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Al-Suwaidi, Hassan. "A study differentiating credit risk management strategy between Islamic and non-Islamic Banks in UEA." Thesis, London Metropolitan University, 2014. http://repository.londonmet.ac.uk/689/.
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This study attempts to identify any differences between Islamic and non-Islamic banks in UAE. Furthermore, factors affecting rate of return on lending have also been examined for UAE banks, Islamic and non-Islamic banks. This study has used quantitative research design. Data has been collected through questionnaire. Data is obtained directly as primary evidence from the senior credit risk managers from all the local commercial banks within United Arab Emirates. The sample for the study consists of 6 commercial banks from UAE with 3 non-Islamic and 3 Islamic banks with 148 credit risk managers as respondents for the survey. Descriptive statistic and inferential statistics are used to obtain the results. Islamic and non-Islamic banks differ in 'expert system', 'lending policy' and 'lending decisions'. Islamic banks are performing better making lending decision and lending policies than non-Islamic banks. Whereas, non-Islamic (conventional) banks are having better expert system than Islamic bank. All explanatory variables i.e. bank-wise exposure, experts system, company factors, lending decision, corporate borrowers, demographic variables and lending policy have significant influence on the profitability of UAE banks. Overall, credit risk management practices of Islamic banks are significantly contributing in profitability of banks than non-Islamic banks. Originality - This paper uses questionnaire-based methodology has not been used previously in UAE financial sector as well as in studies of credit risk management. Therefore this research could become the cornerstone of further academic research in other developing countries using this methodology. Practical implication. This study is significantly important for the academic point of view as well as for the practitioners, risk managers and policy makers.
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Lindermeir, Andreas [Verfasser], and Hans Ulrich [Akademischer Betreuer] Buhl. "Decision Support in IT and Risk: On the Economic Valuation of Strategic Decisions in IT Innovation Management, Credit Portfolio Management, and Hedging / Andreas Lindermeir ; Betreuer: Hans Ulrich Buhl." Augsburg : Universität Augsburg, 2016. http://d-nb.info/1119707080/34.
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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. To empirical test the performance of models reviewed in the first chapter, in the second chapter, we compare the reduce-form model with the structural model based on the China’s stock market. It turns out that both models contribute to explaining the default risk of listed firms, however, reduce-form model outperformances the structural model. The empirical results from the second chapter suggests that reduce-form model can better predict the firm’s default risk, but the correlated default risk between firms has not been answered yet. So therefore in the third chapter, we investigate the correlated default risk using copula theory which has been introduced in the first chapter. Based on the insurances firms and other financial firms in the US market, both short-term and long-term default dynamic correlations are found. Another interesting finding from the third chapter is that insurance firms which were considered to be stable actually have higher default risk. This motive us to further explore the determinants of default risk of insurance firms in the fourth chapter and new risk factors (macroeconomic and insurance-specific variables) are found.
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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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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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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 trigger events. In addition, this thesis focuses on the relationship between structural firm value model and reduced-form intensity based model. A continuous time structural asset value model for the asset value of two correlated firms with a two-dimensional Brownian motion is studied. With the incomplete information introduced, the information set available to the market participants includes the default time of each firm and the periodic asset value reports. The original structural model is first transformed into a reduced-form model. Then the conditional distribution of the default time as well as the asset value of each name are derived. The existence of the intensity processes of default times is proven and explicit form of intensity processes is given in this thesis.
Discrete-time Markovian models in credit crisis are considered. Markovian models are proposed to capture the default correlation in a multi-sector economy. The main idea is to describe the infection (defaults) in various sectors by using an epidemic model. Green’s model, an epidemic model, is applied to characterize the infectious effect in each sector and dependence structures among various sectors are also proposed. The models are then applied to the computation of Crisis Value-at-Risk (CVaR) and Crisis Expected Shortfall (CES). The relationship between correlated defaults of different industrial sectors and business cycles as well as the impacts of business cycles on modeling and predicting correlated defaults is investigated using the Probabilistic Boolean Network (PBN). The idea is to model the credit default process by a PBN and the network structure can be inferred by using Markov chain theory and real-world data.
A reduced-form model for economic and recorded default times is proposed and the probability distributions of these two default times are derived. The numerical study on the difference between these two shows that our proposed model can both capture the features and fit the empirical data. A simple and efficient method, based on the ordered default rate, is derived to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. Analytical expressions for the ordered default time distributions with recursive formulas for the coefficients are given, which makes the calculation fast and efficient in finding rates of basket CDSs.published_or_final_version
Mathematics
Doctoral
Doctor of Philosophy
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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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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 obligations in full on due date can seriously jeopardize the affaires of the other partner.
The axle of this study is to have a clearer picture of how banks manage their credit risk. In this light, the study in its first section gives a background to the study and the second part is a detailed literature review on banking and credit risk management tools and assessment models. The third part of this study is on hypothesis testing and use is made of a simple regression model. This leads us to conclude in the last section that banks with good credit risk management policies have a lower loan default rate and relatively higher interest income.
