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Risk Management in Banking : Credit Risk Management and Bank Closure Policies
Erlenmaier, Ulrich - 2001
Diese Arbeit besteht aus drei, sich unabhängig voneinander erschließenden Artikeln,die sich alle mit dem Thema Risikomanagement in der Bankenindustrie befassen. Im ersten Artikel (Kapitel 2) werden die vier zur Zeit in der Praxis am häufigstenverwendeten Kreditrisikomodelle analysiert. Fokus...
Persistent link: https://www.econbiz.de/10009476253
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Kredito rizikos valdymas banke. Paskolų registrai ir jų vaidmuo šiuolaikinėje bankininkystėje
Kazlauskaitė, Jurgita - 2010
Įvertinant bankinio sektoriaus svarbą ekonomikoje, bankinio sektoriaus krizių ekonominius ir socialinius padarinius, o taip pat karčią patirtį tiek užsienio, tiek Lietuvos bankininkystės istorijoje, galima teikti, kad tinkami duomenys apie paskolos gavėjus ir jų įsipareigojimus...
Persistent link: https://www.econbiz.de/10009478648
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Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation
Alonso, Andrés; Carbó Martinez, José Manuel - 2021
En este artículo estudiamos el rendimiento de diferentes modelos de aprendizaje automático —machine learning (ML)— en la predicción de incumplimiento crediticio. Para ello hemos utilizado una base de datos única y anónima de uno de los bancos españoles más importantes. Hemos comparado...
Persistent link: https://www.econbiz.de/10012525481
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Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation
Alonso, Andrés; Carbó Martinez, José Manuel - 2021
Summary of Banco de España Working Paper no. 2105
Persistent link: https://www.econbiz.de/10012526625
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Modelling the distribution of credit losses with observable and latent factors
Jiménez Zambrano, Gabriel; Mencía González, Javier - 2007
This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...
Persistent link: https://www.econbiz.de/10012530162
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Assessing the risk-return trade-off in loan portfolios
Mencía González, Javier - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10012530275
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Stress testing in credit risk analysis
Ramanauskaitė, Giedrė - 2008
The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest...
Persistent link: https://www.econbiz.de/10009479022
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A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandacka, Martin; Mencía González, Javier - 2010
We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifi es the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....
Persistent link: https://www.econbiz.de/10012530304
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Why do Spanish firms rarely use the bankruptcy : the role of the mortgage institution
García-Posada, Miguel; Mora-Sanguinetti, Juan S.
the Spanish bankruptcy system relative to that of an alternative insolvency institution, the mortgage system, and the …
Persistent link: https://www.econbiz.de/10012530403
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Insolvency institutions and efficiency : the Spanish case
García-Posada, Miguel - 2013
alternative insolvency institution, namely the mortgage system, mean that firms and their creditors mainly deal with credit … provision and eventual insolvency through the latter. However, in order to use the mortgage system, some firms must overinvest … in capital assets (real estate, equipment) since those are the assets that can be pledged as mortgage collateral. This …
Persistent link: https://www.econbiz.de/10012530410