We present a banking model with imperfect competition in which borrowers’ access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is private information, banks have an incentive to grant unprofitable loans in order to transfer them to o...

Aiming at the insufficiency of credit scoring models, this paper puts out a new approach by using combining forecast model for personal credit scoring. Based on linear regression and logistic regression models, this paper constructed a combining model and used particle swarm optimization (PSO) to search each single model’s weight. In order to control the type II error rate,the particle’s fitnes...

This paper examines the recent period of relatively low credit spreads in Japan, with particular emphasis on the market’s assessments of the credit risks of large Japanese banks implicit in the prices of credit derivatives. We extract the market-price implied likelihood of a credit event in the future, and explore the nature of the default risk premiums underlying recent changes in bank bond an...

I am very pleased to attend the International Seminar on the Application of Credit Information Products in Managing Credit Risks of Commercial Banks. First, on behalf of the People’s Bank of China, I would like to express gratitude to our co-sponsor of this seminar, the International Finance Corporation. Also, I would like to extend warmest welcome and gratitude to experts from abroad countries...

Entrepreneurs are exposed to large uninsured risks, which may discourage them from creating productive assets. This generate asset shortages and stimulate speculative demand for bubbles. study introduces entrepreneurial risks into a textbook growth model with infinitely-lived agents. In the model, entrepreneurs face no credit constraints. If degree of is in middle range, bubbles likely emerge. ...

With economic development, the credit card business has entered a stage of rapid development. Using quantitative methods of modeling to analyses and predicts the consumers use the credit card behaviors. It is one of hot project in the experimental economics, and it is important for avoiding credit risk. The essay based on a simple NetLogo simulation model to simulate individual consumers and ec...

In recent years, spectacular defaults, such as Barings, as well as new requirements from the Basel Committee on Banking Supervision (Basel II) have forced banks to start measuring and managing operational risks (OpRisk) risks arising from the failure of people, processes, systems and external events. Contrary to market and credit risk, there are no standard methods for the quantification of ope...

Abstract—The work proposes a decision support methodology for the credit risk minimization in selection of investment projects. The methodology provides two stages of projects’ evaluation. Preliminary selection of projects with minor credit risks is made using the Expertons Method. The second stage makes ranking of chosen projects using the Possibilistic Discrimination Analysis Method. The latt...