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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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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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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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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 dimensions by introducing a behavioural dimension. This allows the model to produce loan-specific estimates of default risk. By replacing the vintage component with either an application risk or a behavioural risk dimension, the model resolves the identifiability problem inherent in the standard model. We show that the same model can be used interchangeably to produce a point-in-time probability forecast, by fitting a time series regression for the exogenous component, and a through-the-cycle probability forecast, by omitting the exogenous component. We investigate the use of the model for regulatory capital and stress-testing under Basel III, as well as impairment provisioning under IFRS 9. We show that when a Gaussian link function is used the portfolio loss follows a Vašíček distribution. Furthermore, the asset correlation coefficient (as defined under Basel III) is shown to be a function of the level of systemic risk (which is measured by the variance of the exogenous component) and the extent to which the systemic risk can be modelled (which is measured by the coefficient of determination of the regression model for the exogenous component). The second theme addresses the problem of deriving a portfolio loss distribution from a loan-level model for loss. In most models (including the Basel-Vašíček regimes), this is done by assuming that the portfolio is infinitely large – resulting in a loss distribution that ignores diversifiable risk. We thus show that, holding all risk parameters constant, this assumption leads to an understatement of the level of risk within a portfolio – particularly for small portfolios. To overcome this weakness, we derive formulae that can be used to partition the portfolio risk into risk that is diversifiable and risk that is systemic. Using these formulae, we derive a loss distribution that better-represents losses under portfolios of all sizes. The third theme is concerned with two separate issues: (a) the problem of model selection in credit risk and (b) the problem of how to accurately measure probability of insolvency in a credit portfolio. To address the first problem, we use the EMV model to study the theoretical properties of the Gini statistic for default risk in a portfolio of loans and derive a formula that estimates the Gini statistic directly from the model parameters. We then show that the formulae derived to estimate the Gini statistic can be used to study the probability of insolvency. To do this, we first show that when capital requirements are determined to target a specific probability of solvency on a through-the-cycle basis, the point-in-time probability of insolvency can be considerably different from the through-the-cycle probability of insolvency – thus posing a challenge from a risk management perspective. We show that the extent of this challenge will be greater for more cyclical loan portfolios. We then show that the formula derived for the Gini statistic can be used to measure the extent of the point-in-time insolvency risk posed by using a through-the-cycle capital regime. The fourth theme considers the problem of survival modelling with time varying covariates. We propose an extension to the Cox regression model, allowing the inclusion of time-varying macroeconomic variables as covariates. The model is specifically applied to estimate the probability of default in a loan portfolio, where the experience is decomposed the experience into three dimensions: (a) a survival time dimension; (b) a behavioural risk dimension; and (c) calendar time dimension. In this regard, the model can also be viewed as an extension of the EMV model – adding a survival time dimension. A model is built for each dimension: (a) the survival time dimension is modelled by a baseline hazard curve; (b) the behavioural risk dimension is modelled by a behavioural risk index; and (c) the calendar time dimension is modelled by a macroeconomic risk index. The model lends itself to application in modelling probability of default under the IFRS 9 regime, where it can produce estimates of probability of default over variable time horizons, while accounting for time-varying macroeconomic variables. However, the model also has a broader scope of application beyond the domains of credit risk and banking. In the fifth and final theme, we introduce the concept of embedded value to a banking context. In longterm insurance, embedded value relates to the expected economic value (to shareholders) of a book of insurance contracts and is used for appraising insurance companies and measuring management's performance. We derive formulae for estimating the embedded value of a portfolio of loans, which we show to be a function of: (a) the spread between the rate charged to the borrower and the cost of funding; (b) the tenure of the loan; and (c) the level of credit risk inherent in the loan. We also show how economic value can be attributed between profits from maturity transformation and profits from credit and liquidity margin. We derive formulae that can be used to analyse the change in embedded value throughout the life of a loan. By modelling the credit loss component of embedded value, we derive a distribution for the economic value of a book of business. The literary contributions made by the thesis are of practical significance. The thesis offers a way for banks and regulators to accurately estimate the value of the asset correlation coefficient in a manner that controls for portfolio size and intertemporal heterogeneity. This will lead to improved precision in determining capital adequacy – particularly for institutions operating in uncertain environments and those operating small credit portfolios – ultimately enhancing the integrity of the financial system. The thesis also offers tools to help bank management appraise the financial performance of their businesses and measure the value created for shareholders.
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He, Xiao. "User interface suitable for credit risk management." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-261153.
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Graphical User Interface, which is known as GUI, is a way for a person to communicate and interact with a system through icons or other visual indicators. A well designed and intuitive user interface is critical to the success of a system since it encourages a natural interaction between a user and a system, thus conveying information more clearly and efficiently to the user.The aim of this study is to design and develop a user interface that is used in a financial technology company in their credit risk assessment process. The current user interface contains a visualization of an individual credit assessment flow together with a lot of data that is generated in the process. Some of the data is not properly visualized, which leads to confusion among end users.In order to optimize the user experience, a user-centered design approach was used combined with a heuristic evaluation. A new user interface was designed and implemented and according to the heuristic evaluation result, the usability was greatly improved. The new interface is able to help the company to visualize their credit risk assessment process in a better way and facilitate credit officers to make credit decisions. The result could also provide insights to other companies or organizations in presenting their data more clearly and effectively.Grafiskt användargränssnitt, som även kallas GUI, är ett sätt för en person att kommunicera och interagera med ett system genom ikoner eller andra visuella indikatorer. Ett väl utformat och intuitivt användargränssnitt är avgörande för framgången för ett system, eftersom det uppmuntrar till en naturlig interaktion mellan en användare och ett system och därmed förmedlar information tydligare och effektivare till användaren.Syftet med denna studie är att designa och utveckla ett användargränssnitt som används i ett finansiellt teknikföretag i deras kreditriskbedömningsprocess. Det nuvarande användargränssnittet innehåller en visualisering av ett individuellt kreditbedömningsflöde tillsammans med mycket data som genereras i processen. En del av data är inte korrekt visualiserade, vilket leder till förvirring bland slutanvändare.För att optimera användarupplevelsen användes en användarcentrerad designmetod i kombination med en heuristisk utvärdering. Ett nytt användargränssnitt designades och implementerades och enligt det heuristiska utvärderingsresultatet förbättrades användbarheten kraftigt. Det nya gränssnittet kan hjälpa företaget att visualisera sin kreditriskbedömningsprocess på ett bättre sätt och underlätta kreditansvariga att fatta kreditbeslut. Resultatet kan också ge andra företag eller organisationer insikter om att presentera sina uppgifter tydligare och mer effektivt.
