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نتیجه جستجو - خطر اعتباری

تعداد مقالات یافته شده: 8
ردیف عنوان نوع
1 Non-interest income and bank lending
درآمد غیر بهره ای و وام دهی بانک-2018
This paper examines the influence of non-interest activities on bank lending in terms of loan quality and interest spread. We also investigate the possible existence of profit complementarities between non-interest activities and lending. Using quarterly data on 6921 U.S. commercial banks between 2007:Q3 to 2016:Q3 we find that non-interest activities have no adverse influence on bank credit risk. This is the case for banks of different asset size (including systemically important banks) as well as for distressed banks. There is evidence that banks with assets between $100 million and $1 billion that have a greater share of fiduciary income have lower credit risk. They also have lower interest rates on loans secured by real estate, and higher franchise values, particularly post-crisis. Moreover, banks in the aforementioned size range benefit from synergies in joint production of non-interest income and lending, whereas other banks, in particular smaller banks (below $100 million in assets) suffer from diseconomies of joint production. Larger banks exhibit cross-subsidization between several non-interest activities and lending business.
keywords: Non-interest income |Fiduciary |Credit risk |Spread |Profit complementarities
مقاله انگلیسی
2 House price, loan-to-value ratio and credit risk
قیمت خانه، نسبت وام به ارزش و خطر اعتباری-2018
Real estate transactions are often established through financing. We study the effect of financing on property prices. We show that properties can transact at prices well above their collateral values. Therefore, the commonly used loan-to-value (LTV) ratio suffers a bias that can significantly understate credit risk. This bias is exacerbated when mortgages are originated with longer terms, at higher LTV ratios, or when sellers possess stronger bargaining power. Furthermore, this bias is larger under aggressive lending products, e.g. interest-only loans and mortgages allowing negative amortization. Our simulation results suggest that many mortgages originated at the peak of the housing bubble are, in fact, “under water” at origination. In particular, the loan amount of a 30-year mortgage at a 95% LTV can be 15% greater than the collateral value of the property, suggesting the mortgage is already deep “under water” at origination. These findings call into questions underwriting and risk control practices in mortgages and other collateralized debts.
keywords: Asset prices |Bargaining |Mortgage financing |Loan-to-value ratio |Credit risk
مقاله انگلیسی
3 Credit risk modelling under recessionary and financially distressed conditions
مدلسازی خطر اعتباری تحت شرایط دشوار مالی و رکود -2018
This paper provides clear cut evidence that economic recession and distressed financial conditions, as well as political instability constitute the key factors for mortgage default. Banning foreclosure procedures, often adopted by governments to mitigate the effects of the above conditions on loan defaulting, are found to positively influence the loan default probability, and thus they make efforts of banks to restructure (or refinance) mortgage loans a difficult task. Our results add support to the view that foreclosure moratorium may raise moral hazard incentives that borrowers will not maintain their payments in long run. The empirical analysis of the paper is based on an extension of the discrete-time survival analysis model which allows for a structural break in its baseline hazard function and a unique set of individual loan accounts. We also consider alternative specifications of the binary link function between default events and covariates. Asymmetric link functions are found to be more appropriate under financial distressed conditions.
keywords: Mortgage loans |Survival analysis |Structural breaks |Financial distressed conditions |Probability of default
مقاله انگلیسی
4 Exposure at default modeling – A theoretical and empirical assessment of estimation approaches and parameter choice
قرار گرفتن در معرض مدلسازی تعویق بدهی - یک بررسی تئوریکی و تجربی دیدگاههای تخمین و انتخاب پارامتر-2018
Estimating the credit risk parameter exposure at default is important for banks from an internal risk management and a regulatory perspective. Several approaches are common in the literature and in practice. We theoretically and empirically analyze how the exposure at default should be modeled to obtain accurate estimates of the expected loss. Our empirical analysis is based on a large and unique dataset from a retail portfolio of a European bank. We demonstrate that some approaches can lead to substantially biased estimates of the expected loss and show that the generalized cohort approach is advantageous. Moreover, using in- and out-of-sample analyses, we empirically demonstrate that using the credit conversion factor is preferable to the loan equivalent factor, exposure at default factor, and direct exposure at default estimation to achieve high estimation accuracy.
