Purpose The purpose of this paper is to measure the systemic importance of industry in the world economic system under the system-wide event – the crisis of 2008-2009, by viewing this system as a weighted directed network of interconnected industries. Design/methodology/approach First, the...

Purpose – Intensive traffic often occurs in web‐enabled business processes hosted by travel industry and government portals. An extreme case for intensive traffic is flash crowd situations when the number of web users spike within a short time due to unexpected events caused by political...

Reports that banks have to implement additional risk management techniques owing to the failure of existing models to prevent losses that occurred as a result of financial upheaval. Discusses survey results of chartered accountants Deloitte and Touche, about the establishment of banks’ new...

The assessment of businesses' credit risk is a difficult and important process in the area of financial risk management. In a classical multivariate model, financial ratios are combined in order to achieve a credit risk score, which signals if a loan application is approved or discarded. Despite...

A lack of reliable credit risk measurements and poor control of credit risks has caused massive financial losses across a wide spectrum of business. Financial institutions like banks have not been able to control and contain the rapid increases of the credit defaulting. In this paper, we address...

Abstract In this paper, we study a credit risk (collateral) management scheme for the Canadian retail payment system designed to cover the exposure of a defaulting member. We estimate ex ante the size of a collateral pool large enough to cover exposure for a historical worst-case default...

Summary The forward rate curve is assumed to follow a stochastic differential equation w.r.t. a Lévy process with infinite dimensions. Conditions under which the market is free of arbitrage are provided for both the interest rate case and for the case of credit risk with ratings. A simulation...

Abstract We design a discrete time arbitrage-free model under incomplete information for application to credit risk models in the spirit of Duffie and Lando (2001). We assume a fundamental value process evolving according to a complete market model and a sequence of imperfect signals conveying...

Purpose Credit risk evaluation is a crucial task for banks and non-bank financial institutions to support decision-making on granting loans. Most of the current credit risk methods rely solely on expert knowledge or large amounts of data, which causes some problems like variable interactions...

Purpose – The purpose of this paper is to, first, analyse to what extent the default probability based on structural models provides additional information and that accounting ratios do not contemplate. Second, to design hybrid models by including the default probability from structural models...