Credit risk control and management using limited diversification
نویسندگان
چکیده
منابع مشابه
Scope for Credit Risk Diversification∗
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian (i.e. non-fat-tailed) risk factors and explore the potential for (and limit of) risk diversification. Where...
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پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
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We study the effects of credit risk in a supply chain where one retailer deals with competing risky suppliers who may default during their production lead-times. The suppliers, who compete for business with the retailer by establishing wholesale prices, are leaders in a Stackelberg game with the retailer. The retailer, facing uncertain future demand, chooses order quantities while weighing the ...
متن کاملCredit Derivatives and Risk Management
E C O N O M I C R E V I E W Fourth Quarter 2007 The growth of credit derivatives suggests that market participants find them useful for risk management. Figure 1 shows the growth trajectory for credit derivatives from two surveys of derivatives dealers: the International Swaps and Derivatives Association (ISDA) Market Survey, which goes back to 2001, and the Bank for International Settlements (...
متن کاملthe effect of diversification of the credit portfolio on bank’s credit risk
the credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. two main strategies in this regard include diversification versus concentration. in this study, at first, the status of diversification of iran’s banking sector is analyzed, then the relationship between diversification of the credit portfolio and...
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ژورنال
عنوان ژورنال: Journal of Risk Research
سال: 2018
ISSN: 1366-9877,1466-4461
DOI: 10.1080/13669877.2018.1485173