发布求助
文献互助 智能选刊 最新文献

Journal of Credit Risk最新文献

筛选
英文 中文
Three Ways to Improve the Systemic Risk Analysis of the Central and Eastern European Region using SRISK and CoVaR 利用SRISK和CoVaR改进中东欧地区系统性风险分析的三种方法
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2019-08-12 DOI: 10.21314/jcr.2021.001
M. Karaś, W. Szczepaniak
{"title":"Three Ways to Improve the Systemic Risk Analysis of the Central and Eastern European Region using SRISK and CoVaR","authors":"M. Karaś, W. Szczepaniak","doi":"10.21314/jcr.2021.001","DOIUrl":"https://doi.org/10.21314/jcr.2021.001","url":null,"abstract":"This paper proposes three modifications to the calculation of SRISK and CoVaR. These modifications make it possible to apply the two measures to an additional 31 systemically important financial institutions in the Central and Eastern European (CEE) region. They also add information about interconnectedness and complexity, and illuminate risk factors that are endemic to CEE and Western European stock markets. We empirically analyze Bulgaria, Estonia, Czechia, Hungary, Latvia, Lithuania, Poland, Romania and Slovakia in the period from 2006 to 2018. The results confirm increased systemic risk in the years 2008–9 and 2012–13. Systemic risk rankings demonstrate the significant scale of systemic risk relative to gross domestic product for many of the countries under analysis. The results also confirm that systemic risk in the CEE region has the same theoretical properties as it does in advanced economies. This finding underlines that it is necessary to analyze the CEE region using measures of systemic risk that are at least as sophisticated as those used in the most developed countries.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"56 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2019-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91156331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Small and Medium-sized Enterprises that Borrow from 'Alternative' Lenders in the United Kingdom: Who Are They? 向英国“另类”贷款机构借款的中小企业:他们是谁?
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2019-08-12 DOI: 10.21314/jcr.2021.002
G. Sabato, E. Altman, G. Andreeva
{"title":"Small and Medium-sized Enterprises that Borrow from 'Alternative' Lenders in the United Kingdom: Who Are They?","authors":"G. Sabato, E. Altman, G. Andreeva","doi":"10.21314/jcr.2021.002","DOIUrl":"https://doi.org/10.21314/jcr.2021.002","url":null,"abstract":"Access to credit for small and medium-sized enterprises (SMEs) is an important condition of successful economic growth. Lending to SMEs is no longer restricted to banks: many new players (or alternative lenders) are entering the credit market. However, the research has not identified what kind of SMEs choose these alternative lenders. Are they just a random sample from the overall population of SMEs or are they different in some specific respects? Is their credit quality better or worse? This study provides a general overview of the external financing landscape for the UK SMEs and an exploratory analysis of the SME portfolio of one of the alternative lenders in the United Kingdom. The results indicate that clients of the alternative peer-to-peer lender are younger and have more debt, but they also have higher returns than a generic sample of UK SMEs. Their probability of default, as estimated by the SME Z-score, is lower. We conclude that the alternative markets for SME lending may be heterogeneous in terms of risk. At least some alternative lenders have a sound risk level and are attractive to high-quality borrowers. Therefore, they act as a substitute for traditional lending.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"10 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2019-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90372244","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Costs of capital under credit risk 信用风险下的资本成本
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2019-01-01 DOI: 10.21314/jcr.2019.254
Peter Reichling,Anastasiia Zbandut
{"title":"Costs of capital under credit risk","authors":"Peter Reichling,Anastasiia Zbandut","doi":"10.21314/jcr.2019.254","DOIUrl":"https://doi.org/10.21314/jcr.2019.254","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"30 5","pages":"1-28"},"PeriodicalIF":0.3,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A consumer credit risk structural model based on affordability: balance at risk 基于可负担性的消费信贷风险结构模型:风险平衡
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2019-01-01 DOI: 10.21314/jcr.2018.244
Marcelo Perlin,Marcelo B. Righi,Tiago P. Filomena
{"title":"A consumer credit risk structural model based on affordability: balance at risk","authors":"Marcelo Perlin,Marcelo B. Righi,Tiago P. Filomena","doi":"10.21314/jcr.2018.244","DOIUrl":"https://doi.org/10.21314/jcr.2018.244","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"104 7","pages":"1-19"},"PeriodicalIF":0.3,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
IFRS 9 Compliant Economic Adjustment of Expected Credit Loss Modeling 符合IFRS 9的预期信用损失模型的经济调整
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-08-28 DOI: 10.21314/jcr.2020.260
Mariya Gubareva
{"title":"IFRS 9 Compliant Economic Adjustment of Expected Credit Loss Modeling","authors":"Mariya Gubareva","doi":"10.21314/jcr.2020.260","DOIUrl":"https://doi.org/10.21314/jcr.2020.260","url":null,"abstract":"This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling. Commonly, credit default swap(CDS) spreads are considered as market indicators of future debt performance. However, we demonstrate empirically that nondefault risks explain a relevant part of the CDS spread, and we assess the average weight-of-default component for each point in the CDS spread term structure. Thus, to be used for probability of default estimations, CDS spreads must be adjusted for the nondefault component to guarantee the neutral character of expected credit loss estimations, as required by IFRS 9. Our study introduces an innovative methodology for extracting the pure default component and probability of default calibration. To enable economic adjustment of probabilities of default we analyze the relationship between a long-run average of the across-the-sample mean CDS spread of the homogeneous cohort of issuers and the spread implied by the long-run average of the observed default rates. Our easy-to-implement solution is applied to a sample of investment-grade and high yield corporate debt issuers. We exploit differences in the economic performance of North American and euro zone obligors. The proposed framework allows us to understand complex interactions between the forward-looking impairment provisions and economic capital requirements in relation to credit losses.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"25 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2018-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74630514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
