Article refers to the issue of credit risk management in commercial banks. Particular attention is paid to the problem … extreme values theory, the conditional loss distribution function and the profitability analysis of the loan portfolio. The …. -- credit risk ; probability of default ; stress test ; profitability …

Risk management techniques first developed by, and for, banks are now being adopted by non-financial corporations …. However, while firms are already engaged in activities intended to develop their risk management practices, they often do not … possess risk measures focused on key corporate financial results such as earnings or cash flow. The main contribution of this …

analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical … relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk … drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between …

angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been …

increases in risk taking. Where we can separately identify changes in risk-independent performance and risk taking, our … increases in risk taking. These effects are concentrated among those closest to the margin of elimination and among lower …

Office of the Comptroller of the Currency, Risk Analysis Division (OCC/RAD) consumer credit database (CCDB). This unusually … individual or groups of borrowers. -- Logistic regression ; CHAID ; specification testing ; risk management ; nonparametrics …