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Author: Christophe J. Godlewski
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Book Description
The purpose of this paper is to investigate the regulatory and institutional factors which may increase excessive risk taking in banks. Few studies deal with the impact of these external factors on bank's risk taking and probability of default, despite the fact that empirical investigation is crucial for understanding the relationship between the regulatory, legal and institutional environement and bank's health, especially in emerging market economies. We apply a two step logit model to a database of banks from emerging market economies. Our results confirm the role of the institutional and regulatory environment as a source of excess credit risk, which increases bank failure risk. The integration of these environmental variables significantly contributes to the explanatory and discriminatory power of our model of bank default prediction.
Author: Christophe J. Godlewski
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Book Description
The purpose of this paper is to investigate the regulatory and institutional factors which may increase excessive risk taking in banks. Few studies deal with the impact of these external factors on bank's risk taking and probability of default, despite the fact that empirical investigation is crucial for understanding the relationship between the regulatory, legal and institutional environement and bank's health, especially in emerging market economies. We apply a two step logit model to a database of banks from emerging market economies. Our results confirm the role of the institutional and regulatory environment as a source of excess credit risk, which increases bank failure risk. The integration of these environmental variables significantly contributes to the explanatory and discriminatory power of our model of bank default prediction.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Anthony Saunders
Publisher: John Wiley & Sons
ISBN: 0470622369
Category : Business & Economics
Languages : en
Pages : 373
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Book Description
A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
Author: Christophe J. Godlewski
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
Regulatory and institutional environment is not without effect on bank's risk taking and therefore on bank's default. In this article, we investigate regulatory and institutional determinants of credit risk taking and bank's default probability in emerging market economies. Using a two step logit model applied to a database of banks from emerging economies, we confirm the role of the institutional and regulatory environment as a source of excess credit risk, which increases bank's default risk. In particular, the rule of law appears to be a crucial element of an efficient regulatory environment, which may reduce excessive risk taking incentives.
Author: John B. Caouette
Publisher: John Wiley & Sons
ISBN: 9780471111894
Category : Business & Economics
Languages : en
Pages : 476
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Book Description
The first full analysis of the latest advances in managing credit risk. "Against a backdrop of radical industry evolution, the authors of Managing Credit Risk: The Next Great Financial Challenge provide a concise and practical overview of these dramatic market and technical developments in a book which is destined to become a standard reference in the field." -Thomas C. Wilson, Partner, McKinsey & Company, Inc. "Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors a comprehensive view of the state of credit analysis at the end of the millennium." -Martin S. Fridson, Financial Analysts Journal. "This book provides a comprehensive review of credit risk management that should be compulsory reading for not only those who are responsible for such risk but also for financial analysts and investors. An important addition to a significant but neglected subject." -B.J. Ranson, Senior Vice-President, Portfolio Management, Bank of Montreal. The phenomenal growth of the credit markets has spawned a powerful array of new instruments for managing credit risk, but until now there has been no single source of information and commentary on them. In Managing Credit Risk, three highly regarded professionals in the field have-for the first time-gathered state-of-the-art information on the tools, techniques, and vehicles available today for managing credit risk. Throughout the book they emphasize the actual practice of managing credit risk, and draw on the experience of leading experts who have successfully implemented credit risk solutions. Starting with a lucid analysis of recent sweeping changes in the U.S. and global financial markets, this comprehensive resource documents the credit explosion and its remarkable opportunities-as well as its potentially devastating dangers. Analyzing the problems that have occurred during its growth period-S&L failures, business failures, bond and loan defaults, derivatives debacles-and the solutions that have enabled the credit market to continue expanding, Managing Credit Risk examines the major players and institutional settings for credit risk, including banks, insurance companies, pension funds, exchanges, clearinghouses, and rating agencies. By carefully delineating the different perspectives of each of these groups with respect to credit risk, this unique resource offers a comprehensive guide to the rapidly changing marketplace for credit products. Managing Credit Risk describes all the major credit risk management tools with regard to their strengths and weaknesses, their fitness to specific financial situations, and their effectiveness. The instruments covered in each of these detailed sections include: credit risk models based on accounting data and market values; models based on stock price; consumer finance models; models for small business; models for real estate, emerging market corporations, and financial institutions; country risk models; and more. There is an important analysis of default results on corporate bonds and loans, and credit rating migration. In all cases, the authors emphasize that success will go to those firms that employ the right tools and create the right kind of risk culture within their organizations. A strong concluding chapter integrates emerging trends in the financial markets with the new methods in the context of the overall credit environment. Concise, authoritative, and lucidly written, Managing Credit Risk is essential reading for bankers, regulators, and financial market professionals who face the great new challenges-and promising rewards-of credit risk management.
