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Niwan Wattanakitrungroj, Pimchanok Wijitkajee, Saichon Jaiyen, Sunisa Sathapornvajana and Sasiporn Tongman
For the financial health of lenders and institutions, one important risk assessment called credit risk is about correctly deciding whether or not a borrower will fail to repay a loan. It not only helps in the approval or denial of loan applications but a...
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Dean Fantazzini
In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, the da...
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Michael Jacobs, Jr.
In this study, we consider the construction of through-the-cycle (?TTC?) PD models designed for credit underwriting uses and point-in-time (?PIT?) PD models suitable for early warning uses, considering which validation elements should be emphasized in ea...
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Michael Jacobs, Jr.
The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of...
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Giuseppe Orlando and Roberta Pelosi
Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance....
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Zouhaier Hadhek,Manel Frifita,Mosbah Lafi
Pág. 20 - 29
In this article, we estimate the determinants of the profit efficiency of Islamic banks using the Stochastic Frontier Analysis (SFA) stochastic frontier approach. We use 37 Islamic banks in fifteen countries between 2005 and 2014. We compare efficiency b...
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Alessandra Canepa and Fawaz Khaled
This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations is also clo...
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Afroze Nazneen,Sanjeev Dhawan
Pág. 90 - 98
For a large and diverse country like India, ensuring financial access to penetrate growth and entrepreneurship is a critical priority. In this scenario, the Non-Banking Finance Companies (NBFCs) sector has scripted a story that is remarkable. It speaks t...
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Tharwah Shaalan
Pág. 151 - 156
This paper aims to classify the credit risk and interpret the operational efficiency for Islamic banks listed on the Bahrain Stock Exchange (BSE). The paper is divided into two parts. Part I relates to classifying the risk of lending via a range of varia...
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Alexander S. Ksenofontov,Igor V. Savon,Vladimir Y. Serba,Dmitry V. Shkurkin
Pág. 14 - 18
The paper has developed a set of evaluation models of the probability of corporate borrowers? default, taking into account the macroeconomic and institutional factors on the example of the Russian construction industry companies. At the beginning of 2014...
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