The banking system, as the most important sector of the economy of every country, often encounters a number of risks. Financial institutions of that system operate in an unstable environment, and without having complete information about that environ...
Peer-to-peer (P2P) network lending is a new mode of internet finance that still holds credit risk as its main risk. According to the internal rating method of the New Basel Accord, in addition to the probability of default, loss given default is also...
This study examines whether systematic default risks affect a cross section of credit risk premiums. Using a structural framework, I derive a theoretical cross-sectional relationship, develop a testable hypothesis, and provide a method to estimate th...
Data science and machine-learning techniques help banks to optimize enterprise operations, enhance risk analyses and gain competitive advantage. There is a vast amount of research in credit risk, but to our knowledge, none of them uses credit registr...
An empirical study was conducted to determine the impact of different types of risk on the performance management of credit rating agencies (CRAs). The different types of risks were classified as operational, market, business, financial, and credit....
In recent years, after the global financial crisis, the issue of credit risk management has received increased attention from international regulators. Credit risk management frameworks are often not sufficiently integrated within the organization, t...
A recently introduced accounting standard, namely the International Financial Reporting Standard 9, requires banks to build provisions based on forward-looking expected loss models. When there is a significant increase in credit risk of a loan, addit...
The increasing population and emerging business opportunities have led to a rise in consumer spending. Consequently, global credit card companies, including banks and financial institutions, face the challenge of managing the associated credit risks....
This article deals with the issue of managing bank credit risk using a cost risk model. Modeling of bank credit risk management was proposed based on neural-cell technologies, which expand the possibilities of modeling complex objects and processes a...
Improving the level of risk-taking is an important measure for enterprises to realize sustainable development; in this context, commercial credit financing has become an important type of transaction and an indispensable short-term financing method....
Past studies have observed that the low (high) accrual portfolio in the accrual anomaly consists of firms with high (low) credit risk, and have suggested that the abnormal return in the accrual anomaly arises from buying (selling) stocks with high (l...
Nigerian banks encounter persistent difficulties in efficiently managing and disclosing credit and liquidity risks, considerably affecting their financial performance and shareholders’ confidence. This study, therefore, examined the effect of r...
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte C...
Although empirical studies show that different types of loans have different risks (moreover, consumer credit risk is higher compared to other types of loans), it is common to study the credit risk of the banking sector as a whole, or of an individua...
In the context of a progressively intricate and uncertain global economic landscape, the credit risk businesses encounter is intensifying. This study seeks to analyze whether intelligent transformation, a significant trend in current organization dev...
With the rapid development of the P2P (peer-to-peer) online lending industry, which is facing significant credit risk, personal credit evaluation is an important method to reduce credit risk. Based on the various indexes of personal credit risk evalu...
The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as...
This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations is also...
In the 21st-century global economy, the rapid growth of the finance industry, particularly in personal credit, fuels economic growth and market prosperity. However, the rapid expansion of personal credit business has brought explosive growth in the a...
This study, within the framework of uncertainty theory, employs an uncertain differential equation with jumps to model the asset value process of a company, establishing a structured model of uncertain credit risk that incorporates jumps. This model...
21 November 2022
The paper industry is closely related to forestry resources, which constitute an essential part of achieving sustainable development. Green credit can provide financial support to assist the paper industry in achieving carbon neutrality. To develop a...
Undoubtedly, it is important to have an empirically effective credit risk rating method for decision-making in the financial industry, business, and even government. In our approach, for each corporate bond (CB) and its issuer, we first propose a cre...
This study explores China’s green credit policy from a credit risk perspective. Green finance has been growing rapidly in China since the government issued its Green Credit Policy. The objective of this study is to explore whether green loans a...
This paper proposes a model of the dynamics of credit contagion through non-performing loans on financial networks. Credit risk contagion is modeled in the context of the classical SIS (Susceptibles-Infected-Susceptibles) epidemic processes on networ...
