|
|
|
|
|
Mustapha Ammari,Ghizlane Lakhnati
Pág. 415 - 425
The asset correlation is a key regulatory parameter in the calculation of the capital charge for credit risk under the second Baselagreement. This parameter has been set in a uniform manner for all banking institutions wishing to integrate the Baselframe...
ver más
|
|
|
|
|
|
|
|
|
|
|
Jenni van Dyk, Jaun Lange, Gary van Vuuren
Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that banks use downturn LGD estimates...
ver más
|
|
|
|
|
|
|
|
|
|
|
Mustapha Ammari,Ghizlane Lakhnati
Pág. 779 - 785
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses. The flexibility to determine LGD values tailored to a bank?s portfolio will l...
ver más
|
|
|
|
|
|
|
|
|
|
|
Riaan de Jongh, Tanja Verster, Elzabe Reynolds, Morne Joubert, Helgard Raubenheimer
The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested for calculating RC is based on ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Alexander S. Ksenofontov,Igor V. Savon,Vladimir Y. Serba,Dmitry V. Shkurkin
Pág. 14 - 18
The paper has developed a set of evaluation models of the probability of corporate borrowers? default, taking into account the macroeconomic and institutional factors on the example of the Russian construction industry companies. At the beginning of 2014...
ver más
|
|
|
|
|
|
|
|
|
|
|
Denis V. Rylov,Dmitry V. Shkurkin,Anna A. Borisova
Pág. 63 - 67
Lending to the corporate sector represents a significant part of the activities of the Russian banking sector. At the beginning of 2014 the volume of lending to non-financial organizations amounted to about 56% of the value of the loan portfolio and 39% ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Marco Muscettola
Pág. 1671 - 1682
The aim of this paper is to verify both the impact and influences when investing in fixed assets on probability of default. Using data from an extensive sample of Italian firms (6,000 Italian SMEs), we find that fixed assets are negatively related to eff...
ver más
|
|
|
|
|
|
|
|
|
|
|
Firman Pribadi,Susanto Susanto
Pág. 393 - 404
This research attempts to use Black-Schole-Merton (BSM) model based on market approach to predict default probability of publishing bank in Indonesia. This is done by using stock prices and financial report. In this effort, this study estimates the neutr...
ver más
|
|
|
|
|
|