. And at the same time included in the "credit risk level impact indicators" and "corporate governance indicators" to measure it. The empirical results are as followings: (1) When we adopt credit risk index as classified variables, the forecasting variables included total score of TCRI, CFO inconsistency, attendance of audit committee, board attendance rate, and manager's pledge rate, which woul

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Fulop, Andras. "Essays on structural credit risk modelling and financial econometrics." 2006. http://link.library.utoronto.ca/eir/EIRdetail.cfm?Resources__ID=449764&T=F.

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Cho, Hsiuying, and 卓秀穎. "Market Risk and Credit Risk of the Financial Holding Companies in Taiwan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/73799409952997145109.

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碩士<br>靜宜大學<br>會計學系<br>101<br>Taiwan financial holding companies after calls financial reform and innovation of financial products and services at the same time, how to strike a balance in the hold risky assets and the corresponding accounting capital or economic capital is the most important issue. Bank for International Settlements BASCEL III was launched in September 2010 to more targeted to make major changes to the relationship between the holdings of risk assets and economic capital, and implemented from January 1, 2013, the domestic financial sector is in the capital re-evaluate the prep

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