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...
The purpose of this paper is to assess and predict sovereign credit risk for Egypt, Morroco and Saudi Arabia using credit default swap (CDS) spreads obtained from the DataStream database for the period from 2009 to 2022. Our approach consists of gene...
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...
This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test t...
Euro Area banks have been confronted with unprecedented monetary policy actions by the ECB. Monetary policy may affect bank risk profiles, but the consequences may differ for short-term risk versus long-term or structural bank risk. We empirically in...
This study examines the short- and long-run effects of corporate social responsibility (CSR) activities on the credit risk implied in credit derivative prices. Measuring the different term effects on credit risk by the slope of credit default swap (C...
This study analyzes the term structures of sovereign quanto credit default swap (CDS) spreads and currency options, which are driven by anticipated currency depreciation risk following sovereign credit default (Twin Ds). We develop consistent pricing...
With the proliferation of mobile devices and payment systems in modern financial services, there is an increasing need to process and analyze continuous streams of transaction data for credit risk assessment. Leveraging the inherent symmetries in fin...
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the po...
In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes. The hybrid credit risk model is constructed using two credit risk models (the reduced...
A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create accou...
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...
In 2012, China issued the “Green Credit Guidelines” policy to guide the green transformation of companies, and at the same time, the investment and financing behaviors of heavy polluters during the green transition have received widesprea...
Against the backdrop of working hard to build a beautiful country, this paper uses the promulgation of the “Green Credit Guidelines” policy in China as a quasi-natural experiment. Based on a difference-in-differences (DID) model, the resu...
This study investigates the relationship between sovereign credit rating transitions and domestic equity market performance, focusing on Greece from 2004 to 2024. Although credit ratings are central to sovereign risk assessment, their immediate influ...
The main object of this research is to find out the nexus of banks’ competition, ownership structure, and economic growth on credit risk and financial stability. In addition, it examines the level of financial stability, economic growth, and ow...
This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in the recovery in a fractional recovery of the market value. This approach is a first step toward...
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...
Credit risk rating is shown to be a relevant determinant in order to estimate good corporate governance and to self-optimize capital structure. The conclusion is argued from a study on a selected (and justified) sample of (182) companies listed on th...
The rise of financial technology (fintech) driven business models in banking poses a challenge for financial regulators. While the positive effects on the banking sector in terms of greater diversity and competition are generally recognized and encou...
This study explores the nuanced relationship between biodiversity and sovereign credit ratings, underscoring the link between environmental sustainability and economic resilience. As credit rating methodologies increasingly incorporate Environmental,...
The current study examines the application of advanced machine learning (ML) techniques for forecasting credit risk in Islamic (participation) and traditional banks in the United Kingdom in 2010–2023. Leveraging an equally weighted panel datase...
The International Financial Reporting Standard (IFRS) 9 relates to the recognition of an entity’s financial asset/liability in its financial statement, and includes an expected credit loss (ECL) framework for recognising impairment. The quantif...
This study examines the use of artificial neural networks (ANNs) to classify financial risks in micro-, small-, and medium-sized enterprises (MSMEs) in Montenegro and the wider Western Balkan region. The economies in this region share structural simi...
The greatest source of failure in portfolio analytics is not individual models that perform poorly, but rather an inability to integrate models quantitatively across management functions. The separable components of age–period–cohort mode...
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectation can be inferred from the prices of defaultable instruments. I extract market-implied recovery rates from the term structures of credit default swa...
The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics....
Climate change-induced floods and droughts pose significant threats to rice farm development in Indonesia, particularly in regions reliant on pump-based irrigation systems. The urgency of this study lies in the increasing vulnerability of rice produc...
Against the background of the increasing financialization of manufacturing enterprises, whether green financial policies can inhibit the financialization of manufacturing enterprises is a major practical issue worth exploring. It can help government...
Numerous people are applying for bank loans as a result of the banking industry’s expansion, but because banks only have a certain amount of assets to lend to, they can only do so to a certain number of applicants. Therefore, the banking indust...
Recurrent flooding near Tempe Lake, Indonesia, exacerbated by climate change, presents significant challenges for rice-farming communities, threatening their livelihoods and food security. This study explores the adaptive strategies employed by farme...
The aim of the paper is to assess the evolution of the cost of credit risk (CoR) of Polish banks as a result of the COVID-19 pandemic in the first three quarters of 2020 as well as its microeconomic determinants. We analysed the structural diversity...
Since 2018, the bond market has surpassed the stock market, becoming the biggest investment area in China’s security market, and the systemic risks of China’s bond market are of non-negligible importance. Based on daily interest rate data of represen...
This study addresses a significant gap in the literature by comparing the effectiveness of traditional statistical methods with artificial intelligence (AI) techniques in predicting bankruptcy among small and medium-sized enterprises (SMEs). Traditio...
This paper considers a pair (F,τ), where F is a filtration representing the “public” flow of information that is available to all agents over time, and τ is a random time that might not be an F-stopping time. This setting covers t...
The water environment treatment public-private partnership (PPP) project has a long cooperation period, large investment scale, high technical requirements, and more complex risks, which are very important to identifying and preventing risks. This pa...
We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs...
Vaccination is credited as a significant medical achievement contributing to the decline in morbidity and mortality of infectious diseases. Traditional vaccines composed of inactivated and live-attenuated whole pathogens confer the induction of poten...