Probability of default

Xem 1-20 trên 32 kết quả Probability of default
  • Recently, financial institutions have developed improved internal risk rating systems and emphasized the probability of default and loss given default. The default characteristics are studied for 756 loans from a French bank: CIC- Banque SNVB. A binomial logit regression is used to estimate several models of the probability of default of agribusiness loans based on information available at loan origination. The results show that leverage, profitability and liquidity at loan origination are statistically significant indicators of the probability of default.

    pdf30p nguyenminhlong19 21-04-2020 4 0   Download

  • Standard approach to low default portfolio (LDP) probability of default (PD) calibration is to add conservative add-on that should cover the gap with scarce default event data. The most prominent approaches to add-on calibration are based on an assumption about the level of the conservatism (quantile of default event distribution), but there is no transparent way to calibrate it or to relate the level of conservatism to a risk profile of the Bank. Over conservative assumptions can lead to undue shrinkage in LDP and negative shift in the overall risk-profile.

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  • The main aim is to determine which parameters affect mostly on PD of a firm. The experiment is based on the orthogonal array L9 in which the four parameters are varied at three levels.

    pdf10p kelseynguyen 26-05-2020 5 0   Download

  • This paper aims to study the impact of endogenous and exogenous factors on the default probability through the structural approach (Internal Ratings-Based IRB). The study is conducted using data from listed companies on the Stock Exchange of Casablanca (BVMC); it covers the period from the beginning to the end of 2017. In this paper, we propose a numerical method, based on Monte Carlo simulation, to estimate the default probabilities using the Black & Scholes (1973) model.

    pdf12p chauchaungayxua2 19-01-2020 9 0   Download

  • The aim of this paper is to apply a Gaussian process to decompose the time series of crude default rates into three components: age of the loan, quality of the loan and the exogenous economic environment. This is supported by the empirical result for a mortgage and personal loans portfolio based on five years of historic data. The Gaussian process does not impose an explicit parametric structure to the relationship between the three components and the default rate compared to other methodologies that assume a linear structure.

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  • The present economic and financial crisis has underlined the importance to financial institutions and investors of having access to efficient methods of quantifying credit risk, or the probability of default. The logit models are among the techniques commonly used by large organizations and rating agencies for predicting insolvency. However, it should be borne in mind that some problems arise when using these models, such as the selection of the explanatory variables or the composition of the sample from which the model is obtained.

    pdf13p nguyenminhlong19 21-04-2020 7 0   Download

  • The author presented the results of research based on the extreme values theory, the conditional loss distribution function and the profitability analysis of the loan portfolio. The achieved outcomes has been shown in the context of the provisions of the New Basel Capital Accord and the subsequent consultation documents published by the Basel Committee on Banking Supervision. It was shown that losses caused by the rare but still plausible events could significantly exceed the minimum capital requirements estimated in accordance with IRB method.

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  • Luận văn sử dụng phương pháp chọn mẫu ngẫu nhiên để thu thập cơ sở dữ liệu 258 khách hàng doanh nghiệp có quan hệ vay vốn tại Habubank trong khoảng thời gian từ năm 2008 đến năm 2010. Sau đó, sẽ áp dụng phương pháp phân tích thống kê mô tả để phân tích đặc điểm của mẫu, phương pháp so sánh, phương pháp Z score của tác giả Atltman có sự điều chỉnh phù hợp với môi trường của ngành ngân hàng Việt nam để ước lượng xác suất default của khách hàng....

    pdf75p shift_12 15-07-2013 67 18   Download

  • In the Basel II framework, external ratings are used for the purpose of enhancing the risk sensitivity of the framework, for example, by being incorporated into assessments of the credit quality of an exposure or creditworthiness of a counterparty – and thus the imposition of capital requirements. External ratings are primarily used under the standardised approach for credit risk, 10 but also to risk-weight securitisations exposures.

    pdf45p enterroi 01-02-2013 32 3   Download

  • The intuition underpinning these results is as follows. In a highly connected system, the counterparty losses of a failing institution can be more widely dispersed to, and absorbed by, other entities. So increased connectivity and risk sharing may lower the probability of contagious default. But, conditional on the failure of one institution triggering contagious defaults, a high number of nancial linkages also increases the potential for contagion to spread more widely.

