In any country, commercial banks lay the groundwork for economic growth by collecting national resources and capitals and allocating them to different economic sectors. Optimal allocation of resources is especially important in achieving this goal. Banks with an effective and dynamic system of customer assessment can efficiently allocate their resources to customers regardless of their geograph...

Digitalization is not limited merely to business companies and high-tech industries; it has increasingly changed families' behaviors attitudes as they are exposed the digital world using different technological aspects. Therefore, numerous risks can be raised between all members of family. For example, if IoT devices in a smart home embedded with high-security standards, would vulnerable being ...

This paper studies the problem of default correlation. We first introduce a random variable called “timeuntil-default” to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation coefficient between their survival times. Then we argue why a copula function approach should be used to specify the jo...

The decrease in the rate of legal proceedings for the bank loans in the last two years caused an increase in the importance of efficiency along with a decrease in financial resources. When it is paid attention to the distribution in the rate of non-performing loan, it is seen that the most important share belongs to credit cards. Efficient risk management in banking and efficient use of resourc...

BanK oF canaDa FinanciaL SYStem reVieW JUne 2011 obtain credit that they might not have been able to obtain otherwise . thus, if the associated risks—including both credit risk and liquidity risk—are properly managed, mBF can be a welfare-enhancing financial innovation . But the mBF sector involves a wide range of activities with different levels of benefits and risk . at the riskier end of the...

This paper studies the problem of default correlation. We first introduce a random variable called “timeuntil-default” to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation coefficient between their survival times. Then we argue why a copula function approach should be used to specify the jo...

Banks of Ukraine in the conditions martial law demonstrated rather contradictory, but mostly positive results. Despite significant economic and infrastructural losses, banking system has preserved its integrity reliably fulfils existing obligations, conducts settlements, continues to attract customer deposits, switched a conservative (zero) growth loan portfolios, except for programs supported ...

We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities can be represented in general exponential quadratic forms, despite the fact that the intensity is allow...

Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same under...

The rating-sensitive capital charges on credit risks under the new Basel Accord are likely to increase the volatility of minimum capital requirements, which may force banks to hold larger capital cushions in excess of minimum requirements. We analyse this claim on the basis of numerical simulations on hypothetical bank portfolios, in which the bank’s choice of capital cushion is assumed to sati...