institutions, credit analysis methodologies and applications are rapidly evolving. The Journal of Credit Risk is at the forefront in tackling the many issues and challenges posed by these novel technologies both in and out of periods of financial crisis. Topics include fintech, liquidity risk and th...
This research paper aims to analyze the credit risk involved in peer-to-peer (P2P) lending system of "LendingClub" Company. The P2P system allows investors to get significantly higher return on investment as compared to bank deposit, but it comes with a risk of the loan and interest not be...
exponential jump diffusion in their analysis of the risk-neutral and actual default probabilities, which can be considered complementary to our paper. In order to obtain a more realistic model, we also consider the tax benefit of coupon ...
Aim of this research paper it to develop an alternative model for portfolio credit risk to those widely used - CreditRisk+ and CreditMetrics. The model asp... M Kolman - 《Risk Management & Analysis in Financial Institutions Ejournal》 被引量: 0发表: 2014年 Factor Copula Model for Portfolio...
credit risk measurement credit risk hedging. View PDFReferences Bartosova, 2008 V. Bartosova Financial analysis and planning, Žilina: EDIS Publishers University of Zilina (2008), p. 82 Google Scholar Buc and Kliestik, 2013 D. Buc, T. Kliestik Aspects of statistics in terms of financial model...
Our aim is to provide a comparative analysis of risk factor modeling to assess the relevance of the BCBS's proposals of prescribing model and calibration procedures to reduce the RWAs variability and enhance comparability among financial institutions. For this purpose, we focus our analysis on the...
LEGAL RISK ANALYSIS, MODELING AND PROGRAMMING FOR E-COMMERCE IN CONSTRUCTION This paper presents an aspect of the ongoing research at the University of Michigan aiming to analyze the status of e-commerce in the construction industry... IA Ismail,VR Kamat - 《American Society of Civil Engineers》...
One important issue related to credit risk is the analysis of rating transitions and default rates. This consists of examining changes in the rating that international organizations give to firms that agree to be inspected. In this paper real credit risk data from the historical Standard & Po...
Credit risk analysis is not only an important research topic in finance, but also of interest in everyday life. Unfortunately, the non-linear nature of the widely accepted Black-Scholes option price model, which sits at the very heart of the structural credit risk model, causes great difficulty...
Unfortunately, models that do achieve better performance are typically much harder to interpret, a significant negative for the domain of credit risk analysis. In order to determine how much improvement may be possible, we compare the decision tree models with one of these state-of-the art ...