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Mu, Yuan. "Chinese bank's credit risk assessment." Thesis, University of Stirling, 2007. http://hdl.handle.net/1893/210.
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This thesis studies the Chinese banks’ credit risk assessment using the Post Keynesian approach. We argue that bank loans are the major financial sources in emerging economies and it is uncertainty, an unquantifiable risk, rather than asymmetric information about quantifiable risk, as held by the mainstream approach, which is most important for the risk attached to credit loans, and this uncertainty is particularly important in China. With the universal existence of uncertainty, borrowers and lenders have to make decisions based on convention and experience. With regard to the nature of decision-making, this implies the importance of qualitative methods rather than quantitative methods. The current striking problem in Chinese banking is the large amount of Non-Performing Loans (NPLs) and this research aims to address the NPLs through improving credit risk management. Rather than the previous literature where Western models are introduced into China directly or with minor modification, this work advocates building on China’s conventional domestic methods to deal with uncertainty. We briefly review the background of the Chinese banking history with an evolutionary view and examine Chinese conventions in the development of the credit market. Based on an overview of this history, it is argued that Soft Budget Constraints (SBC) and the underdeveloped risk-assessing mechanism contributed to the accumulation of NPLs. Informed by Western models and experience, we have made several suggestions about rebuilding the Chinese convention of credit risk assessment, based on an analysis of publications and interviews with Chinese bankers. We also suggest some further development of the Asset Management Companies (AMCs) which are used to dispose of the NPLs.
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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 between a customer's reliance on its dependent suppliers and the customer's credit rating. Overall, my results provide insights regarding how inter-firm relationships between corporate customers and suppliers affect credit risk.
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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 produce a fall in assessment effort. The capricious nature of risk assessment causes changes in the lender's perception of the weights placed on determinants. This has important implications for borrowers' attempts to minimize risk premiums. Time-variability of signal-weights is tested using structural break tests on ordinary least squares and fixed effects panel models. Results suggest a fluid relationship between risk and determinants. Central to empirical investigation is the measurement of perceived risk. A critique of potential measures rejects the use of interest rate spreads - the most commonly used measure - on the basis that they do not take into account the possibility of credit rationing. A model is then constructed to reproduce the standard explanation of credit rationing - Adverse Selection induced Credit Rationing Equilibrium (ASCRE). This model is then extended to include classificatory risk assessment. Assessment is found to reduce the scope for ASCRE, and to cause favourable selection. Credit insurance is then included, and it is found that insurance cover makes risk assessment less of an imperative to lenders, and reduces the utility losses from raising interest rates. The parallel implication is that credit insurance weakens ASCRE, to the extent that full insurance with flat-rate premiums removes the possibility of ASCRE altogether. If the terms of insurance are made contingent on the terms of the loan, a new form of credit rationing emerges: Contingent Insurance induced Credit Rationing Equilibrium (CICRE). CICRE is separate, but not mutually exclusive, to ASCRE. A theoretical model of the demand for loan insurance is developed, and empirically estimated, in the context of the UK mortgage market. Inter alia, the model examines the role of auto-perception of risk determining credit insurance demand. Results reveal the take-up of credit insurance to be relatively insensitive to the borrower's perception ofhis/her own risk.
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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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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, Value at Risk was calculated using semi-parametric model. Then the weekly losses of the stock portfolio and the daily losses of the entire portfolio were both fitted into ARMA(1,1)-GARCH(1,1), and the estimated parameters were used to find their conditional value at risks (CVaR) and the conditional expected shortfalls (CES).
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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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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 banking crisis. The research also identified lax credit risk management practices as a major factor that caused the crisis. Furthermore, banks to develop and implement their credit I scoring models for assessing, monitoring and reviewing of credit portfolios and other credit granted.
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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 the literature, and attempts to develop a CRM framework for RCBs. It has four specific research objectives: 1) to discuss the differences between RCBs and city based-commercial banks; 2) to examine the importance of CRM for RCBs and identify the approaches available for banks to manage credit risks; 3) to identify the key factors that have influenced the credit evaluation and assessment, as well as credit risk control in the context of China's RCBs; and 4) to propose a practicable CRM framework that suits the characteristics of Chinese RCBs. This study adopts qualitative analysis and case study approaches to identify key factors contributing to the failure of RCBs' customers, resulting in loan defaults and banks' credit risk. The quantitative-based CRM tools available for large financial institutions do not meet the requirements of RCBs because the main customers of RCBs are small and medium-sized enterprises (SMEs) and farming households and there is a lack of financial data and credit rating relating to these customers. In addition to normal risks faced by financial institutions, RCBs in China are also exposed to risks specifically to rural commercial banking business and in particular, farming-related loans and services. This study proposes a CRM framework for RCBs in China. The framework is based on the identification of business failures of RCBs' customers and factors contributing to the failures of SMEs and farming households. The framework is divided into five steps. The first step is to distinguish business failure and closure. The second step is to identify factors contributing to the failure of customers, which should be considered from environmental, operational, financial and guanxi aspects. The third step is to use PCA to identify principal factors. The fourth step is to design a credit risk analysis model with an analysis of these principal factors. The final step is to use the credit risk analysis model to manage credit risks of their portfolios and individual loans provided to SMEs and farming households. The CRM framework has been confirmed by practitioners through interviews conducted in the case bank. Interviews raise a number of issues relating to the development of a CRM model and assessment of credit risk of SMEs in China. The case study through an analysis of documents of the case bank reveals the importance of CRM and organisational structure in risk management and CRM. The case study presents evidence of lacking of practical methods in managing credit risk by RCBs in China. The proposed framework expects to address the problem. This study has made several contributions to the literature that studies CRM in financial institutions in general and RCBs in particular. This study critically identifies the current lack of studies specifically addressing the RCBs' CRM, and proposes a CRM framework for RCBs. The framework considers financial and non-financial variables to analyse SMEs and farming household for which financial information is very limited. Using nonfinancial variables along with financial variables as predictors of business failure significantly improves credit analysis quality and accuracy. Also, this study recognises guanxi as risk potentials affecting the business of SMEs and farming households and includes guanxi risks in the framework. The consideration of guanxi in credit risk analysis fits well with China's business environment.
