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Dissertations / Theses on the topic 'Individual credit risk of the bank'

Author: Grafiati

Published: 28 May 2022

Last updated: 30 July 2025

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1

Верхуша, Н. П. "Механізм управління кредитним ризиком банку". Thesis, Українська академія банківської справи Національного банку України, 2012. http://essuir.sumdu.edu.ua/handle/123456789/51294.

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Дисертація присвячена розробці науково-методичних підходів і практичних рекомендацій щодо формування механізму управління кредитним ризиком банку в умовах значної волатильності зовнішнього середовища та обмеженості ресурсів для подолання наслідків реалізації таких ризиків. На основі узагальнення результатів наукових досліджень було визначено сутність понять “кредитний ризик банку”, “індивідуальний кредитний ризик банку”, “портфельний кредитний ризик банку”, розроблено авторську класифікацію видів кредитного ризику банку, систематизовано фактори, що визначають рівень кредитного ризику банку,

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2

Гудименко, С. Ю. "Удосконалення управління індивідуальним кредитним ризиком позичальника банку". Master's thesis, Українська академія банківської справи Національного банку України, 2014. http://essuir.sumdu.edu.ua/handle/123456789/49647.

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Важливу роль у стимулюванні відтворюваних процесів в економіці відіграє банківський кредит, який є джерелом забезпечення грошовими ресурсами як фізичних так і юридичних осіб. Тому, одним із найважливіших завдань банківського сектору є створення системи ефективного кредитування, адже саме кредитні операції є головним джерелом доходів. Але, водночас, кредитна діяльність є й головним джерелом ризиків, на які наражається кожний банк в процесі своєї діяльності. Отже, виникає необхідність мінімізації та своєчасної ідентифікації кредитного ризику на рівні окремого позичальника. Саме тому, удосконален

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3

Овчаренко, О. В. "Управління індивідуальним кредитним ризиком в банку". Master's thesis, Сумський державний університет, 2020. https://essuir.sumdu.edu.ua/handle/123456789/79708.

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В роботі автор поглиблює теоретичні засади управління вндивідуальним кредитним ризиком, досліджує науково-методологічні підходи до вирішення проблеми та надає рекомендації щодо управління індивідуальним кредитним ризиком.<br>В работе автор углубляет теоретические основы управления вндивидуальним кредитным риском, исследует научно-методологические подходы к решению проблемы и дает рекомендации по управлению индивидуальным кредитным риском.<br>In this work, the author deepens the theoretical foundations of individual credit risk management, explores scientific and methodological approaches to so

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4

Тарасов, С. Р. "Управління індивідуальним кредитним ризиком в умовах циклічності економіки". Master's thesis, Сумський державний університет, 2018. http://essuir.sumdu.edu.ua/handle/123456789/71071.

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На основі огляду вітчизняних та іноземних джерел було досліджено поняття індивідуального кредитного ризику банку; доведено вплив економічного циклу на кредитування; на основі звітності банків України визначено циклічні галузі економіки; запропоновано розраховувати показник концентрації галузевого кредитування, на основі якого банк зможе коригувати свою кредитну політику враховуючи можливі коливання економічного циклу і, як наслідок, попереджувати настання наслідків кредитного ризику.<br>На основе обзора отечественных и иностранных источников было исследовано понятие индивидуального кредитного

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5

Takang, Felix Achou, and Claudine Tenguh Ntui. "Bank performance and credit risk management." Thesis, University of Skövde, School of Technology and Society, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-1318.

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<p>Banking is topic, practice, business or profession almost as old as the very existence of man, but literarily it can be rooted deep back the days of the Renaissance (by the Florentine Bankers). It has sprouted from the very primitive Stone-age banking, through the Victorian-age to the technology-driven Google-age banking, encompassing automatic teller machines (ATMs), credit and debit cards, correspondent and internet banking. Credit risk has always been a vicinity of concern not only to bankers but to all in the business world because the risks of a trading partner not fulfilling his oblig

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6

Erlenmaier, Ulrich. "Risk management in banking credit risk management and bank closure policies /." [S.l. : s.n.], 2001. http://deposit.ddb.de/cgi-bin/dokserv?idn=963752502.

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7

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 decisi

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8

Akwaa, Sekyi Ellis Kofi. "Essays on bank internal governance and credit risk." Doctoral thesis, Universitat de Lleida, 2019. http://hdl.handle.net/10803/666178.

