منابع مشابه
the study of practical and theoretical foundation of credit risk and its coverage
پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
15 صفحه اولA Random Matrix Approach to Credit Risk
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the ta...
متن کاملInvestment and Credit Risk: a Structural Approach
The paper investigates the impact on credit risk of capital structure choices driven by firm’s investments and financing decisions. We propose a realistic dynamic structural model featuring endogenous investment, capital structure and default. We calibrate the model on accounting and market data. Using simulation, we find that, credit spreads as well as other standard metrics of credit worthine...
متن کاملCredit Risk Modelling: Intensity Based Approach
7 Credit-spreads-based HJM Type Model 21 7.1 Single Credit Rating Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 7.2 Alternative Specifications of Recovery Payment . . . . . . . . . . . . . . . . . . . . . 29 7.3 Multiple Credit Ratings Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 7.4 Market Prices of Interest Rate and Credit Risk . . . . . . ...
متن کاملA Simplified Approach to modeling the credit-risk of CMO
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price mortgage backed securities. Many institutions have relied heavily on the credit ratings provided by credit agency. The relationships between management of credit agencies and debt issuers may have resulted in conflict of interest when pricing these securities which has lead to incorrect risk assumptions and val...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Sustainable Business and Society in Emerging Economies
سال: 2019
ISSN: 2708-2172,2708-2504
DOI: 10.26710/sbsee.v1i1.999