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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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Jericevic, Sandra Lynne. "Loan contracting and the credit cycle /." Connect to thesis, 2002. http://eprints.unimelb.edu.au/archive/00000737.
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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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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 dynamics are from the same family of distributions as the physical return dynamics. Our framework nests the valuation results obtained by Duan (1995), and Heston and Nandi (2000) by allowing for a time-varying price of risk and non-normal innovations. In the second essay, we develop a methodology to study the linkages between equity and corporate bond risk premia and apply it to a large panel of corporate bond transaction data. We find that a significant part of the time variation in bond default risk premia can be explained by equity-implied bond risk premium estimates. We compute these estimates using a recent structural credit risk model. In addition, we show by means of linear regressions that augmenting the set of variables predicted by typical structural models with equity-implied bond default risk premia significantly increases explanatory power. This, in turn, suggests that time-varying risk premia are a desirable feature for future structural models. In the third essay, we first document empirically that embedded put option values are related to proxies for term structure risk, default risk and illiquidity. In a second step, we develop a valuation model that simultaneously captures default and interest rate risk. We use this model to disentangle the reduction in yield spread enjoyed by putable bonds that can be attributed to each risk. Perhaps surprisingly, the most impCette thèse comprend trois essais. Dans le premier essai nous avons développé des résultats pour l'évaluation des actifs contingents de type Européen pour une vaste classe de spécification du rendement de l'actif sous-adjacent. Notre méthode est obtenue dans une économie à temps discret et espace infini en utilisant seulement la condition de non arbitrage dans le marché. Notre approche permet une forme générale d'heteroskedasticité pour les rendements. Les résultats pour les cas d'homoskedasticité sont retrouvés comme des cas spéciaux. Notre approche permet d'accommoder les cas où l'innovation dans la dynamique du rendement est conditionnellement non normale. Cette flexibilité est extrêmement importante car l'heteroskedasticité seulement n'est pas su¢ sant pour cap- turer le phénomène du "smirk" dans les prix des options. Nos résultats emboîtent ceux obtenue dans Duan (1995) et Heston et Nandi (2000). Dans le deuxième essai nous avons développé une méthodologie pour étudier le lien entre la prime de risque dans les obligations corporatives et celle de l'actif risqué de la firme. Nous avons appliqué notre méthode sur une large base de données des transactions des obligations corporatives. Nous avons trouvé qu'une importante partie de la variation temporelle du risque de défaut dans ces obligations peut être expliquer par des estimées de la prime de risque du défaut reconstruite à partir de l'actif risqué de la firme seulement. En plus, nous avons démontré à l'aide des régressions linéaires qu'augmentant la série des variables prédites par le modèle structurel par notre estimé de la prime du risque de défaut ajoute une explication significative. Dans le troisième essai nous avons montré empiriquement que la valeur des obligations corporatives du type" puttable" est reliée aux risques de défaut, de liquidité et celui dû aux taux d'intérêts. Dans la deuxième étape de ce projet nous avons développé un mo
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Aizikovitz, Jacob. "Yield protection as a risk management strategy." Thesis, Kansas State University, 2018. http://hdl.handle.net/2097/38662.
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Master of AgribusinessDepartment of Agricultural Economics
Christine Wilson
Risk management is critical in crop production as the challenges farmers face on a year to year basis are quite variable due to Mother Nature. There are many tools a farmer can utilize to help manage risk such as crop insurance and forward contracting or hedging. In recent years with lower prices, these tools have been more heavily used than they were a few years ago when corn and soybean prices were $8 and $15 per bushel, respectively. Margins in crop production are tight when market prices are low and input prices are high relative to market prices, and due to land cost. In order for farmers to produce greater profit, they must find ways to lower expenses or produce more bushels to increase their revenue. As margins tighten, farmers typically try to lower expenses to be more profitable rather than trying to increase bushels that would ultimately increase their revenue. When farmers try to reduce expenses, agricultural retailers experience lower revenues holding all else equal; distributors have lower revenues because the retailer is not selling as much, and the manufacturers experience lower revenues because the retailer and distributor are not moving the inventory compared to when farmer margins are larger. This thesis examines how yield protection for grain corn can be utilized as a risk management tool for crop production farmers. This thesis explores how increasing bushels and ultimately increasing revenue by protecting the bushels the crop is physically able to produce, can help manage producer risk. This thesis uses yield protection as a tool alongside crop insurance and marketing, rather than as a tool to replace crop insurance or marketing. Data used for yield protection is replicated fungicide, fungicide with an adjuvant, and fungicide with insecticide, that were evaluated against the untreated check over multiple locations and years across the Midwestern United States. Fungicide data were chosen because it is truly the definition of yield protection, protecting the crop against disease. Fungicides are usually the first products cut from a farmer’s crop production program to help reduce expenses and maintain profitability as margins tighten. The results found in this study are consistent with work conducted at Iowa State University. Results exhibited an increase in corn yield, but were not consistently statistical significant across treatments and location. In conclusion, the average yield increase was not enough over multiple years to pay for itself, and it lacked sufficient evidence. Yield protection does not fit a risk management strategy annually. However, yield protection should be utilized when specific thresholds on disease or insects are present to warrant this strategy.