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Aquesta tesis pretén explorar els determinants del incompliment de préstecs bancaris i la relació entre els controls interns, les característiques del consell d’administració i del risc de crèdit en la banca europea. Dades primàries i dades de panell de Ghana i Europea respectivament varen ser utilitzades en un anàlisi quantitatiu mitjançant models OLS, GLS, 2-SLS i GMM per abordar la endogeneïtat. La propietat, les característiques dels préstecs, prestataris i prestadors, així com factores macroeconòmics i factors específics dels bancs són determinants significatius del incompliment del prést

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9

Grundke, Peter. "Integrated market and credit portfolio models : risk measurement and computational aspects /." Wiesbaden : Gabler, 2008. http://d-nb.info/987215159/04.

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10

Penalver, Adrian. "Essays on bank credit risk managment with long-term lending." Paris, EHESS, 2015. http://www.theses.fr/2015EHES0104.

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Au cours d'un prêt à long terme, la capacité d'un emprunteur à rembourser peut varier considérablement. En tout temps, l'emprunteur connait sa capacité de remboursement, mais s'il est coûteux pour la banque de la connaître, elle ne surveillera les prêts individuels que sporadiquement. Cette thèse propose un modèle théorique statique qui explore comment une banque qui maximise ses bénéfices choisit l'intensité de surveillance et un seuil de rentabilité minimale pour lequel le prêt est maintenu. Le modèle est ensuite utilisé pour montrer que l'assouplissement des conditions d'octroi de crédit et

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11

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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12

Ezz, Lama. "Asset securitisation and EU bank credit risk behaviour : a stakeholder theory perspective." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/14593.

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This study aims to investigate the effectiveness of using asset securitisation as risk management technique in banks. This study examines the direct impacts of asset securitisation on the riskiness of banks’ loan portfolios as well as the indirect impacts on the subsequent financial stability. This study also tests the changes in banks’ equity capital and liquidity as a result of using asset securitisation in order to understand their potential contributions to the examined bank risk behaviour. Furthermore, this study tests the impacts of adopting the Basel capital requirements on banks’ expos

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13

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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14

Grundke, Peter. "Integrated market and credit portfolio models risk measurement and computational aspects." Wiesbaden Gabler, 2006. http://d-nb.info/987215159/04.

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15

Hussain, Mohammed Ershad. "Capital Regulation, Risk-Taking, Bank Lending and Depositor Discipline." ScholarWorks@UNO, 2007. http://scholarworks.uno.edu/td/568.

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In this dissertation we investigate different aspects of capital regulations and their impact on the behavior of commercial banks. In chapter two, we foucs on the impact of capital regulations on risk-taking of commercial banks in developed and developoing countries separately and togahter. We find that such regulations indeed reduce the risk taking of commercial banks. At the same time, we examine the relationship between capital ratios and risk taking. In line with previous literature, we find that this ratio is negative also. Further examinations including the degree of liberalization and t

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16

Ognev, Denis. "Audit bank v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-203733.

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This diploma thesis deals with external audit of banks in Czech Republic. The main objective of this thesis is to describe in detail the techniques, strategy and methods which are used by the external auditor during the engagement and to compare them with those used in internal audit. The main emphasis during the stage of interim audit is put on control of risk management activities. The first part of this diploma thesis is devoted to theoretical issues and legal aspects of audit profession. Specific characteristics of banking institutions audit including major risks and the scope of external

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17

Mählmann, Thomas. "Development and risk quantification of internal credit rating systems /." [Köln] : [s.n.], 2005. http://www.gbv.de/dms/zbw/517218674.pdf.

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18

Bramma, Keith Michael. "AN EVALUATION OF BANK CREDIT POLICIES FOR FARM LOAN PORTFOLIOS USING THE SIMULATION APPROACH." University of Sydney, Department of Agricultural Economics, 1999. http://hdl.handle.net/2123/400.

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The aim of this study is to evaluate the risk-return efficiency of credit policies for managing portfolio credit risk of banking institutions. The focus of the empirical analysis is on the impact of risk pricing and problem loan restructuring on bank risk and returns using a simulation model that represents an operating environment of lenders servicing the Australian farm sector. Insurance theory principles and agency relationships between a borrower and a lender are integrated into the portfolio theory framework. The portfolio theory framework is then couched in terms of the capital budget

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19

Yao, Xiao. "Modelling loss given default of corporate bonds and bank loans." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/26020.

