Lending remains one of the major functions of banks in all economies. In fact, interest charged on loans and advances today constitute a sizeable part of banks’ earnings. However, the possibility of failure of loans creates nightmares for not only the borrower and lender, but also poses a serious setback to the economy. This paper identifies non-performing credit as a major threat to the profit...

In this paper, we present the macro stress test with a credit risk approach for banking system of Iran during the period 2004Q1-2019Q4. The goal is to evaluate the vulnerability of the banking system through credit risk to the country economic shocks. In this regard, the developed method of Wilson (1997) Credit Portfolio View model including macroeconomic variables and default rate has been use...

This paper identifies the effect of financing constraints on firms’ labor demand. We exploit exogenous funding shocks to German savings banks during the US mortgage crisis that are unrelated to local conditions. We find that firms with credit relationships with affected banks experienced a significant decline in employment and in labor compensation relative to firms whose credit relationships w...

nowadays, credit risk is recognized as one of the most important bankruptcy factors of banks and financial institutions. in order to manage and control this risk, design of credit rating models is undeniable necessity. credit rating is used to identify the probability of credit default and on the other side classify the customers into two groups: good and bad accounts. until now, various statis...

in the commercial banking activities, efficiency is an important issue for the bank managers, monitoring part and clients. this study has appraised the efficiency performance of the commercial banks in iran. the research method has been using windows data envelopment analysis with constant and variable returns to scale and input oriented model at the period of 1991-2006. the sample of study was...

We study a credit network and, in particular, an interbank system with an agent-based model. To understand the relationship between business cycles and cascades of bankruptcies, we model a three-sector economy with goods, credit and interbank market. In the interbank market, the participating banks share the risk of bad debits, which may potentially spread a bank's liquidity problems through th...

We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real-time gross settlement setting. The game played by banks depends upon the intraday credit policy of the central bank and it encompasses two well-known game theoretical paradigms: the prisoner’s dilemma and the stag hunt. The former arises in a collateralized cred...

As discussed in Merton (1993, Sections 5 and 6) and here in the section to follow, the effective delivery of many financial services depends critically on the credit-worthiness of the provider financial institution. Such service activities are said to be 'credit-sensitive'. The intermediary's credit standing can cause significant extemality-like effects on the various business activities of the...

This paper presents a brief overview of developments currently taking place in the Australian banking sector relating to the measurement and management of credit risk. Section I provides, as background, a sketch of the structure of banking in Australia. Section II considers some of the forces operating within the Australian banking and financial system to increase the significance of credit and...

Providing financial service to Micro, Small and Medium Enterprises (MSMEs) in Indonesia presents a challenge for small rural banks such as People’ Credit Banks. These banks are required to infer risks about customers’ loan repayment from structured (quantitative, financial) and unstructured (qualitative, non-financial) type of credit information. In this study, the complex nature of credit rela...