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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 using financial and/or market information. However, there exists circumstances where these types of data are inaccessible or unreliable. The problem of scarce data also induces diculties in the estimation of default probabilities. The frequency of insolvencies and changes in credit ratings are usually updated on an annual basis and historical information covers 20-25 years at best. From a mathematical perspective, this is considered as a small sample and standard statistical models are inferior in such situations. The first part of this thesis specifies the so-called entropy model which estimates the impact of macroeconomic fluctuations on the probability of defaults, and aims to outperform standard statistical models for small samples. The second part specifies the CIMDO, a framework for modeling correlated defaults without financial and market data. The last part submits a risk analysis framework for calculating the uncertainty in the simulated losses. It is shown that the entropy model will reduce the variance of the regression coefficients but increase its bias compared to the OLS and Maximum Likelihood. Furthermore there is a significant difference between the Student's t CIMDO and the t-Copula. The former appear to reduce the model uncertainty, however not to such extent that evident conclusions were carried out.Kreditriskhantering är den enskilt viktigaste delen i banker och finansiella instituts säkerhetsåtgärder mot nedsidor i deras investeringar. En påtaglig svårighet inom ämnet är modelleringen av simultana konkurser. Globalisering ökar antalet parametrar som påverkar samhällsekonomin, vilket i sin tur försvårar etablering av tillförlitliga matematiska modeller. Den prekära situationen förvärras av det faktum att analytiker genomgående saknar tillräcklig data. Konkurskorrelation är allt som oftast kalibrerad med hjälp av information från årsrapporter eller marknaden. Dessvärre existerar det omständigheter där sådana typer av data är otillgängliga eller otillförlitliga. Samma problematik skapar även svårigheter i skattningen av sannolikheten till konkurs. Uppgifter såsom frekvensen av insolventa företag eller förändringar i kreditbetyg uppdateras i regel årligen, och historisk data täcker i bästa fall 20-25 år. Syftet med detta examensarbete är att ge ett övergripande ramverk för kreditriskhantering i avsaknad av finansiell information och marknadsdata. Detta innefattar att estimera vilken påverkan fluktueringar i makroekonomin har på sannolikheten för konkurs, modellera korrelerade konkurser samt sammanfatta ett ramverk för beräkning av osäkerheten i den estimerade förlustdistributionen. Den första delen av examensarbetet specificerar den så kallade entropy modellen. Denna skattar påverkan av makroekonomin på sannolikheterna för konkurs och ämnar att överträffa statistiska standardmodeller vid små datamängder. Den andra delen specificerar CIMDO, ett ramverk för beräkning av konkurskorrelation när marknads- och företagsdata saknas. Den sista delen framlägger ett ramverk för riskanalys av förlustdistributionen. Det visas att entropy modellen reducerar variansen i regressionskoefficienter men till kostnad av att försämra dess bias. Vidare är det en signifikant skillnad mellan student’s t CIMDO och t-Copula. Det förefaller som om den förstnämnda reducerar osäkerheten i beräkningarna, men inte till den grad att uppenbara slutsatser kan dras.
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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 providing funding to entrepreneurs with potentially viable businesses and ideas. Debt funding to these SMMEs are based on sound commercial lending principles that take various non-quantitative variables into account. The sustainability of SMMEs is a primary concern to all participants in the economy, as it is known that SMME failure rates are high Therefore, the primary objective of this study was to investigate the impact that the credit risk management practices of DFIs have on the sustainability of SMMEs, by examining a case study of a typical DFI. An electronic questionnaire survey was considered as an appropriate measurement method for this study. The targeted population of the study included SMMEs in the Eastern Cape that are Trust for Urban Housing (TUHF) clients and 23 SMMEs were identified as part of the study sampling frame. A total number of 14 questionnaires were returned out of the 23 targeted SMMEs - giving a response rate of 61%. The quantitative data was processed using the STATISTICA program, leading to appropriate descriptive statistical analyses. In order to better understand the impact of credit risk management practices on the sustainability of SMMEs, a hypothesis was formulated and linear regression analysis was used to establish the statistical significance of certain credit risk principles and sustainability characteristics. The results of the empirical study revealed that credit risk management practises do impact on the sustainability of SMMEs. Further, by testing the hypothesis, it was also revealed that certain sustainability variables are regarded as more important than others.
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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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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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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. Performance-wise, this two-stage LGD model is shown to do better than a single-stage LGD model (which directly models LGD from loan and collateral characteristics), as it achieves a better Rsquare value, and it more accurately matches the distribution of observed LGD. We next investigate the possibility of including macroeconomic variables into either or both component models to improve LGD prediction. Indicators relating to net lending, gross domestic product, national default rates and interest rates are considered and the interest rate is found to be most beneficial to both component models. Finally, we develop a competing risk survival analysis model to predict the time taken for a defaulted mortgage loan to reach some outcome (i.e. repossession or non-repossession). This allows for a more accurate prediction of (discounted) loss as these periods could vary from months to years depending on the health of the economy. Besides loan- or collateral-related characteristics, we incorporate a time-dependent macroeconomic variable based on the house price index (HPI) to investigate its impact on repossession risk. We find that observations of different loan-to-value ratios at default and different security type are affected differently by the economy. This model is then used for stress test purposes by applying a Monte Carlo simulation, and by varying the HPI forecast, to get different loss distributions for different economic outlooks.
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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, besides countercyclical liquidation costs as in Chen (2010) and Bhamra, Kuehn and Strebulaev (2010), countercyclical pre-liquidation distress costs and the conflict of interests help to generate reasonable credit spreads, levered equity premium and leverage ratios. The framework nests several important models and prices the firm's contingent claims in closed-form.
The second chapter proposes a structural credit risk model with stochastic asset volatility for explaining the credit spread puzzle. The base calibration indicates that the model helps explain the credit spread puzzle with a reasonable volatility risk premium. The model fits well to the dynamics of CDS spreads and equity volatility in the data.
The third chapter develops a consumption-based learning model to study the interactions among aggregate liquidity, asset prices and macroeconomic variables in the economy. The model generates reasonable risk-free rates, equity premium, real yield curve, and asset prices in equity and bond markets. The base calibration implies a long-term yield spread of around 185 basis points and a liquidity premium of around 55 basis points for an average firm in the economy. The calibrated yield spread and liquidity premium are consistent with the empirical estimates.