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Loss given default (LGD) modelling has become increasingly important for banks as they are required to comply with the Basel Accords for their internal computations of economic capital. Banks and financial institutions are encouraged to develop separate models for different types of products. In this thesis we apply and improve several new algorithms including support vector machine (SVM) techniques and mixed effects models to predict LGD for both corporate bonds and retail loans. SVM techniques are known to be powerful for classification problems and have been successfully applied to credit s

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20

Barton, Amanda. "Split credit ratings and the prediction of bank ratings in the Basel II environment." Thesis, University of Southampton, 2006. https://eprints.soton.ac.uk/210217/.

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This thesis investigates two aspects of credit risk measurement in the context of Basel 11: The International Convergence of Capital Measurement and Capital Standards. The first is the problem arising when two credit rating agencies disagree over the rating assigned to an issuer and a split rating arises. The second area is the determination of internal credit rating models for use under the Internal ratings-based approach. This thesis presents a variety of bank rating modes for individual and long term ratings across different agencies and regions. Using an extensive database of credit rating

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21

Habara, Mohamed A. "Credit Risk Modelling in a Developing Economy: The Case of Libya." Thesis, Griffith University, 2010. http://hdl.handle.net/10072/366734.

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This thesis reviews, applies and evaluates the ability of credit scoring models to quantify the credit risk of personal loans in Libya. After discussing the various theoretical and practical issues involved in credit risk modeling, the thesis first provides an overview of the main characteristics of the evolving consumer banking system in Libya, with a particular emphasis on the procedures currently applied by Libyan commercial banks when making decisions granting personal credit. Attention is especially given to the limitations of the credit assessment process currently employed by Libyan ban

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22

Д'яконов, К. М. "Концептуальні напрямки управління кредитним ризиком у комерційному банку". Thesis, Українська академія банківської справи Національного банку України, 2008. http://essuir.sumdu.edu.ua/handle/123456789/62077.

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Ефективне формування кредитно-інвестиційного портфеля банку є основною запорукою його успішної діяльності на ринку банківських послуг.<br>Effective formation of a loan and investment portfolio of the bank is the main guarantee of its successful activity in the banking services market.

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23

Кузьменко, С. В. "Методи управління кредитним ризиком банку". Thesis, Глобус-Прінт, 2012. http://essuir.sumdu.edu.ua/handle/123456789/57737.

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24

Прийдун, Л. М. "Взаємозв'язок кредитного та інших видів ризиків банківської діяльності та їх вплив на ефективну роботу банку". Thesis, Українська академія банківської справи Національного банку України, 2008. http://essuir.sumdu.edu.ua/handle/123456789/61896.

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Банківську діяльність неможливо уявити без ризику, оскільки він є складовою функціонування банку. Зважаючи на те, що кредити є найприбутковішими та наймасштабнішими банківськими активами (складають приблизно 80 % від всіх активів банку), то логічно припустити, що найвагомішими серед ризиків є кредитні.

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25

Бойко, С., та С. О. Богомаз. "Дослідження рівня портфельного кредитного ризику банків України". Thesis, Національний університет «Львівська політехніка», 2012. http://essuir.sumdu.edu.ua/handle/123456789/63919.

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Автори досліджують стан та методичні основи управління портфельним кредитним ризиком в банках України.<br>The authors examine the status and methodological foundations of portfolio credit risk in banks of Ukraine.

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26

Paulauskienė, Sandra, and Giedrė Jašmontaitė. "AB DnB NORD Banko kreditavimo paslaugų analizė ir perspektyvos." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2009~D_20090909_091221-45926.

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Magistro darbe yra suformuluoti Lietuvoje veikiančių bankų fizinių ir juridinių asmenų kreditavimo principai ir būdai, išanalizuoti ir susisteminti įvairių Lietuvos ir užsienio autorių teoriniai ir praktiniai bankų kredito valdymo metodai, pateikti populiariausi kredito rizikos valdymo metodai, įvertinti kreditavimo paslaugų analizei taikytini metodai. Išsamiai atlikta AB DnB NORD banko kreditavimo paslaugų analizė, bei numatytos kreditavimo prognozės. Patvirtinama autorių suformuluota mokslinio tyrimo hipotezė, kad AB DnB NORD banko kredito rizikos valdymas turi būti gerinamas, taikant įvaire

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27

Chen, Jo-Yi, and 陳若儀. "On the study of Credit Risk for Individual Credit Card:Case on a Bank." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/44273719464082157365.

