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Dissertations / Theses on the topic 'Management of credit risks'

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Published: 28 May 2022
Last updated: 31 July 2025

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1

Roberts, Max F. "Modeling credit risky bonds and credit derivatives." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10169.

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2

Zhang, Xuan. "Essays in credit risk management." Thesis, University of Glasgow, 2017. http://theses.gla.ac.uk/7988/.

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Credit risk management is becoming more and more important in recent years. Credit risk refers to the risk that an obligor fails to make payments on any type of debt at the time of maturity. Credit risk models are statistical tools to infer the future default probabilities and loss distribution of values of a portfolio of debts. This doctoral thesis focus on the application of credit risk management in different areas. To better understand the credit risk management, in the first chapter, we introduce the basic ideas in credit risk management and review the models developed in the last decades
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3

Gu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.

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In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of credit risks, the development of mathematical and statistical tools to estimate and predict these risks, and methods for solving the significant computational problems arising in this context. The reduced-form intensity based credit risk models are studied. A new type of reduced-form intensity-based model is introduced, which can incorporate the impacts of both observable trigger events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigge
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4

Pavel, Christoph [Verfasser]. "Credit Portfolio Management An Analysis of Credit Risk Drivers, Models, and Risk Management Tools / Christoph Pavel." München : Verlag Dr. Hut, 2012. http://d-nb.info/1021072990/34.

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5

Leung, Seng Yuen. "Analysis of counterparty risks and derivative pricing under stochastic volatility /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20LEUNG.

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Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004.<br>Includes bibliographical references (leaves 120-131). Also available in electronic version. Access restricted to campus users.
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6

Den, Braber Ronald Franciscus Johannes. "Credit risk pricing models as applied to credit trading and risk management." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/7980.

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7

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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8

Fabík, Peter. "Credit risk management v leasingové společnosti." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-1580.

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Práce pojednává o řízení rizik v leasingové společnosti. Popisuje proces hodnocení bonity klienta a faktory ovlivňující schvalování obchodních případů. Charakterizuje ratingový a scoringový model v konkrétní leasingové společnosti, hodnotí jejich nedostatky a navrhuje změny na jejich vylepšení. Obsahuje i praktický příklad komplexního hodnocení obchodního případu včetně posouzení bonity klienta prostřednictvím ratingového modelu a nástrojů finanční analýzy.
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9

Diop, Sidy <1987&gt. "Credit Risk Management and Jump Models." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amsdottorato.unibo.it/8745/1/Sidy%20Diop%20-%20PhD%20Thesis.pdf.

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This doctoral thesis comprises three research papers that seek to improve and create corporate and sovereign credit risk models, to provide an approximate analytic expressions for CDS spreads and a numerical method for partial differential equation arisen from pricing defaultable coupon bond. First, an extension of Jump to Default Constant Elasticity Variance in more general and realistic framework is provided (see Chapter 3). We incorporate, in the model introduced in [9], a stochastic interest rate with possible negative values. In addition we provide an asymptotic approximation formula
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10

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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11

Wendin, Jonathan Erik Purvis. "Bayesian methods in portfolio credit risk management." Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.

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12

Malwandla, Musa. "Quantitative models for prudential credit risk management." Doctoral thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33779.

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The thesis investigates the exogenous maturity vintage model (EMV) as a framework for achieving unification in consumer credit risk analysis. We explore how the EMV model can be used in origination modelling, impairment analysis, capital analysis, stress-testing and in the assessment of economic value. The thesis is segmented into five themes. The first theme addresses some of the theoretical challenges of the standard EMV model – namely, the identifiability problem and the forecasting of the components of the model in predictive applications. We extend the model beyond the three time dimensio
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13

He, Xiao. "User interface suitable for credit risk management." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-261153.

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Graphical User Interface, which is known as GUI, is a way for a person to communicate and interact with a system through icons or other visual indicators. A well designed and intuitive user interface is critical to the success of a system since it encourages a natural interaction between a user and a system, thus conveying information more clearly and efficiently to the user.The aim of this study is to design and develop a user interface that is used in a financial technology company in their credit risk assessment process. The current user interface contains a visualization of an individual c
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14

Qu, Jing. "Market and Credit Risk Models and Management Report." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/649.

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This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Va
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15

Frizziero, Luca <1995&gt. "Credit risk management in banks and insurance companies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/16815.

