Online lending provides a means of fast financing for borrowers based on their creditworthiness. However, borrowers may undermine this agreement due to early repayment or default, which are two major concerns for the platform and lenders, since both affect the profitability of a loan. While...

The thesis proposes to assess the risk topic in the context of foreign investment decisions. In identifying two main risk-related concepts, I have split risks in two categories using a unique criterion: the ratio between the endogenous and exogenous content of the problem. According to it, I...

The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic regression model applied as a predictive model. The assessment is done by comparing the effectiveness of eleven different parameter estimation methods. The results from the...

This paper presents two cases of random banking data generators based on migration matrices and scoring rules. The banking data generator is a breakthrough in researches aimed at finding a method to compare various credit scoring techniques. These data are very useful for various analyses to...

In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that are further used to construct base learners that constitute the final...

This study focuses on estimating credit rating migration probabilities using a continuous-record approach while controlling for the effects of idiosyncratic and systematic risk factors. Short- and long-run relationships between asset quality and obligor ratings are modeled and quantified using...

Risk management is one of the most important branches of business and finance. Classification models are the most popular and widely used analytical group of data mining approaches that can greatly help financial decision makers and managers to tackle credit risk problems. However, the...

Wrong way risk (WWR) is a consideration for regulatory capital for credit valuation adjustment (CVA). WWR is also of interest for pricing and accounting and in these cases must include funding as well as exposure and default in CVA and FVA calculation. Here we introduce a model independent...

XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and secured/cleared trades where KVA and MVA play a material role even if CVA and FVA do not. However, this effect has...

This paper surveys the research on optimal consumption and investment problem of an agent who is subject to bankruptcy that has a specified utility (reward or penalty). The bankruptcy utility, modeled by a parameter, may be the result of welfare subsidies, the agent's innnate ability to recover...