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From fault tree to credit risk assessment : a case study

Gatfaoui, Hayette - 2004 - This draft: September 2004

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability …

Persistent link: https://www.econbiz.de/10011513074

Credit Risk Factor Modeling and the Basel II IRB Approach

Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003

Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...

Persistent link: https://www.econbiz.de/10010295887

The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates

Roesch, Daniel - 2013

With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...

Persistent link: https://www.econbiz.de/10013073399

Credit Risk Factor Modeling and the Basel Ii IRB Approach

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989345

Believe Only What You See : Credit Rating Agencies, Structured Finance, and Bonds

Elamin, Mahmoud - 2012

This paper identifies rating verifiability as a key difference that explains why credit rating agencies (CRAs) failed to mitigate information asymmetries in the structured finance market but succeeded in the bond market. Two infinitely repeated models are analyzed. In the first, the rating is...

Persistent link: https://www.econbiz.de/10013098723

Screening in New Credit Markets : Can Individual Lenders Infer Borrower Creditworthiness in Peer-to-Peer Lending?

Iyer, Rajkamal - 2010

The current banking crisis highlights the challenges faced in the traditional lending model, particularly in terms of screening smaller borrowers. The recent growth in online peer-to-peer lending marketplaces offers opportunities to examine different lending models that rely on screening by...

Persistent link: https://www.econbiz.de/10013146855

Secured and Unsecured Credit Cycles

Giannantoni, Costanza; Patella, Valeria; Tancioni, … - 2022

Secured and unsecured credit composition differently affects the business cycle. US credit accounts are decomposed considering secured and unsecured contracts for businesses and households and their sample correlations with real activity compared to the conditional evidence from an estimated...

Persistent link: https://www.econbiz.de/10013404376

How to measure the credit risk of housing loans : evidence from a Taiwanese bank

Lu, Su-lien; Wang, Ming-chun - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 122-138

Persistent link: https://www.econbiz.de/10009682521

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

Survey of credit risk models in relation to capital adequacy framework for financial institutions

Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84

Persistent link: https://www.econbiz.de/10011673803

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