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Сема, І. М. "Enterprise risk management system formation." Thesis, Чернігів, 2020. http://ir.stu.cn.ua/123456789/20042.
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Sema, І. М. Enterprise risk management system formation=Формування конкурентної стратегії розвитку підприємства : дипломна робота : 073 Менеджмент / І. М. Сема ; керівник роботи Дука А. П. ; Національний університет «Чернігівська політехніка», кафедра публічного управління та менеджменту організацій. – Чернігів, 2020. – 76 с.The work is devoted to theoretical and practical aspects of revealing the essence of formation of competitive strategy of enterprise development. The work consists of three sections, introduction and conclusions. The introduction substantiates the relevance of the topic, purpose and objectives of the thesis. The first section reveals the theoretical foundations of the concept of competition, competitiveness. The system of measures of formation is considered. The questions of formation of competitive strategy of the enterprise are covered. In the second section the methodical aspects of formation of competitive strategy for the enterprise are considered. Features of application of competitive advantages according to M. Porter are revealed. Based on the generalization of the agricultural sector in Ukraine, the position of the enterprise is analyzed, the PEST-analysis of the formation of market advantages is carried out. general characteristics of risk management. This section contains a description of the activities of the enterprise, covers issues of economic activity of LLC agro-industrial enterprise "RESSKI". The third section contains proposals for the formation of a competitive strategy for the development of LLC, recommendations for the implementation of a competitive strategy for the company. The conclusions contain generalizations of the problems of the enterprise, measures to solve the problems of the enterprise.
Робота присвячена теоретичним та практичним аспектам розкриття сутності формування конкурентної стратегії розвитку підприємства. Робота складається з трьох розділів, вступу та висновків. У вступі обґрунтовується актуальність теми, мета і завдання дипломної роботи. У першому розділі розкриті теоретичні основи поняття конкуренції, конкурентоспроможності. Розглянуто систему заходів формування висвітлені питання формування конкурентної стратегії підприємства. У другому розділі розглянуто методичні аспекти формування конкурентної стратегії для підприємства Розкриті особливості застосування конкурентних переваг за М. Портером. На основі узагальнення аграрної сфери в Україні, проаналізовано позизії підприємства, здійснено PEST-аналіз формування переваг на ринку. загальної характеристики управління ризиками. У цьому розділі міститься характеристика діяльності підприємства, висвітлені питання особливостей господарської діяльності ТОВ агропромислового підприємства «РЕССКІ». Третій розділ містить пропозиції щодо формування конкурентної стратегії розвитку ТОВ, наведені рекомендації з впровадження конкурентної стратегії для підприємства. У висновках містяться узагальнення проблем підприємства, заходів щодо вирішення проблем діяльності підприємства.
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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, 2019Cataloged from PDF version of thesis.
Includes bibliographical references (page 40).
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 regulators about financial system risks. Credit risk is the main risk faced by the Paraguayan financial sector. Effectively managing it requires banking supervision and regulation in line with international best practices. As a step in that direction, this research assesses the Paraguayan banking regulation of credit risk and compares it to the principles and the best practices about credit risk management issued by the Basel Committee. I propose principles to guide the implementation of statistical models for better measurement of credit risk in Paraguayan financial institutions.
by Bruno Gomez.
S.M. in Management Studies
S.M.inManagementStudies Massachusetts Institute of Technology, Sloan School of Management
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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 NCA changed the playing field for credit providers participating in the South African consumer credit market to a great extent. Consumer lending is the sleeping giant of the financial sector. The key to successfully unlock this enormous market is the credit provider's ability to accurately assess the creditworthiness of a potential customer during the customer acquisition phase. The creditworthiness of the customer is related to the risk of default, i.e. a debtor's non-payment of debt in terms of the credit agreement. The risk of default is also known as credit risk. Real People Investment Holdings (Pty) Ltd (RPIH) classifies credit risk as the single largest risk the Group is exposed to. They recognise that the intelligent and responsible management of credit risk makes it the Group's largest profit driver. Credit risk scorecards are excellent decision aids during the customer acquisition phase. The characteristics and behaviour of merchants submitting credit applications to RPIH for assessment have a definite impact on the credit risk of the Group. The merchant plays a pivotal role in the debtor-creditor-supplier business model. The merchant influences the customer's sales experience and subsequent level of satisfaction with the transaction. A satisfied customer constitutes a lower level of credit risk for the creditor, in this case RPIH. The research is conducted with a positivistic paradigm. The cross-sectional study approach is used. The merchant is the unit of analysis. A sample of 77 merchants is selected from the population of 244 merchants who submitted credit applications to RPIH during the observation period. Questionnaires are used as the data collection method in this research project. The predictive ability of fourteen merchant related characteristics are demonstrated through this empirical study.
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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 play a significant role in addressing the skills shortage in the credit risk management sector. Following a literature review, surveys were completed by the NMMU Business School MBA students (ninety of them completed it) and personal interviews were conducted with three Provincial HR managers from South Africa’s “four big banks” in Nelson Mandela Bay (Nedbank, Standard Bank and ABSA). The study found that the skills shortage is indeed a problem. The study found that reasons including the legacy left by apartheid and students pursuing the wrong degrees were highlighted as some of the reason for this skills shortage. An opportunity for the NMMU Business School was identified to support the banking industry in addressing credit risk management skills shortage. The benefits include financial reward and more importantly an opportunity to differentiate the Business School and the courses offered at the school from the rest. Some of the recommendations included sourcing of the best practices from institutions like the Millpark Business School on effective partnering with the banking industry as well as a proactive approach to be adopted by the banking industry in terms of lobbying support from other potential role players for example but not limited to, student bodies, BankSeta and the smaller banks in the industry.
