Inclusion of Interest Rate Risk in Credit Risk on Bank Performance: Evidence in Indonesia

Interest Rate Risk in Credit Markets

Recent events have stimulated interest in the joint behavior of prices and quantities in credit markets. Data sources such as the Federal Reserve Board’s Flow of Funds Accounts (FFA) provide statistics on a rich set of credit market instruments. However, it is challenging to inter­ pret such data using economic models that speak to the allocation of risk across agents, such as households or int...

Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece

The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...

Dynamic Interest Rate and Credit Risk Models

The effect of liquidity risk and credit risk on bank stability

Banks and their financial transactions have a positive impact on corporate income and the economy of the country. The purpose aimed to identify the relationship between liquidity risk and credit risk and their impact on bank stability. Therefore, paying attention to their stability conditions can have a stable economy. The present study is based on the correlation between variables in terms of ...

Performance of Credit Risk Management in Indian Commercial Banks

For banks and financial institutions, credit risk had been an essential factor that needed to be managed well. Credit risk was the possibility that a borrower of counter party would fail to meet its obligations in accordance with agreed terms. Credit risk; therefore arise from the bank’s dealings with or lending to corporate, individuals, and other banks or financial institutions.  Credit risk...