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碩士<br>銘傳大學<br>風險管理與保險學系碩士在職專班<br>98<br>In the present study, we try to make use of the model established with the credit risk fundamental elements to select the significant factors that would affect cardholders into a breach of contract. In recent years amidst the continually mounting inflation and unemployment, cardholders significantly lack desire to use credit cards into consumption, leading to a remarkable impact upon the credit card markets. Will the macro-financial ambiance be continually declining in the future? All financial institutions are earnestly advised to work out the pre-alar

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28

Hsu, Hung-Chia, and 許弘佳. "Exploring the Bank to Evaluate Indicators of Individual Credit Risk by Delphi Method." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/62821141099776914428.

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碩士<br>崑山科技大學<br>企業管理研究所<br>98<br>As the banks focus on the loan to transfer from commercial loan to personal credit loan gradually, the banking of personal credit loan made both the banks and the economy growth to bring the effect directly. However increasing the banking of personal credit loan simultaneously, it also betrays to the critical problems what the borrower default on loan gradually. The theme of this study, the “Delphi method to explore the banking sector personal credit loan credit risk assessment indicators”, purpose, hope to “understand the banking sector personal credit loan cr

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29

Lu, Meng-Yu, and 呂孟育. "A Study of the Credit Risk Evaluation Individual Consumers Loans-an example of a Bank." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/11661030332902557688.

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碩士<br>國立中興大學<br>高階經理人碩士在職專班<br>96<br>Taiwan financial institutions are facing dual impact from double credit cards & Basel Capital Accord, and aware that by strict management and control during the entire customer life cycle will effectively reduce the operational risk and increase the overall profit. Consumer finance regardless of product sell, customer selection, customer management, by applying scientific ways to evaluate customers is the best practical example. To make use of various data collected daily by the bank for different application analysis in order to proceed rapidly, clearly an

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Cheng, Hsin-Yi, and 鄭心詒. "A Study on Credit Risk Assessment for Individual Real Estate Loans: Taking the Case Bank as an Example." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/z4wyx7.

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碩士<br>國立高雄第一科技大學<br>金融研究所<br>105<br>This study randomly selects 49 samples from the branch of the case bank in southern Taiwan, from January 2011 to December 2015, for individual real estate loans. Additionally, this study uses the Logistic regression analysis to identify significant variables affecting the credit risk of individual real estate loans. We include 14 explanatory variables: gender, occupation, age, marriage situation, education background, ratio of expenses to revenue, loan rate, loan term, loan amount, use of loan funds, grace period, with or without the use of credit card and c

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Liao, Hung-Wei, and 廖宏偉. "Countercyclical Buffer and Bank Credit Risk." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/22588652038010250929.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>101<br>Countercyclical buffer is proposed as a macro-prudential mechanism to alleviate the pro-cyclicality of credit supply. This paper aims to investigate the additional benefits from the countercyclical buffer. From the perspective of structural-from credit model, this paper investigates the effects of countercyclical buffer on bank credit risk. We employ a newly developed proxy to capture the countercyclical buffer before its implementation. Four different credit risk proxies suggested by previous studies are included in this paper. The empirical results show tha

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32

HSUEH, YU-CHIN, and 薛鈺錦. "Bank Credit Risk and Monetary Policy." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/61900729755417850691.

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碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士班<br>104<br>A procedure is estimated that Taiwan's domestic bank optimal credit risk in 2006-2014, and research the relationship between credit risk and monetary policy. Using ordinary least squares (OLS) of Panel data, plus the fixed effect of cross-section and whether plus the fixed effect of time or not to estimate optimal credit risk when bank profit maximization. Consider the problem of endogeneity, using generalized method of moments (GMM) estimate Panel data again. Based on bank must risk-taking to obtain profits, but when banks take too much risk, causing b

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33

Boiko, S. "Credit Risk Optimization." Thesis, 2013. http://essuir.sumdu.edu.ua/handle/123456789/63695.

