Search results for "Probability of default"
showing 5 items of 5 documents
Entrepreneurship insolvency risk management: a case of Latvia
2011
Financial crisis and its consequences are visible in the capital adequacy of many commercial banks, which indicates that the approach banks took to assess credit risk was not sufficiently sophisticated. This article discusses practical methods of insolvency risk modelling for enterprises. In this paper, the authors analysed the accuracy of ten models developed by foreign authors to assess insolvency risk, which were validated on the database of Latvian companies. The authors have shown that models developed on historical data for foreign companies are less accurate than the model developed on the basis of financial indicators of Latvian companies. The authors developed a three-factor model …
Finansinis stabilumas ir koncentracija: besivystančios Europos tyrimas
2016
Šiame straipsnyje tiriamas bankų sektoriaus koncentracijos poveikis finansiniam stabilumui naudojant 134 komercinių bankų iš 17 Vidurio ir Rytų Europos šalių 2007-2012 m. laikotarpio duomenis. Empirinio tyrimo rezultatai pabrėžia vadinamąją „koncentracijos trapumo“ hipotezę, parodydami, kad aukštas koncentracijos lygis bankų sektoriuje yra siejamas su didesne bankų, ypač mažesniųjų, įsipareigojimų neįvykdymo tikimybe. Taip pat parodoma, kad neigiamas koncentracijos poveikis gali būti sumažintas taikant griežtą priežiūros sistemą. Pirmiausia - griežtas oficialus bankų sektoriaus priežiūros įgaliojimas. Antra - skirtingi priimančiosios šalies ir buveinės šalies priežiūros įgaliojimai gali žym…
Credit Risk and Simulated Spreads Risk Adjusted for Italian Regions.
2009
We analyse the idiosyncratic and systematic elements influencing Italian firms’ probability of default (PD) and examine the relationship between credit risk and borrowing conditions at a regional level. This paper, using regression analysis, examines the causal relationship between PD of a representative sample of Italian firms, together with accounting variables at firm level and macroeconomic data. The underlying hypothesis examines if the riskiness of Italian firms is influenced exclusively by their specific characteristics or, more generally, depends also on the spatial environment where they operate. According to the literature, the interregional differentials in the cost of money depe…
A Discrete-Time Hazard Model for Loans: Some Evidence from Italian Banking System
2012
Problem statement: The probability of default, PD, is a crucial probl em for banks. In the last years international accords (Basel, Basel 2 an d Basel 3) have incentived banks to adopt objective s systems to evaluating and monitoring risk of defaul t in order to predict PD for new loans based on borrower's characteristics. The aim of this study i s to introduce a discrete survival model to study t he risk of default and to propose the empirical eviden ce by the Italian banking system. Approach: Survival analysis is used if we are interested in w hether and when an event occurs. In this context th e event occurrence represents a borrower's transition from one state, loan in bonis that is not…
Econometric model to estimate the Probability of Default and Loss Given Default in the EBA stress test in 2016
2019
In this research, an econometric with panel data using Ordinary least squares OLS model is constructed following the guidelines recommended by the EBA stress test methodology for 2016. The findings indicate that macroeconomic factors affecting defaults are the expected ones in the Spanish credit institutions. However, loan impairments do not follow the patterns that a priori would be normal. Divergent is outcomes in defaults and impairments: the Non-Performing Loans (NPL) is pro-cyclical and impairment losses are counter-cyclical.