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EU banks rating assignments: Is there heterogeneity between new and old member countries?

Caporale, GM; Matousek, R; Stewart, C - 2009

We model EU countries? bank ratings using financial variables and allowing for intercept and slope heterogeneity. We … find that country-specific factors (in the form of heterogeneous intercepts) are a crucial determinant of ratings. Whilst … ?new? EU countries typically have lower ratings than ?old? EU countries, after ontrolling for financial variables, all …

Persistent link: https://www.econbiz.de/10009481446

Overview of central banks’ in-house credit assessment systems in the euro area

Auria, Laura; Bingmer, Markus; Caicedo Graciano, Carlos …

Los sistemas de evaluación del crédito desarrollados internamente por los bancos centrales nacionales (ICAS) son una fuente importante de valoración del riesgo de crédito dentro del marco de los activos de garantía de política monetaria del Eurosistema. En particular, los ICAS permiten que...

Persistent link: https://www.econbiz.de/10012666483

Dinámica temporal de diferentes definiciones de impago

Martínez Resano, José Ramón

Artículo de revista ; A primera vista, la definición de impago que dan las agencias de calificación (rating) parece bastante simple. De acuerdo con Standard & Poors, «se considera que se ha producido un impago cuando tiene lugar por primera vez el impago [sic] de cualquier obligación...

Persistent link: https://www.econbiz.de/10014287425

Un sistema de clasificación (rating) de acreditados

Trucharte Artigas, Carlos; Marcelo Antuña, Antonio

Artículo de revista ; En función de la posibilidad que, para las entidades de crédito individuales, establece la actual propuesta de reforma del Acuerdo de Capital de 1988 (Basilea II) a la hora de calcular sus requerimientos mínimos de capital a partir de sus procedimientos internos de...

Persistent link: https://www.econbiz.de/10014287426

The economic basis of syndicated lending

Wild, William - 2004

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...

Persistent link: https://www.econbiz.de/10009438164

European Sectors and Conditional Measures of Extreme Market and Credit Risk

Powell, Robert; Allen, David - 2010

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...

Persistent link: https://www.econbiz.de/10009440833

Business failure prediction using decision trees

Gepp, Adrian; Kumar, Kuldeep; Bhattacharya, Sukanto - 2009

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...

Persistent link: https://www.econbiz.de/10009441694

Multi-country study of bank credit risk determinants

Ahmad, Nor Hayati; Ariff, Mohamed - 2007

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...

Persistent link: https://www.econbiz.de/10009441719

Dynamic Optimization of Area Revenue Insurance and Consumption Smoothing

Lin, Shanshan; Mullen, Jeffrey D.; Wetzstein, Michael - 2010

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...

Persistent link: https://www.econbiz.de/10009446127

Dynamic Asset (and Liability) Management under Market and Credit Risk

Jobst, N J; Mitra, G; Zenios, S A - 2003

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...

Persistent link: https://www.econbiz.de/10009465480