E the sensitivities of portfolio credit risk with respect to the underlying model parameters is an important problem for credit risk management. In this paper, we consider performance measures that may be expressed as an expectation of a performance function of the portfolio credit loss and derive closed-form expressions of its sensitivities to the underlying parameters. Our results are applica...

1 Background Credit cards have been widely used in the USA. The industry has matured so much that most households hold many credit cards and most consumers use credit cards as means of payment. They usually maintain their records on credit cards. In the USA, a total amount of credit card balances is about $700 billion. Because of the wide usage of credit cards, the term of cards is becoming a m...

Bach e lor of Sci ence in Me te o rol ogy To tal Credit Hours . . . . . . . . . . . . . . . . . . . . . 125-126• To tal Up per-Di vi sion Credit Hours . . . . . . . . . . . . . . . . . 52 Min i mum Re ten tion/Grad u a tion Grade Point Av er ages: Min i mum in OU Coursework . . . . . . . . . . . . . . . . . . . 2.00 Min i mum in Ma jor CourseworkCom bined and OU . . . . . . . 2.00 Over all Com ...

This paper analyzes the investment behavior of ...rms under a quantity constraint on the amount of external funds which can be raised at a given cost (credit constraints). In this world, investment-cash ‡ow sensitivities decrease in the degree of credit constraints, until a ...rm becomes e¤ectively unconstrained. This generates a “U-shaped” curve for the relationship between sensitivities and c...

abstract in recent years, the practice of using corporate websites to recruit job applicants has increased steadily. the aim of this paper is to review and analyze the e- recruitment in iran. in this article, we examine e-recruitment situation in premier 100 iranian organizations through websites content analysis. these top 100 organizations were introduced by the imi in 1390. this ranking is b...

www.philadelphiafed.org R eports in the popular press and policymakers’ concerns about student loans have greatly intensified in recent years because of rising student loan balances and defaults. Even greater cause for concern arose as student loans outstanding passed credit card debt to become the single largest nonmortgage household debt in 2012. Worries about the risk of massive default have...

0377-2217/$ see front matter 2011 Elsevier B.V. A doi:10.1016/j.ejor.2011.01.023 ⇑ Corresponding author. Tel.: +44 0 7796035843. E-mail addresses: [email protected] (M.M.C. So) Thomas). This paper derives a Markov decision process model for the profitability of credit cards, which allows lenders to find an optimal dynamic credit limit policy. The states of the system are based on the borrower’s ...

a r t i c l e i n f o a b s t r a c t In this paper we study the optimal design of credit derivative contracts when banks have private information about their ability in the loan market and are subject to capital requirements. First, we prove that when banks are subject to a maximum loss capital requirement the optimal signaling contract is a binary credit default basket. Second, we show that i...

We develop a model that derives “screening” and “incentive” effects of credit information systems that mitigate problems of adverse selection and moral hazard in credit markets. We also derive a “credit expansion” effect in which borrowers with clean credit records receive larger and more favorable equilibrium loan contracts. The credit expansion effect increases default rates, but does not ove...

We model the e ects on banks of the introduction of a market for credit derivatives; in particular, credit default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans trigger the bank's nancial distress. Because credit derivatives are more exible at transferring risks than are other, more established tools...