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Автором розглянуті передумови та можливості використання окремих інструментів управління кредитним ризиком в банку.<br>The author reviewed the prerequisites and possibilities of the use of certain instruments of credit risk management in bank.<br>State Institution of Higher Education “National Mining University"

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34

Lu, Chi-Win, and 劉啟文. "Managing Bank Credit Risk-A comparison of internal credit scoring of Bank A and TCRI credit risk rating of Taiwan Economic Journal." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/t9p43e.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>93<br>Abstract Credit risk is one of the primitive and major risks that financial institutions should face in doing business. According to The New Basel Capital Accord, financial institutions use “internal credit scoring system” to analyze its credit risk, to optimize its capital input and improve its capital efficiency is a plus, e.g. it urges financial institutions to establish an internal credit scoring system based on its business strategy, scale, characters and risk-taking abilities to adopt a selected credit risk modeling, therefore, this model could support

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PENG, YA-CHI, and 彭雅琪. "THE RISK MEASUREMENT OF BANK REVOLVING CREDIT." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/56454932460288703923.

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碩士<br>國立臺北大學<br>統計學系<br>94<br>The main purpose of my thesis is to employ logistic regression to build a predictive model for bank credit risk management. With the establishment of the model, banks can not only take preemptive actions to reduce credit losses arising from defaults but also calculate the required capital and risk assets based on the risk weights set forth by the new Basel Capital Accord（Basel II）. The research is based on 2590 revolving credits from X bank during 2003 and 2005. These samples are divided into two data sets: the building data set for model training and the va

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Hsu, Yu-Fang, and 許瑜芳. "Credit Risk Measurement of Bank Loan Portfolios." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/81746323897966080911.

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碩士<br>輔仁大學<br>金融研究所<br>95<br>In order to adapt to the fast change of the financial environment, the Financial Supervisory Commission, Executive Yuan urges local banks to improve their risk management ability. However, most local banks are still in the initial stage of getting familiarized with credit risk models. Therefore, local banks are advised to take in the experience from the advanced credit risk models already developed by internationally acclaimed financial institutions in order to develop credit risk models suitable to their operations. The dissertation examines small and medium-sized

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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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HSU, SHU-HAO, and 許書豪. "Bank credit risk stress testing and Macroeconomic Factors." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/42709982597596251149.

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碩士<br>東吳大學<br>會計學系<br>101<br>Today's complex financial environment, banks are facing the risk of attention more than ever, stress tests assessing banks' own risk management is an important tool, according to the consortium Joint Credit Information Center in July 2010announced bank stress testing operational planning only with a gross domestic product (GDP), the house price level and the unemployment rate as the overall economic factors, to link corporate revenue, the collateral price and income changes as perform stress tests of reference, However, this approach may have general economic facto

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LIN, Mao-Hsaing, and 林茂祥. "Credit Scoring Model for Individual Loans：An Example of Commercial Bank." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/08784665500662804583.

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碩士<br>國立暨南國際大學<br>管理學院經營管理碩士學位學程碩士在職專班<br>98<br>In recent years, local banks have been pursuing ideal models for risk management. In the field of consumer loans, the issue of whether the credit scorecard is able to segment customers is especially important.In the past, most of the researches on this issue did not consider the influence of variable’s interaction effect on models when choosing variables. To take a further step, this research tries to find the variables which have interaction effect besides variables which is significant in default when analyzing the data of unsecured-loan custom

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Marimo, Mercy. "Survival analysis of bank loans and credit risk prognosis." Thesis, 2015. http://hdl.handle.net/10539/18597.

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A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of requirements for the degree of Master of Science. Johannesburg, 2015.<br>Standard survival analysis methods model lifetime data where cohorts are tracked from the point of origin, until the occurrence of an event. If more than one event occurs, a special model is chosen to handle competing risks. Moreover, if the events are defined such that most subjects are not susceptible to the event(s) of interest, standard survival methods may not be appropriate. This project is an appl

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Hsieh, Yuan-Feng, and 謝元峰. "The study of credit risk pricing of bank loans." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/17957844196598165256.

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碩士<br>東吳大學<br>國際貿易學系<br>92<br>When the banking industry deals with bank loan businesses，it is important that the banks can price a reasonable loan rate，and，in addition，they must measure the default risk of borrower carefully. Whether the interest spread can cover enterprises default risk will be an important topic. The research objects are the 32 domestic banks in Taiwan. The purpose is research the loan price of publishes（include listed corporations）in every different grades of Taiwan Corporate Credit Risk Index. In this resear

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Kuo, Wei-Ling, and 郭威伶. "Structural Models and Bank Credit Risk-- An Empirical Analysis." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/69753427539284596972.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>Most existing empirical studies on structural form credit models exclude bank industry because of its high leveraged capital structure. In this study, among the first few studies, we examine the prediction performance of four famous structural form models in bank credit risk. The models are Merton (M, 1974), Longstaff and Schwartz (LS, 1995), Leland and Toft (LT, 1996) and Collin-Dufresne and Goldstein (CDG, 2001). We use the bank data from the US to do this investigation. We find that the CDG model has the best prediction ability for the banks with low mean

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Kuo, Wei-Ling. "Structural Models and Bank Credit Risk-- An Empirical Analysis." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0907200716072200.