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Yan, Changjun. "Risk management strategy of construction projects in China." Thesis, University of Bedfordshire, 2006. http://hdl.handle.net/10547/338912.
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Embarking on a construction project means taking a risk. Project risk management (PRM) provides an effective approach to improve decision making and minimise project risk. Project risks may not possess the same level of significance for different countries, markets and projects. Current research on PRM in China has been rather theoretical, addressing technology issues. Considering the current practice in the Chinese construction industry (CCl), the PRM needs understanding and support from the industry and a mature market environment. This research aims to establish PRM strategies for identifying and adopting the best practice to provide practical guidelines for the CCl, thus improving the PRM, motivating the reform of the Chinese construction market, and enabling the CCl to function in the competitive environment of globalisation. An extensive literature review and a number of case studies for construction projects in China have been conducted, addressing issues closely related to the research. A systematic analysis is employed and developed for project planning and decision making. Contractual risks are considered as the first step and catalyst for improving the PRM in the CCl. Built on the findings from the case studies and analysis, the research puts forward a framework of contractual risk management to study the concept, identification and classification of contractual risks. Contract interfaces are analysed for contractual risk management under various project procurement routes (PPRs). The potentially large improvements to the PRM and reform of the Chinese construction market from the introduction and application of innovative PPRs and their contractual conditions are addressed. Two mathematical models -a probabilistic analysis model and an effective information entropy model for key contractual risks -are presented. The validity and applicability of the models are demonstrated with sample data for the CCl. Detailed recommendations and guidelines for the implementation of the proposed strategies are suggested.
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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 closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance.
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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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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 "Inference Function for Margin" (IFM). Moreover, we examine 5 single-factor copulas and compare them to each other by AIC criteria. A parametric bootstrap goodness-of-fit test is also proposed. Empirically, the dependence structures of stock indices between the US-UK and US-Japan markets during the Subprime crisis are examined. We found breaks in both dependence structures. In Chapter 3, a new general approach is developed for optimizing a credit portfolio by minimizing the default risk of a whole credit portfolio subject to a certain target premium. The approach is rooted in concepts from Modem Portfolio Theory. The default risk is measured by a quadratic form of weights and a matrix containing information about default correlations between any two single-names and default intensities of each single-name. The default correlation and the default intensities are modelled by a new binomial intensity model. A Genetic Algorithm (GA) approach is also introduced to optimize a credit portfolio with the purpose of overcoming limitations of the analytical method and the traditional numerical method based on the first order condition. Empirically, the approach is applied to optimize Credit Default Swap (CDS) portfolios consisting of members of iTraxx and CDX indices. In Chapter 4, we focus on modelling counterparty risks of two important financial instruments: the Interest Rate Swap (IRS) and the CDS. Analytical solutions are derived for the theoretical fair prices of the IRS and the CDS under various assumptions of defaults of counterparties. Also a Monte Carlo approach is proposed as a numerical solution for the fair prices. Numerical experiments are designed to study the effects of various factors on the fair price. Empirically, we examine the counterparty risk of a CDS portfolio, composed of randomly selected single-names from iTraxx series 10.
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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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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 recent data coming from a German credit card company. The models have been built with a training sample and validated accordingly, using logistic regression. Information value and validation charts have been used for comparing the models. In the scoring process described, the scorecards are used in a sequential order. The author shows that minimizing losses might not be optimal in order to maximize profit. Finally, the author presents possible extensions to the research. The author hopes that the microeconomic analysis of the mechanics of a particular lender’s credit allocation process described in this thesis can play some part in preventing future financial crisis.
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Govender, Sagrie Chantele. "Pausing as practice in strategy - making and engagement - a case study." Diss., 2018. http://hdl.handle.net/10500/24964.
Full textAbstract:
The study explores pausing in action is, within the ambit of Strategy-as-practice (s-ap)
as an emergent school of thought. Pausing is thus discerned during the
implementation phase of the strategy of a credit risk system within a South African
bank, as strategy is known to take shape during implementation. Different sites of the
bank’s systems – change, strategy practitioners, and their times of pausing, form the
unit of analysis. Strategy-making and engagement are explored by understanding the
influence of pausing on enabling or disenabling the strategic outcome of the risk
system.
Pausing is situated in an applied and theoretical gap as an intangible under-theorised
strategy practice. Practitioners, as champions or non-champions of strategy, pause in
various ways, and attribute meaning to this ‘action’. Their account of pausing is
recognised for its value-adding or diminishing dimensions to strategy-making.
The study follows a comprehensive literature review which shows limited theoretical
positions on embodied, latent practices, such as pausing, as strategic practices. The
body of knowledge provides a challenge for scholars to consider perceived ‘silences’
or the ‘receding’ of strategists as un-remarked dimensions of strategy, which could
nevertheless be instrumental in the nature of the strategic outcome. The contribution
of the current study identifies pausing as a strategic practice, especially when
considered within the structure of engagement and social learningBusiness Management
M. Com. (Business Management)
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Бадюк, І. М. "Методологія кредитного ризик-менеджменту банку." Thesis, 2015. http://dspace.oneu.edu.ua/jspui/handle/123456789/3968.
Full textAbstract:
С полным текстом дипломных работ Вы можете ознакомиться в библиотеке корп.1, каб. 211 (электронный читальный зал)Мета дипломної роботи полягає в науковому обґрунтуванні та поглибленні методичних підходів і рекомендацій щодо управління банківським кредитним ризиком з урахуванням міжнародного досвіду.
Цель дипломной работы состоит в научном обосновании и углублении методических подходов и рекомендаций по управлению банковским кредитным риском с учетом международного опыта.
The aim of the thesis is a scientific justification and deepening of methodological approaches and recommendations for the management of Bank credit risk taking into account international experience.
