Climate change can be a source of financial risk. This paper examines how credit rating agencies accepted by the Eurosystem incorporate climate change risk in their credit ratings. It also analyses how rating agencies disclose their assessments of climate change risks to rating users. The paper...

Seit Jahrzehnten entscheidet der Kreditscore über den Abschluss von Kreditverträgen. Hierbei handelt es sich um eine Methode zur Quantifizierung von Vertrauen, da der Kreditscore die "Vertrauensfrage Kreditvergabe" numerisch beantwortet. KI und Big Data lassen auf genauere Bonitätsbewertungen...

Purpose This paper aims to present a literature review of the most recent optimisation methods applied to Credit Scoring Models (CSMs). Design/methodology/approach The research methodology employed technical procedures based on bibliographic and exploratory analyses. A traditional investigation...

This study aims to track the structural development of academic research on credit risk assessment and big data using bibliometric analysis. The bibliography is obtained from the Scopus database and contains all studies with citations published between 2012 and 2021. The study's findings suggest...

We study the impact of financing constraints on corporate risk management. Using data on credit scores matched with unique information on firm level commercial insurance purchases, we find that financing constraints lead to higher insurance spending. We adopt a regression discontinuity design...

In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is assumed that all the model’s parameters are known. In practice, however, the parameters must be estimated and this introduces an additional source of uncertainty that is...

The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments. The...

The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments. The...

The paper proposes an explainable AI model that can be used in credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing credit scoring platforms. The model applies similarity networks to Shapley values, so that AI predictions are grouped...

The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and other asset managers relied on credit rating agencies (CRAs) as the main source of information for credit...