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Shih, Yi-chun, and 施易君. "An Investigation for the Credit Risk of Bank Mortgage." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/48230720480260293539.

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碩士<br>逢甲大學<br>經營管理碩士在職專班<br>99<br>Crediting is a major income for a bank, and as well a major service to its customers. So the quality of crediting assessment will effect directly to the business of bank. Via the study of a domestic bank, the purpose of this study is to examine quality of risk by the loan crediting assessment, to understand the various structure of the crediting assessment by some of the important variables, and to build up the credit assessment dimensions of an objective personal loans by the quantitative analysis technique algorithm of decision tree. In the long run, this st

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Branco, Ricardo Alfredo Teixeira da Costa. "The relationship between sovereign risk and bank risk." Master's thesis, 2016. http://hdl.handle.net/10400.14/21722.

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O principal objetivo desta dissertação passa por estudar empiricamente a relação entre o risco bancário e o risco soberano. Paralelamente, e controlando por variáveis micro e macroeconómicas, estudou-se ainda o efeito causado pela crise financeira e pelo programa de compra de obrigações hipotecárias por parte do Banco Central Europeu (BCE) no spread de crédito de obrigações emitidas por bancos da europa ocidental entre 1 de Janeiro de 2000 e 31 de Dezembro de 2011. A amostra utilizada, que serviu de base para a elaboração da análise empírica, é composta por 16,860 observações, dividindo-se em

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Huang, Tzu-yun, and 黃子芸. "The discussion of credit risk Under New Basel Capital Accord bank risk management." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/17248153853622280866.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>94<br>In recent years, the government gradually opens the new bank establishment, causes the financial organ to enter another competition the time. However because the petroleum crisis causes the inflation, the original material rise, the interest rate undulation to be frequent, the industrial field and the finance service sector''s control relaxes or relieves the limiting condition, causes many investments services multiplex, the negotiable securities, the liberalization and the internationalization. Furthermore, because under the financial service multiplication

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Yang, Tsung-Hsien, and 楊忠憲. "Bank Credit Risk Measurement --- Application and Empirical of Markov Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/04213753808790557361.

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Thwala, Cyprian Mcwayizeni. "The sensitivity of bank credit risk indicators to macroeconomic variables." Thesis, 2016. http://hdl.handle.net/10539/21499.

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A dissertation submitted to the Faculty of Commerce, Law and Management University of the Witwatersrand Business School In fulfillment of the requirements for the degree of Master of Management in Finance and Investment Johannesburg, 2016<br>This study uses a dynamic panel data method to examine the sensitivity of non-performing loans (NPLs) and bank capital buffer (BCB) to macroeconomic variables. This approach is motivated by the hypothesis that says macroeconomic variables have an effect on the bank’s balance sheet, and this effect varies across developed and emerging economies. The

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Chen, Wan-Yu, and 陳琬瑜. "An empirical study of bank credit risk pricing─ROC analysis." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/b78xpq.

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碩士<br>東吳大學<br>會計學系<br>96<br>The price competition of Financial institutions promotes making loans to the bank is influenced deeply , even so, pricing strategy of bank lending will be included in the financial inspection items. Association of Banks also discuss that bank lenders must establish pricing principles. In addition to implement risk assessment and management, and promote banks to establish a rational loan pricing policy.First of all, observe and explore the implementation of case bank loan pricing strategy. Through the evidence, according to theoretic of scholar to adopt bank loan pri

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Hsieh, Chuan-Feng, and 謝船燈. "Ownership Structure and Credit Risk: Evidence from Taiwan’s BANK Industry." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/2f2y82.

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碩士<br>國立高雄第一科技大學<br>財務管理研究所<br>101<br>Owing to financial liberalization and financial innovation, the competitive environment changes, and therefore attention to profit, and more than ever, risk becomes increasingly important in the financial services industry. Accordingly, the management of the risks of financial institutions (e.g., credit risk) by corporate governance mechanisms (e.g., ownership structure) is in need of more research. Using a dataset of Taiwan’s bank industry during 2008-2011, this paper investigates the relationship between ownership structure (including government ownershi

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