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This thesis aims to analyse the ways in which credit risk is managed and modelled in banks and insurance companies. The structure of this research is divided into four chapters. The first part aims to introduce the main features and parameters for the credit risk analysis, such as the probability of default of bond issuers and their joint correlation, the Loss Given Default (LGD), the Exposure at Default (EAD) and the computation of the main quantities of interest for the determination of the capital requirements, with a particular focus on how banks and insurance companies must comply with th
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16

Holemans, Amelia Nadine. "Applying a credit default swap valuation approach to price South African weather derivatives / Amelia Nadine Holemans." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4456.

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Most farmers in South Africa use standard insurance to protect their crops against natural disasters such as hail or strong winds. However, no South African insurance contracts exist to compensate for too much or too little rain (although floods are covered), or which will pay out if temperatures were too high or too low for a certain period of time for the relevant crop. Weather derivatives - which farmers may employ to ensure crops against adverse temperatures - do exist, but these are mostly available in foreign markets in the form of Heating Degree Days contracts and Cooling Degree Day con
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17

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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18

Pryce, Gwilym Benjamin John. "Assessing, perceiving and insuring credit risk." Thesis, University of Glasgow, 1999. http://theses.gla.ac.uk/4960/.

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This thesis is concerned with the assessment, perception and insurance of credit risk. The thesis aims to make contributions both within these areas, and at specific points of interface between them. No attempt is made to develop a single unifying thesis. Rather, a series of partial models are developed, both theoretical and empirical, that develop and connect particular facets of financial economics. The first model demonstrates how movements in market risk produce movements in lender risk-assessment effort. It is demonstrated that deleterious movements in market-wide risk can actually produc
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19

Cardella, Laura D. "Credit Risk and Inter-Firm Dependence." Diss., The University of Arizona, 2012. http://hdl.handle.net/10150/228116.

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I explore whether inter-firm linkages affect firms' credit risk. After controlling for the endogeneity between a firm's credit risk and its dependence on customers and suppliers, I find that supply-chain relationships affect firms' credit risk. My results indicate firms with exposure to major customers have lower ratings, and the level of firm dependence on major customers is negatively associated with firms' credit ratings. Further, I show when a firm's customers also depend on it, this mitigates the negative effect of dependence on credit risk. Finally, I document a negative association betw
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20

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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21

Ho, Siu Lam. "Lévy LIBOR model and credit risk /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?MATH%202007%20HOS.

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22

Jericevic, Sandra Lynne. "Loan contracting and the credit cycle /." Connect to thesis, 2002. http://eprints.unimelb.edu.au/archive/00000737.

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23

Eguaoritseyemi, Okirika Temeoweikuro. "Investigation into credit risk management practices in Nigerian banks." Thesis, University of Buckingham, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549719.

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Frail credit risk management practices have dragged financial intermediaries into financial crisis or bankruptcy if not well managed. The study seeks to appraise the intent to which Nigerian banks have meritoriously managed credit risk after the 2005 bank recapitalization exercise. It also seeks to establish other factors on why some banks to fail the 2009 stress test conducted by Central Bank of Nigeria. The study found that the failure to effectively manage credit risk as a result of increase capital inflow into the banking system and excessive lending contributed immensely to the 2009 banki
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24

Wang, Yang. "Credit risk management in rural commercial banks in China." Thesis, Edinburgh Napier University, 2013. http://researchrepository.napier.ac.uk/Output/6659.

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Credit risk is one of the most general risks that exist in the financial market and a major risk faced by financial institutions. Credit risk management (CRM) is to identify, measure, monitor, and control risk arising from the possibility of default in loan repayments. The primary objective of CRM of rural commercial banks (RCBs) is to maintain risk within acceptable parameters and satisfy the regulatory requirements. CRM has long been the focus of governments, regulatory authorities and financial institutions. This thesis examines the importance of CRM for RCBs, which has been overlooked in t
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25

Jarvis, Marilyn Adams. "Credit risk-rating system for agricultural leases." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-12232009-020554/.

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26

Derrocks, Velda Charmaine. "Credit risk management in development finance institutions and SMME sustainability." Thesis, Nelson Mandela Metropolitan University, 2017. http://hdl.handle.net/10948/14862.

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Small, Medium and Micro Enterprises (SMMEs) make a significant contribution to the South African Economy. Regardless of size, these businesses have the ability to create employment, make a generous contribution to tax collections, uplift communities and serve as a beacon of hope for those trapped in the cycle of poverty and unemployment. However, SMMEs lack access to much-needed financial resources that are critical for their growth. Development Finance Institutions (DFIs) aim to bridge the gap between the SMME’s financial needs and the development of the respective SMME businesses, by providi
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27

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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28

Гаряга, Л. О. "Можливості використання кредитних деривативів при управлінні кредитними ризиками". Thesis, Українська академія банківської справи Національного банку України, 2007. http://essuir.sumdu.edu.ua/handle/123456789/60721.

