Šio darbo tikslas – išsiaiškinti, kokią įtaką atskiros paskolų charakteristikos (terminas, suma, palūkanų norma, tipas) turėjo įsipareigojimų nevykdymo rizikai Lietuvos kredito unijose 2006-2008 metais. Darbą sudaro trys pagrindinės dalys. Pirmoje darbo dalyje pateikiami kredito...

University of Minnesota Ph.D. dissertation. August 2009. Major: Business Administration. Advisor: Rajesh K. Aggarwal. 1 computer file (PDF); vii, 233 pages.

This work undertakes the first comprehensive theoretical assessment of syndicated loans. It is shown that syndicated and bilateral (single lender) loans should be good substitutes in meeting a borrower's financing requirements, but that syndicated loans are more complex and impose additional...

The objective of this paper is to determine how relative market and credit risk changes among European sectors during times of extreme market fluctuations. Ten sectors comprising the S&P Euro index are compared prior to and during the Global Financial Crisis (GFC). Market risk is measured using...

Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly financial investment and lending. The potential value of such models is emphasised by the extremely costly failure of high-profile companies in the recent past. Consequently, a...

This paper presents fresh findings about key determinants of credit risk of commercial banks in emerging economy banking systems compared with developed economies. Australia, France, Japan and the US represent developed economies; emerging economies are India, Korea, Malaysia, Mexico and...

This study examines the interaction between insurance, credit and liquidityconstraints using a stochastic dynamic model. A risk averse farmer whoseobjective is to manage both production and market risk is assumed tomaximize the expected utility of life-time consumption by using both arearevenue...

We introduce a modelling paradigm which integrates credit risk and marketrisk in describing the random dynamical behaviour of the underlying fixed income assets.We then consider an asset and liability management (ALM) problem and develop a mul-tistage stochastic programming model which focuses...

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...

Existing literature has focused attention on the impact of Basle I and similar capital requirement regulations on developed countries where such regulations were found to be effective in increasing capital ratios and reducing portfolio credit risk of commercial banks. In the present study, we...