The recent geopolitical uncertainty and the alarming increase in the sovereign credit risk of many countries have motivated us to investigate the potential asymmetric co-movement between geopolitical risk and sovereign credit risk for nineteen countr...
There is increasing pressure on organisations and countries to manage the financial risks associated with climate change. This paper summarises research on climate change, credit risk and the associated losses, and specifically identifies methods tha...
We study two credit risk models with occupation time and liquidation barriers: the structural model and the hybrid model with hazard rate. The defaults within the models are characterized in accordance with Chapter 7 (a liquidation process) and Chapt...
This research investigates the stability and occurrence of Hopf bifurcation in a credit risk contagion model, which includes distributed delay, using the chain trick method. The model is a generalized version of those previously examined. The model i...
Over the years, banks have faced many difficulties, related mainly to lax credit standards for borrowers and counterparties. The goal of credit risk management is to maintain the volume of credit risk at acceptable level as it is a vital feature in r...
The diffusion of credit risk in a supply chain finance network can cause serious consequences. Using the “1 + M + N” complex network model with BA scale-free characteristics, this paper studies the credit risk diffusion in a supply chain...
In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the period...
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different predictive mod...
27 April 2022
This study examines the relationship between environmental risk and corporate bond credit ratings, and the moderating effect of market competition. We focus on Korean firms that are facing increasing risk of environmental crisis after the COVID-19 pa...
How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to...
COVID-19 has created a strong demand for supply chain finance (SCF) for small and medium-sized enterprises (SMEs). However, the rapid development of SCF leads to more complex credit risks. How to effectively discriminate and manage SMEs to reduce cre...
In this paper, the valuation of the exchange option with credit risk under a hybrid credit risk model is investigated. In order to build the hybrid model, we consider both the reduced-form model and the structural model. We adopt the probabilistic ap...
Lending to the agricultural sector by commercial banks in Ghana is characterized by high credit risk. Empirical evidence suggests that commercial banks in Ghana have credit risk management (CRM) challenges. This study explores the credit risk mitigat...
The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence, it is of utmost importance to study the mutual dependence of losses for different creditors in the case o...
The main aim of the research was to determine the key factors determining the level of credit risk of individual clients (clients in the form of natural persons, excluding companies) on the example of Polish cooperative banks according to the followi...
We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodell...
We examine the profitability of the momentum and contrarian strategies in three South Asian markets, i.e., Bangladesh, India, and Pakistan. We also analyze, whether credit risk influences momentum and contrarian return for these markets from 2008 to...
This study investigates the moderating effect of mergers and acquisitions (M&A) on the relationship between credit risk and bank value. Using moderation analysis, robust panel regressions, and an objective credit risk metric, it addresses limitat...
In this paper, we examine the impact of risk disclosure practices on trade credit. We hypothesize that risk information could reduce information opacity that arises between companies and their suppliers. We collected annual reports for Tunisian liste...
In this systematic review of the literature on using Machine Learning (ML) for credit risk prediction, we raise the need for financial institutions to use Artificial Intelligence (AI) and ML to assess credit risk, analyzing large volumes of informati...
This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to hou...
The current research aims to examine the credit risk determinants in Jordan’s banks. Macroeconomic factors were included to examine credit risk in commercial banks by adopting the balanced data for the examination between 2008–2019. The r...
The rapid growth of the consumer credit card market has introduced substantial regulatory and risk management challenges. To address these challenges, financial institutions increasingly adopt advanced machine learning models to improve default predi...
In the scientific literature, there is a lack of a systematic approach to credit risk factors. In addition, insufficient attention is still paid to analysing the macroeconomic factors of consumer loan credit risk. Thus, this research aims to evaluate...
We apply Geometric Arbitrage Theory (GAT) to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. The remarkable aspect of the GAT is the gauge symmetry, which can be tran...
The landscape of financial credit risk models is changing rapidly. This study takes a brief look into the future of predictive modelling by considering some factors that influence financial credit risk modelling. The first factor is machine learning....
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