We build a commercial credit network, identify the most central economic sectors in terms of debt, and provide more complete idea total indebtedness financial interlinks between firms banks Uruguay. “Commerce,” “manufacturing,” “transportation, storage, communication” are network. In stress testing exercise, “hotels restaurants” deeply affected all cases. These exposed contagion. “Commerce” “ma...

This paper develops a framework for stress-testing the credit risk of Chinese commercial banks to macroeconomic shocks. Using data over the period 1985-2008, this study establishes a vector auto-regression (VAR) model to describe the links between default rate and macroeconomic factors, and then designs three stress scenarios to implement the stress testing by Monte Carlo simulation. As a resul...

Several mechanisms contributed to the development of credit rationing of enterprises. First, the abandonment of implicit guarantees on loans extended to enterprises by the Central Bank of Russia prompted commercial banks to shift credit to other groups of borrowers. Second, when the Federal Government moved to finance its budgetary deficit through open-market operations, it crowded out commerci...

S AVINGS INSTITUTIONS, credit unions, and commercial banks all offer a generally similar se­ lection of financial services, though each differs in the ability to make certain kinds of loans.1 As a result, many personal sector customers of these institutions would likely be unable to identify any distinguishing characteristics. Indeed, savings institutions and com­ mercial banks sometimes change...

An analysis of the characteristics of farm businesses by size of FCS direct lending association suggests that further consolidation of FCS lending should have limited negative impacts on credit availability. Commercial-sized farm businesses with FCS real estate debt appeared similar to those who obtained credit from competing lenders, but smaller associations and those with fewer stockholders p...

Credit scoring is the term used to describe formal statistical methods used for classifying applicants for credit into `good' and `bad' risk classes. Such methods have become increasingly important with the dramatic growth in consumer credit in recent years. A wide range of statistical methods has been applied, though the literature available to the public is limited for reasons of commercial c...

Loan commitments represent more than 82 percent of all commercial and industrial loans by domestic banks. This paper develops a valuation model for loan commitments incorporating early exercise, multiple fees, partial exercise and credit risk. The model is analytically tractable and easy to implement. Using a sample of commercial paper backup credit lines from the Dealscan database, we show tha...