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PRACTICAL APPROACH TO THE VISION OVER CREDIT RISK AT THE LEVEL OF A COMMERCIAL BANK IN ROMANIA.IDENTIFICATION OF CREDIT RISK IN A CREDIT PORTFOLIO GRANTED FOR AGRICULTURE

Sbârcea, Ioana Raluca - In: Romanian Economic Business Review 6 (2011) 3, pp. 84-101

The activity of the commercial banks in Romania, in terms of managing credit risk is guided by rules and regulations imposed by the National Bank of Romania, but is also customized through the existence of some personal risk management policies, determined by the nature and scale of each bank....

Persistent link: https://www.econbiz.de/10010618209

State Debt of the Republic of Moldova as Essential Factor of the Country Risk

HINCU, Rodica; SUHOVICI, Ana; BUNU, Mariana; GUMOVSCHI, Ana - In: Economics and Applied Informatics (2010) 2, pp. 191-198

This paper discusses issues concerning of the state debt risk related to the Republic of Moldova and the determinants of the state debt in the context of the country risk. Special attention is devoted to analyzing the dynamics and structure of Moldova's foreign debt by currency and sector, in...

Persistent link: https://www.econbiz.de/10010625568

Analysing Interconnectivity among Economies

Wong, Alfred; Fong, Tom - Hong Kong Monetary Authority - 2010

As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...

Persistent link: https://www.econbiz.de/10010628208

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - HAL - 2013

the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process 'closest …' to a prior loss process, verifying the calibration constraints. We formalize the problem in terms of minimization of … reveal strong evidence for the dependence of loss transitions rates on the past number of defaults, thus offering …

Persistent link: https://www.econbiz.de/10010631315

Regulation of Pension Fund Credit Risk: Lessons from the Banking Sector

Herbst, Pedro Americo; Júnior, Antonio Marcos Duarte - In: Brazilian Business Review 4 (2007) 2, pp. 132-148

This article examines the regulatory framework for managing the credit risk of pension funds in Brazil. We believe that the current framework is not very effective at controlling credit risk, and also overly limits the investment possibilities of pension fund managers. We consider the regulatory...

Persistent link: https://www.econbiz.de/10010631419

Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

Subrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, … - Hong Kong Institute for Monetary Research (HKIMR), … - 2012

Credit default swaps (CDS) are derivative contracts that are widely used as tools for credit risk management. However, in recent years, concerns have been raised about whether CDS trading itself affects the credit risk of the reference entities. We use a unique, comprehensive sample covering CDS...

Persistent link: https://www.econbiz.de/10010631753

Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach

Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2013

This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM) supplemented by...

Persistent link: https://www.econbiz.de/10010631759

A macro stress test model of credit risk for the Brazilian banking sector

Vazquez, Francisco; Tabak, Benjamin M.; Souto, Marcos - In: Journal of Financial Stability 8 (2012) 2, pp. 69-83

This paper proposes a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios in 21 granular categories, covering household and corporate loans. The results corroborate the...

Persistent link: https://www.econbiz.de/10010572701

Regret theory and the banking firm: The optimal bank interest margin

Wong, Kit Pong - In: Economic Modelling 28 (2011) 6, pp. 2483-2487

This paper examines the optimal bank interest margin, i.e., the spread between the loan rate and the deposit rate of a bank, when the bank is not only risk-averse but also regret-averse. Regret-averse preferences are characterized by a utility function that includes disutility from having chosen...

Persistent link: https://www.econbiz.de/10010573268

A coupled Markov chain approach to credit risk modeling

Wozabal, David; Hochreiter, Ronald - In: Journal of Economic Dynamics and Control 36 (2012) 3, pp. 403-415

We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating...

Persistent link: https://www.econbiz.de/10010573984