Author: Bruce G. Stevenson
Publisher: Gatekeeper Press
ISBN: 1662941986
Category : Business & Economics
Languages : en
Pages : 447
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Book Description
Credit crises are catastrophic events in which banks and lenders suffer extreme losses when loans and other credit instruments default on a large scale and cause banks to fail in extraordinary numbers. Massive loss of economic value ensues, threatening the viability of national economies and the global financial system. The most recent credit crises, the 2007 Subprime Mortgage Crisis and 2007-2009 Great Recession, have striking parallels to the Roaring Twenties and the Great Depression. In both periods, rapid increases in the value of residential real estate fueled speculation in the housing and equity markets, and when the real estate bubbles burst, massive recessions and unemployment followed. In the eighty years between these catastrophes, several other credit crises occurred including a real estate investment trust crisis in the mid-1970s and a commercial real estate crisis in the late 1980s and early 1990s. Credit Crises: The Role of Excess Capital provides the first definitive explanation for these repetitive catastrophes: the Excess Capital Hypothesis (ECH). Written for bankers, bank regulators, finance professionals, and policymakers, Credit Crises provides a detailed explanation of how excess capital has been the driver of past credit crises. The ECH is the definitive roadmap for mitigating credit crises, and Credit Crises offers recommendations to bankers, bank regulators, and policymakers on how to prevent and lessen future crises.
Author: Tony Van Gestel
Publisher: OUP Oxford
ISBN: 0191609307
Category : Business & Economics
Languages : en
Pages : 552
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Book Description
Credit Risk Management: Basic Concepts is the first book of a series of three with the objective of providing an overview of all aspects, steps, and issues that should be considered when undertaking credit risk management, including the Basel II Capital Accord, which all major banks must comply with in 2008. The introduction of the recently suggested Basel II Capital Accord has raised many issues and concerns about how to appropriately manage credit risk. Managing credit risk is one of the next big challenges facing financial institutions. The importance and relevance of efficiently managing credit risk is evident from the huge investments that many financial institutions are making in this area, the booming credit industry in emerging economies (e.g. Brazil, China, India, ...), the many events (courses, seminars, workshops, ...) that are being organised on this topic, and the emergence of new academic journals and magazines in the field (e.g. Journal of Credit Risk, Journal of Risk Model Validation, Journal of Risk Management in Financial Institutions, ...). Basic Concepts provides the introduction to the concepts, techniques, and practical examples to guide both young and experienced practitioners and academics in the fascinating, but complex world of risk modelling. Financial risk management, an area of increasing importance with the recent Basel II developments, is discussed in terms of practical business impact and the increasing profitability competition, laying the foundation for books II and III.
Author: T.H. Donaldson
Publisher: Springer
ISBN: 1349103616
Category : Business & Economics
Languages : en
Pages : 178
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Book Description
This book defines the various risks which banks face and relates them to products. Major types of risk and main instruments are surveyed as well as capital needs and returns. Credit risk is given particular priority and the book is aimed at bankers facing credit risk for the first time.
Author: Arnaud de Servigny
Publisher: McGraw Hill Professional
ISBN: 007178800X
Category : Business & Economics
Languages : en
Pages : 480
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Book Description
Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad” Key determinants of loss given default, and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation, and the impact of correlation on portfolio losses A detailed review of five of today’s most popular portfolio models—CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager How credit risk is reflected in the prices and yields of individual securities How derivatives and securitization instruments can be used to transfer and repackage credit risk Today’s credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible—and mitigate it when necessary.
Author: Anthony Saunders
Publisher: John Wiley & Sons
ISBN: 0471274763
Category : Business & Economics
Languages : en
Pages : 337
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Book Description
The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.