keywords: Credit risk |Checking accounts |Exposure at default |Credit conversion factor |Probability of default
مقاله انگلیسی
5 Effects of IFRS-13 on the relevance of fair value adjusted by credit risk: Evidence from Europe
تاثیرات IFRS-13 روی مناسب بودن ارزش کالای تنظیم شده توسط خطر اعتباری: شواهدی از اروپا-2018
Accounting harmonization in Europe by International Financial Reporting Standard adoption is a recurrent object of study in the accounting literature. In this paper the consequences of the adoption of Standard-13 are analyzed. In particular, this research analyzes the effects on the implied volatility option (risk) for non-financial companies of three variables: financial leverage, own probability default (Debt Value Adjusted) and financial institutions credit risk (Credit Value Adjusted), before and after the adoption of the accounting standard on fair value. The empirical study focuses on member companies of the European Monetary Union zone to avoid other risk factors different to market risk (such as exchange rate or different risk free rate) and at the same time, easily identify the market portfolio (EUROSTOXX-50). To overcome the problems of endogeneity in the panel data, we use the technique System Generalized Method of Moments with instrumental variables to estimate the parameters. The results show that the leverage effect on excess risk does not change after adopting the Standard, however, its own and the financial institutions default probabilities become statistically significant. Furthermore, this novel methodology allows estimate industry asset betas and, in all cases the asset betas were lower than equity betas and, found an average debt beta of 0.4 for the sample period.
keywords: Credit Value Adjust|Debt Value Adjust|Fair value|Industry beta|Volatility
مقاله انگلیسی
6 Macroeconomic variable selection for creditor recovery rates
انتخاب متغیر اقتصاد کلان برای نرخ های بازیابی بستانکار-2018
We study the relationship between U.S. corporate bond recovery rates and macroeconomic variables used in the credit risk literature. The least absolute shrinkage and selection operator (LASSO) is used in selecting macroeconomic variables. The LASSO-selected macroeconomic variables are considered to be explanatory variables in ordinary least squares regressions, bootstrap aggregating (bagging), regression trees, boosting, LASSO, ridge regression and support vector regression techniques. We compare the out-of-sample predictive power of two types of models (LASSO-selected models with models that add principal components derived from 179 macroeconomic variables as explanatory variables). We find the recovery models with LASSO-selected macroeconomic variables outperform suggested models in the literature.
keywords: Macroeconomic variables |Least absolute shrinkage and selection operator (LASSO) |Corporate bond |Recovery rates |Credit risk
مقاله انگلیسی
7 Securitization bubbles: Structured finance with disagreement about default risk
حباب های سهامی سازی: سرمایه گذاری ساختاریافته با مخالفت درباره خطر پیش عدم پرداخت بدهی-2018
An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists’ demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors value junior tranches they expect to pay whenever aggregate conditions are good. Risk aversion and short selling through credit default swaps reduce the prices of both pass-through and structured securitizations but may increase the return to tranching.
keywords: Structured finance |CDO |RMBS |Disagreement |Default correlation |Credit risk |Great recession |Housing bubble
مقاله انگلیسی
8 عملکرد مدلهای ترکیبی در ارزیابی خطر عدم پرداخت بدهی
سال انتشار: 2016 - تعداد صفحات فایل pdf انگلیسی: 7 - تعداد صفحات فایل doc فارسی: 25
این مقاله، تحلیل پایه ای و تحلیل ادعای شرطی را درداخل یک مدل مرکب برای مدیریت خطر اعتباری، باهم ترکیب می کند. داده های ما شامل شرکتهای فرانسوی که در بازار بورس پاریس فهرست شده اند (Euronext Paris) می باشد. هدف ما بررسی این موضوع است که چگونه ترکیب کردن ارزیابی های مستمر که توسط بازار تامین می شوند، با ارزشهای استخراج شده از گزارشات مالی، توانایی ما را برای پیش بینی احتمال عدم پرداخت بدهی، بهبود می بخشد. درطی مرحله اول، احتمال عدم پرداخت بدهی با استفاده از هردو روش به صورت جداگانه تخمین زده می شود و پس از آن، احتمال عدم پرداخت بدهی مدل ساختاری در هر نقطه از زمان در مدل غیر ساختاری به عنوان یک متغیر توضیحی اضافی، وارد می شود. مدل ترکیبی به احتمال عدم پرداخت بدهی اجازه می دهد که به صورت مستمر از طریق یکپارچه سازی اطلاعات بازار و اطلاعات مربوط به احتمالات عدم پرداخت بدهی استخراج شده از مدل ساختاری، به روز شود. نتایج ما نشان می دهند که به هنگام وجود یک مدل ترکیبی با متغیرهای حسابداری، احتمالات عدم پرداخت بدهی استخراج شده از مدل ساختاری، به صورت قابل توجهی در توضیح خطر عدم پرداخت بدهی، سهیم هستند.
کلیدواژه ها: خطر عدم پرداخت بدهی | مدلهای ساختاری | مدلهای غیر ساختاری | مدل ترکیبی | مدل قیاسی | احتمال عدم پرداخت بدهی
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