Retail Credit Default Risk An Empirical Study
نویسندگان
چکیده
منابع مشابه
Examining Credit Default Risk: an Empirical Study on Consumer Credit Clients
This paper explores the relationship between consumer credit clients’ pay back performance and some demographic and financial variables (age, income, sex, interest rate, loan size and etc.). There are basically six functional associated with credit lending activities of banks in general: (1) assessment of the customers credit risk; (2) making the credit granting decision; (3) collecting debts; ...
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This paper estimates the price for restructuring risk in the U.S. corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6% to 8% of the swap rate without restructuring. We show that the restructuring premium depends on firmspecific balance-sheet and mac...
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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...
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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...
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The New Basel Capital Accord will allow the determination of banks’ regulatory capital requirements due to probabilities of default which are estimated and forecasted from internal ratings. Broadly, two rating philosophies are distinguished: Through the Cycle versus Point in Time Ratings. We employ a Likelihood-Ratio backtesting of both types with respect to their probability of default forecas...
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ژورنال
عنوان ژورنال: INTERNATIONAL JOURNAL OF MANAGEMENT & INFORMATION TECHNOLOGY
سال: 2013
ISSN: 2278-5612
DOI: 10.24297/ijmit.v3i1.4647