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Laas, Andre Otto. "A structured approach to the strategic positioning of asset-backed short-term finance : a South African perspective." Thesis, 2017. http://hdl.handle.net/10500/23573.
Full textAbstract:
The emerging financial industry of asset-backed short-term finance was investigated by this study. Literature indicated that banks, locally and globally, are forced by regulation and the use of information technology, to rely less on human judgement and more on programmed decision-making, when evaluating loan applications. This leads to time-consuming processes with non-standard loan applications and loss of opportunities for business persons. Asset-backed short-term finance is a market response to this tendency. Due to the emerging nature of this industry, no previous academic description of or investigation into this industry could be found – a gap in academic literature which this study aims to fill. The industry is strategically positioned in relation to banks by focusing on functionality for urgent non-standard loan applications (period between application and decision, and access to decision-makers) as value proposition, where banks are found lacking. Relatively high interest rates form the profit proposition, as firms in this industry have limited access to funds. Collateral is central as risk-mitigating strategy, forming a part of the profit proposition. The people proposition is essential, as the industry is distinguished by individualised decision-making. A survey among customers of this industry identified four clusters of potential customers: The first had no needs unfulfilled by banks, while the other three clusters were attracted by either functionality, or the evaluation of collateral in contrast to repayment ability, or a combination of the two. A survey among providers revealed hesitance to supply information and a low level of agreement on strategic matters – possibly due to the emergent nature of the industry. It is asserted that the basis for further study was laid.Business Management
D. Com. (Business Management)
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Su, Ray, and 蘇瑞. "Procurement Strategy with Credit Risk." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/87372441373134990223.
Full text
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Chang, Chih-Chuan, and 張志全. "Credit Risk, Idiosyncratic Risk, and Earnings Management." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/36180661765872829976.
Full textAbstract:
碩士國立中興大學
高階經理人碩士在職專班
100
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 financing activities are negatively related to the credit risk of a firm whether the idiosyncratic risk are measured by market model or Fama-French three factors model, implying that the higher financed funds, the higher credit rating of a firm is. It is because the firm has more investment opportunities and is in growth stage. The idiosyncratic risk of a firm is positively related to the credit risk. Next, both accrual and real earnings managements are positively related the credit risk under considering the idiosyncratic risk, and the idiosyncratic risk is also positively related to credit risk. As for the compositions of real earnings management, abnormal cash flows are negatively related to the credit risk but both abnormal production cost and abnormal discretionary expense are unrelated to credit risk. In this case, we also find the idiosyncratic risk of a firm is positively correlated with the credit risk. Moreover, in sensitivity analysis, the evidence indicates that the idiosyncratic risk is negatively related to earnings smoothing and the firm with higher credit risk prefers to income smoothing strategy.
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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.
Full textAbstract:
碩士國立臺灣大學
商學研究所
86
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 has some issues as follows： 1、Use certain model to measure credit risk of any bonds、lo ans、receivables and derivatives whose value exposures are affected by the credit risk. 2、Use Black & Scholes and Vasicek model to extend the a sset pricing under the credit risk, which includes bonds pricing、loans pric ing、receivables pricing and derivatives pricing. 3、Introduce how to use this credit risk model to help obligees or investors to manage their assets'' credit exposures. 4、Introduce credit derivatives and develop new credit derivatives to help obligees or investors to hedge、 diversify a and gain access to credit exposures. 5、Use the result of the credit risk model and asset pricing to develop the pricing model of credit derivatives.
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Boiko, S. "Credit Risk Optimization." Thesis, 2013. http://essuir.sumdu.edu.ua/handle/123456789/63695.
Full textAbstract:
Автором розглянуті передумови та можливості використання окремих інструментів управління кредитним ризиком в банку.The author reviewed the prerequisites and possibilities of the use of certain instruments of credit risk management in bank.
State Institution of Higher Education “National Mining University"
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Zhang, QI. "Credit Risk, Fraud Risk, and Corporate Bond Spreads." Thesis, 2013. http://hdl.handle.net/1974/8000.
Full textAbstract:
Exploring the main factors that determine bond spreads with respect to Treasury rates is one of the most critical issues in the corporate debt market. Credit risk has long been perceived as the most important determinant of bond spreads (Fisher, 1959). One of the most critical parameters in credit risk models is asset volatility, which includes idiosyncratic and systematic components. However, these models do not distinguish between them. Chapter 2 investigates the impact of idiosyncratic volatility on bond portfolio spreads between 2000 and 2010. While the prediction of traditional asset pricing models is that firm-specific risk should be diversified away at aggregate level, I find idiosyncratic volatility plays an incremental role in explaining bond portfolio spreads beyond the market factors.
Recovery is an important measurement of credit risk additional to default probability. Chapter 3 focuses on the estimation of firm recovery after bankruptcy using the Leland and Toft (1996) model. Using a large sample of Chapter 11 filings from 1996 to 2007, I find that the recovery derived from the Leland and Toft model has strong explanatory power on the debt recovery observed in the market.
Recent literature finds that all extant credit risk models significantly underestimate bond spreads, especially for investment grade bonds of short maturity. Chapter 4 identifies a heretofore ignored component, perceived accounting misstatement, by regressing bond spreads on the proxy of accounting misstatement propensity, while controlling for issuers’ default risk and bond illiquidity risk between January 1994 and June 2002.
My thesis deepens the understanding of bond price discovery mechanisms and presents an important challenge for future research to incorporate the strong empirical relationship between idiosyncratic volatility and bond yields in asset pricing models. My thesis also sheds light on the accurate prediction of debt recovery, which is important to the valuation and hedging of risky debt and credit derivatives. Furthermore, my thesis assists in solving the credit spread puzzle by identifying a new risk factor. Overall, my thesis provides new insights into research on the corporate debt market and has important implications for academic scholars and market practitioners.Thesis (Ph.D, Management) -- Queen's University, 2013-04-30 20:22:12.594