    pdf54p mebachano 01-02-2013 34 2   Download

  • Using data collected from a leading P2P platform in China, this paper empirically tests the discrimination of investors on the occupational identity of borrowers in online lending. I find that P2P investors discriminate against borrowers who are salary earners in terms of occupational identity while preferring borrowers who are private entrepreneurs. Moreover, this kind of discrimination can be found in borrowers both with high credit ratings and low credit ratings.

    pdf1p chauchaungayxua2 19-01-2020 5 0   Download

  • Among the most controversial issues in the literature, and empirical studies that have addressed the subject of bankruptcy prediction, there is certainly the understanding of what kind of indicators is most predictive in the report on time, and especially with fewer errors thorough a corporate crisis. In this regard, the present work contributes to the already vast literature that analyzes the determinants of the probability of firm default, with particular attention to the quantities contained in the accounting ratios.

    pdf15p trinhthamhodang2 21-01-2020 25 0   Download

  • The intention of this paper is to propose PD calibration framework for low default portfolios (LDP) that allows producing smooth non-zero PD estimates for any given time horizon within the length of economic cycle. The approach produces PDs that are consistent with two main anchors – PIT and TTC PD estimates and are subject to smooth, monotonic transition between those two anchors. In practise, proposed framework could be applied to risk-based pricing of LDP portfolio deals.

    pdf10p trinhthamhodang2 21-01-2020 16 0   Download

  • The purpose of this study is to analyze the effect of debt equity ratio (DER), gross profit margin (GPM), net profit margin (NPM), Time Interest Earned (TIE) and current ratio (CR) to probability bankruptcy in Indonesia’s coal mining company for period 2016 to 2018. This research use model panel data to estimate coefficient model. The results obtained that gross profit margin, EBIT / Interest and Current Ratio have significantly affecting probability bankruptcy.

    pdf13p nguyenanhtuan_qb 09-07-2020 23 0   Download

  • The intuition underpinning these results is straightforward. In a highly connected system, the counterparty losses of a failing institution can be more widely dispersed to, and absorbed by, other entities. So increased connectivity and risk sharing may lower the probability of contagious default. But, conditional on the failure of one institution triggering contagious defaults, a high number of nancial linkages also increases the potential for contagion to spread more widely.

    pdf390p mebachano 01-02-2013 43 4   Download

  • The pricing of credit-sensitive bonds, that is, bonds which have a significant probability of default, is an issue of increasing academic and practical importance. The recent practice in financial markets has been to issue high yield corporate bonds that are a hybrid of equity and risk-free debt. Also, to an extent, most corporate bonds are credit-sensitive instruments, simply because of the limited liability of the issuing enterprise. In this paper, we suggest and implement a model for the pricing of options on credit-sensitive bonds.

    pdf14p taisaocothedung 12-01-2013 47 3   Download

  • We also model the contagion process in a relatively mechanical fashion, holding balance sheets and the size and structure of interbank linkages constant as default propagates through the system. Arguably, in normal times in developed nancial systems, banks are sufciently robust that very minor variations in their default probabilities do not affect the decision of whether or not to lend to them in interbank markets.

    pdf285p mebachano 01-02-2013 39 3   Download

  • This paper analyses the determinants of the probability of default (PD) of bank loans. We focus the discussion on a limited set of determinants (collateral, type of lender and bank-borrower relationship) while controlling for the other explanatory variables such as the macroeconomic environment, characteristics of the borrower (industry and region) and of the loan (instrument, currency, maturity and size). We try to discern if riskier borrowers are asked to pledge more collateral or if, on the other hand, low risk borrowers are those who have collateralised loans1.

    pdf36p enterroi 02-02-2013 33 2   Download

  • Similarly, it might be possible that the relation between collateral and the probability of default was different depending on the type of lender. During the time period studied, savings banks have expanded their activities outside their traditional geographic markets and therefore it can be expected that they face a more severe adverse selection problem than banks which have grown mostly within their traditional markets. If this was the case among savings banks, collateral might be used to solve the problem raised by the hidden information situation.

    pdf54p enterroi 02-02-2013 32 2   Download

  • In what follows, we construct a simple nancial system involving entities with interlocking balance sheets and use these techniques to model the spread and probability of contagious default following an unexpected shock, analytically and numerically. Unlike the generic, undirected graph model of Watts (2002), our model provides an explicit characterisation of balance sheets, making clear the direction of claims and obligations linking nancial institutions. It also includes asset price interactions with balance sheets, allowing the effects of asset-side contagion to be clearly delineated.

    pdf0p mebachano 01-02-2013 30 2   Download



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