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29

Elkamhi, Redouane. "Three essays on credit risk, fixed income and derivatives." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=21948.

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This dissertation comprises three essays. In the first essay, we provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, an infinite state-space setup using the no-arbitrage principle. Our approach allows for general forms of heteroskedasticity in returns. It also allows for conditional non-normal return inno- vations, which is critically important because heteroskedasticity alone does not su¢ ce to capture the option smirk. The resulting risk-neutral return dynam
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30

Fialová, Zuzana. "Data envelopment analysis as an alternative approach to managing risks in banking." Doctoral thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-191818.

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The implementation of the Basel II capital adequacy framework promoted internally modelled risk parameters and allowed banks to build their own models. The recent crisis pointed at the gaps in the Basel II Accord, seeing banks having trouble to deal with lack of liquidity and higher default rates. The minimum regulatory capital held by the banks turned out to be insufficient and banks started looking for other techniques to better quantify the risks they are exposed to. Model accuracy is a key objective to meet the capital adequacy requirements while facing severe economic conditions. The purp
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31

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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32

Curti, Filippo. "The Rating Game: an Empirical Assessment." Diss., The University of Arizona, 2014. http://hdl.handle.net/10150/323225.

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The question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I sho
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33

Frankfurth, Karsten. "The management of leveraged buyout credits by bank credit functions in Europe : risk factors and their use." Thesis, Heriot-Watt University, 2014. http://hdl.handle.net/10399/2858.

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LBO transactions were structured increasingly aggressive in the years prior to the outbreak of the financial crisis (2007), as reflected in rising debt proportions. This was followed by many LBO credits experiencing difficulties to adhere to their loan documentations. Bank credit functions played a role in this, giving rise to an investigation into whether their work could be more effective. To identify areas for improvement in their work of evaluating LBO credits and – if such areas can be identified – deduce some potential measures how to address them was the aim of this research. The resear
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34

Leung, Kwai Sun. "Essays on exotic option pricing and credit risk modeling /." View abstract or full-text, 2006. http://library.ust.hk/cgi/db/thesis.pl?MATH%202006%20LEUNG.

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35

Teka, Babalwa. "The credit risk management skills shortage in Nelson Mandela Bay Metropole." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1019893.

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Tito Mboweni (2011) said one of South Africa’s biggest tests is the overwhelming the skills shortage. He was echoing the views of Higher Education Minister Blade Nzimande who himself said “South Africa could not afford to have an economy "constrained by a severe lack of skills". There are numerous initiatives that having been undertaken by government in an attempt to solve the skills shortage problem. However, these initiatives are not aimed at the tertiary education system. The tertiary education system is the focus of this study as the author investigates how the NMMU Business School can pla
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36

Li, Tang. "Markov chain models for re-manufacturing systems and credit risk management." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203700.

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37

Wang, Zhi. "Essays in quantitative finance on risk management and credit portfolio optimisation." Thesis, University of Essex, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.572845.

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This thesis discusses three topics in the area of quantitative finance in relation to risk and credit portfolio management. Chapter 2 investigates the issue of estimating and testing the goodness-of-fit of a model for a dependence break. The dependence is modelled by copulas and an unknown break of dependence structure is allowed for by including a dummy variable in the copula. The model is selected by minimizing the Akaike Information Criterion (AIC) of each candidate breaking point. The candidate models are estimated by a well-established two-step Maximum Likelihood (ML) approach, namely "In
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Li, Tang, and 李唐. "Markov chain models for re-manufacturing systems and credit risk management." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203700.

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39

Delamaire, Linda. "Implementing a credit risk management system based on innovative scoring techniques." Thesis, University of Birmingham, 2012. http://etheses.bham.ac.uk//id/eprint/3344/.

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In recent years, most developed countries have suffered a severe recession due to a financial crisis starting in the US with mortgages loans. The lack of credit risk management has been pointed out as one of the causes of this bank panics. To avoid a similar situation, the credit card companies need to have proper risk management tools. This thesis presents a credit scoring system which aims at setting credit lines and thus, controlling credit risk. It includes three types of models: application scorecards, early detection scorecards and behavioral scorecards. They have been built on real and
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40

GURNY, Martin. "Default probabilities in credit risk management: estimation, model calibration, and backtesting." Doctoral thesis, Università degli studi di Bergamo, 2015. http://hdl.handle.net/10446/61848.

