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Big data and credit risk assessment : a bibliometric review, current streams, and directions for future research

Nobanee, Haitham; Shanti, Hiba Zaki; Aldhanhani, Hind; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

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...

Persistent link: https://www.econbiz.de/10014500268

Credit risk reduction effect on small and medium-sized enterprise finance through the use of bank account information

Nemoto, Naoko; Yoshino, Naoyuki; Okubo, Yutaka; Inaba, … - 2018

This paper verifies the impact of bank account information, such as information on deposits and withdrawals, that is not necessarily fully accounted for in conventional internal ratings and that can affect the accuracy of the default predictions of small and medium-sized enterprises (SMEs). The...

Persistent link: https://www.econbiz.de/10011884409

Credit risk transfer and bank competition

Hakenes, Hendrik; Schnabel, Isabel - 2009

We present a banking model with imperfect competition in which borrowers’ access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is...

Persistent link: https://www.econbiz.de/10003883661

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

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are assigned lower ratings, ceteris paribus, than "old" ones. We...

Persistent link: https://www.econbiz.de/10003971004

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

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

Persistent link: https://www.econbiz.de/10003974520

Shocks to bank capital : evidence from UK banks at home and away

Mora, Nada; Logan, Andrew - 2010

This paper assesses how shocks to bank capital may influence a bank's portfolio behaviour using novel evidence from a UK bank panel data set from a period that pre-dates the recent financial crisis. Focusing on the behaviour of bank loans, we extract the dynamic response of a bank to innovations...

Persistent link: https://www.econbiz.de/10003951118

Conservative stress testing : the role of regular verification

Geršl, Adam; Seidler, Jakub - 2010

This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly...

Persistent link: https://www.econbiz.de/10008655612

Stress testing German banks in a downturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - 2009

Stresswirkung auf die Kreditportfolien der Banken. Hierzu gehören z.B. der Vergleich der Verwendung von kreditnehmerabha͏̈ngigen … berücksichtigen: Obwohl der Anteil der Forderungen gegenüuber dem Automobilsektor für alle Banken in der Stichprobe relativ zum … Millionenkredite erlaubt eine konsistente Anwendung des Stresstests für unterschiedliche Banken. Insbesondere können Klumpenrisiken …

Persistent link: https://www.econbiz.de/10003813026

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...

Persistent link: https://www.econbiz.de/10009509090

Stress testing German banks against a global cost-of-capital shock

Düllmann, Klaus; Kick, Thomas - 2012

This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...

Persistent link: https://www.econbiz.de/10009509091

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