An empirical study on credit risk management: the case of nonbanking financial companies 信用风险管理的实证研究:以非银行金融公司为例
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-08-22 DOI: 10.21314/JCR.2017.239
Sunita Mall
{"title":"An empirical study on credit risk management: the case of nonbanking financial companies","authors":"Sunita Mall","doi":"10.21314/JCR.2017.239","DOIUrl":"https://doi.org/10.21314/JCR.2017.239","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"96 1","pages":"49-66"},"PeriodicalIF":0.3,"publicationDate":"2018-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86717226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A new model for bank loan loss given default by leveraging time to recovery 一个新的银行贷款损失模型，通过利用时间来恢复违约
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-08-08 DOI: 10.21314/JCR.2017.237
Heng Z. Chen
{"title":"A new model for bank loan loss given default by leveraging time to recovery","authors":"Heng Z. Chen","doi":"10.21314/JCR.2017.237","DOIUrl":"https://doi.org/10.21314/JCR.2017.237","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"13 1","pages":"1-29"},"PeriodicalIF":0.3,"publicationDate":"2018-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81315014","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Default contagion among credit modalities: evidence from Brazilian data 信用模式之间的违约传染:来自巴西数据的证据
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-08-08 DOI: 10.21314/JCR.2017.238
Michel Alexandre, Giovani Antônio Silva Brito, T. Martins
{"title":"Default contagion among credit modalities: evidence from Brazilian data","authors":"Michel Alexandre, Giovani Antônio Silva Brito, T. Martins","doi":"10.21314/JCR.2017.238","DOIUrl":"https://doi.org/10.21314/JCR.2017.238","url":null,"abstract":"The aim of this paper is to assess the impact of the default of some personal credit modality in the future default of the other modalities. Using Brazilian microdata, we run a logistic regression to estimate the probability of default in a given credit modality, including among the explanatory variables the personal overdue exposure in the other credit modalities. Our results show that such effect is positive and significant, although quantitatively heterogeneous. We also discuss the rationale behind these results. Specifically, it was found that financing credit modalities (vehicle and real estate financing) contaminate more the other credit modalities, as their default may bring to the debtor the loss of the financed good. Moreover, riskier loan categories (overdraft, non-payroll-deducted personal credit and credit card) are more contaminated by the default of other modalities, what is explained by the fact that defaulted individuals have a limited access to less risky credit modalities.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"20 1","pages":"31-48"},"PeriodicalIF":0.3,"publicationDate":"2018-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83707079","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A structural credit risk model based on purchase order information 基于采购订单信息的结构性信用风险模型
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-06-15 DOI: 10.21314/jcr.2021.016
Suguru Yamanaka, Misaki Kinoshita
{"title":"A structural credit risk model based on purchase order information","authors":"Suguru Yamanaka, Misaki Kinoshita","doi":"10.21314/jcr.2021.016","DOIUrl":"https://doi.org/10.21314/jcr.2021.016","url":null,"abstract":"This study proposes a credit risk model based on purchase order (PO) information, which is called a gPO-based structural model,hand performs an empirical analysis on credit risk assessment using real PO samples. A time-series model of PO transitions is introduced and the asset value of the borrower firm is obtained using the PO time-series model. Then, we employ a structural framework in which default occurs when the asset value falls below the debt amount, in order to estimate the default probability of the borrower firm. The PO-based structural model enables us to capture borrower firms' precise business conditions on a real-time basis, which is not the case when using only financial statements. With real PO samples provided by some sample firms, we empirically show the effectiveness of our model in estimating default probabilities of the sample firms. One of the advantages of our model is its ability to obtain default probabilities reflecting borrower firms' business conditions, such as trends in PO volumes and credit quality of buyers.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"1 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2018-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42303253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wrong-Way Risk of Interest Rate Instruments 利率工具的错误风险
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-03-01 DOI: 10.21314/JCR.2018.248
R. Ben-abdallah, M. Breton, Oussama Marzouk
{"title":"Wrong-Way Risk of Interest Rate Instruments","authors":"R. Ben-abdallah, M. Breton, Oussama Marzouk","doi":"10.21314/JCR.2018.248","DOIUrl":"https://doi.org/10.21314/JCR.2018.248","url":null,"abstract":"Wrong-way risk (WWR) arises when the value of a financial transaction is adversely correlated with the creditworthiness of the counterparty. This paper investigates WWR effects on the pricing of counterparty credit risk for interest rate instruments. These effects are captured via the correlations between the default of the counterparty and the two relevant market risk factors, namely the level and the volatility of the instantaneous spot interest rate. We consider an interest rate model featuring unspanned stochastic volatility behavior in order to analyze the effects of correlations on both volatility-insensitive instruments (interest rate swaps) and volatility-sensitive products (interest rate caps and floors). We also investigate the impact of correlation on the gap risk in collateralized instruments. Our empirical findings show that the wrong-way effect induced by the dependence between the interest rate volatility and the default intensity is generally small, even for volatility-sensitive derivatives. However, a dependence between the interest rate level and the default intensity has a sizable impact on counterparty risk.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"4 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89046357","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信