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This doctoral thesis is devoted to estimation and examination of default probabilities (PDs) within credit risk management and comprises three various studies. In the first study, we introduce a structural credit risk model based on stable non-Gaussian processes in order to overcome distributional drawbacks of the classical Merton model. Following the Moody’s KMV estimation methodology, we conduct an empirical comparison between the results obtained from the Merton model and the stable Paretian one. Our results suggest that PDs are generally underestimated by the Merton model and that the stab
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41

Leow, Mindy. "Credit risk models for mortgage loan loss given default." Thesis, University of Southampton, 2010. https://eprints.soton.ac.uk/170515/.

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Arguably, the credit risk models reported in the literature for the retail lending sector have so far been less developed than those for the corporate sector, mainly due to the lack of publicly available data. Having been given access to a dataset on defaulted mortgages kindly provided by a major UK bank, this work first investigates the Loss Given Default (LGD) of mortgage loans with the development of two separate component models, the Probability of Repossession (given default) Model and the Haircut (given repossession) Model. They are then combined into an expected loss percentage. Perform
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Gomez, Bruno(Bruno Enrique Gomez Lezcano). "Consumer credit risk measurement : challenges for the Paraguayan banking system." Thesis, Massachusetts Institute of Technology, 2019. https://hdl.handle.net/1721.1/124582.

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Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2019<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (page 40).<br>Credit risk is often a critical risk in the financial sector. Therefore, how a financial institution manages its credit risk is an important determinant of profitability and solvency. In this regard, the identification and measurement of credit risk is the first component of efficient risk management. Correct and timely credit ratings are important for risk management systems, and for informing
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43

Jiang, Min. "Essays on bankruptcy, credit risk and asset pricing." Diss., University of Iowa, 2012. https://ir.uiowa.edu/etd/3320.

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In this dissertation, I consider a range of topics in bankruptcy, credit risk and asset pricing. The first chapter proposes a structural-equilibrium model to examine some economic implications arising from voluntary filing of Chapter 11. The results suggest that conflict of interests (between debtors and creditors) arising from the voluntary filing option causes countercyclical losses in firm value. The base calibration shows that these losses amount to approximately 5% of the ex-ante firm value and are twice those produced by a model without incorporating the business cycles. Furthermore, bes
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44

Ho, I.-Fang, and 何宜芳. "The Management and Transference Of Financial Assets Credit Risks." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/20002213475522346734.

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45

WANG, YI-CHING, and 王薏晴. "The Relationship among Board External Connectedness, Earnings Management and Credit Risks." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/24dtdf.

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碩士<br>輔仁大學<br>企業管理學系管理學碩士班<br>107<br>It is common for directors of listed companies, local or foreign, to hold more than one seat on the board of directors or other important positions in other companies at the same time. Although many studies have investigated the impact of busy board on firm performance, the issue of the relationship between board external connectedness and credit risks is rarely discussed in literature. Applying the credit rating point of view, this study explores whether external links of board members are good or bad for the listed company. There is no general consensus o
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Liu, Jr-Hua, and 劉志華. "Credit Risk Measurement and Management." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/71075880435028591650.

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碩士<br>國立臺灣大學<br>商學研究所<br>86<br>The main configuration of this research is to use a portfolio credit risk approach of CreditMetrics quantifies credit risks that arise due to increa sed exposure to an obligor or a group of correlated obligors. In this research, the credit risk includes not just default or insol vency risk but also changes in credit spreads and thereby market values, cha nges in credit ratings, and generic changes in credit quality. And foll ow this concept, this research
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47

Khatywa, Thembalethu. "Mathematical models of credit management and credit derivatives." Thesis, 2010. http://hdl.handle.net/11394/3529.

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>Magister Scientiae - MSc<br>The first two chapters give the background, history and overview of the dissertation, together with the necessary mathematical preliminaries. Thereafter, the next four chapters deal with credit risk and credit derivatives.The final part of the dissertation is devoted to the Basel II bank regulatory framework and the mathematical modeling of asset allocation in bank management, pertaining to credit risk.Credit risk models can be categorized into two groups known as structural models and reduced form models. These models are used in pricing and hedging credit risk.
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48

Chang, Chih-Chuan, and 張志全. "Credit Risk, Idiosyncratic Risk, and Earnings Management." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/36180661765872829976.

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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>100<br>This paper examines the effect of the idiosyncratic risk of a firm on its credit risk and the relationship between the credit risk and accrual or real earnings management under considering idiosyncratic risk. We further investigate the effects of composition of real earnings management on the credit risk of a firm. In sensitivity analysis, we examine the effects of the credit risk and the idiosyncratic risk of a firm on managerial behavior of income smoothing. The findings indicate that net cash flows of external financing, debt financing and equity finan
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49

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

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

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Abstract:
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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