Credit risk analysis is an active research area in financial risk management and credit scoring is one of the key analytical techniques in credit risk evaluation. In this study, a novel intelligent-agent-based fuzzy group decision making (GDM) model is proposed as an effective multicriteria decision analysis (MCDA) tool for credit risk evaluation. In this proposed model, some artificial intelli...

It is very important for bank to control the credit risk of guarantee loan or combinational loan by evaluating the joint default risk of different enterprises. Firstly we apply a combinational copula function to measure the joint default risk of two enterprises with credit rating information; secondly the default intensity model is intended to analyze the default time distribution; thirdly we u...

I am delighted to be the opening speaker at this Credit Markets Symposium. The time certainly is ripe for an open dialogue among market participants, risk-management professionals, and policymakers. Credit markets have been evolving very rapidly in recent years. New instruments for transferring credit risk have been introduced and loan markets have become more liquid. Asset managers have become...

Credit risk is present under various forms in any derivative products. However, the fact is that credit risk is not, in general, priced in the various models commonly used for equity, FX, IR of commodity derivatives. This note is aimed at presenting a few guidelines for the modelling of default risk and spread risk in the context of derivatives, thereby treating any derivative as a genuine cred...

Credit risk analysis is an important topic in the financial risk management. Due to recent financial crises and regulatory concern of Basel II, credit risk analysis has been the major focus of financial and banking industry. An accurate estimation of credit risk could be transformed into a more efficient use of economic capital. In this study, we try to use a triple-phase neural network ensembl...

In this paper we provide an analysis of credit risk management and the use of credit scoring among European MFIs. With this aim, we designed and sent a survey to the full set of known MFIs operating in Eastern and Western Europe. 58 MFIs completed the survey. We observe that the European microfinance industry has already dedicated substantial effort to risk management, noting that more than hal...

It has long been recognised that banking is a procyclical business. That is, banks tend to contract their lending activity when there are business downturns because of their concern about loan quality and repayment probability. This exacerbates the economic downturn as credit constrained businesses and individuals cut back on their real investment activity. In contrast, banks expand their lendi...

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system. In this paper we present an integrated model, based on a reduced pricing approach, for market and cre...

Preface Modeling of credit risk has become a very important and rapidly expanding field of mathematical finance in the last fifteen years. Apart from a purely academic interest, the credit derivatives industry clearly needs advanced mathematical models to objectively assess and hedge this kind of risk, which was only underlined by the recent financial crisis. Although there exist several credit...

This paper is part of a series explaining various methodologies for defining and measuring the contributions of systematic factors to economic capital as well as for hedging systematic risk in credit portfolios. Multi-factor credit portfolio models are used widely today for measuring and managing economic capital as well as for pricing credit portfolio instruments such as collateralized debt ob...