The controversy over whether investment-cash flow sensitivity is a good indicator of financing constraints is still unresolved. We tackle it from several different angles and cross-validate our analysis with both balance sheet and qualitative data on self-declared credit rationing and financing constraints. Our qualitative information shows that (self-declared) credit rationing is (weakly) rela...

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...

Using the industrial organization approach to the microeconomics of banking we model a large (Monti-Klein) bank which is risk neutral and faces credit uncertainty in its loan business. The impact of capital adequacy regulation and the effect of changes in risk on deposit and loan rates are analyzed. We then show that capital adequacy regulation induces the bank to behave as if it were risk aver...

Governance, risk and compliance (GRC) as a marketplace can be broadly divided between GRC management (GRCM) products for the oversight and operation of risk management and compliance programs, and other GRC products for the automation and monitoring of controls. For a comprehensive description of the GRC marketplace, see "A Comparison Model for the GRC Marketplace, 2011 to 2013," which addresse...

Supplier selection is one of the most critical activities of purchasing management in supply chain and managers increasingly face sourcing decisions of how to selected suppliers. This paper illustrates the development of a sourcing decision that provides support for the buyer firm in supply chain.The models developed here, involved selecting between single and dual sourcing. Outside and local s...

Credit granting businesses face a challenging environment due to the wide variety of customer behaviors. While only some customers use their credit and pay regularly, a larger percentage may hardly use their available credit. As a key risk management issue, small percentages of customers become delinquent in their payments, and others become bankrupt, requiring write-off. As a business decides ...

The reduced form models have been widely used in the literature to price the credit risk of defaultable assets. However, little has yet been done in using the reduced form model as a portfolio risk management tool. In this study, we propose a multi-firm reduced form model and use it to measure portfolio credit risk. We calibrate and back-test our model using corporate bond prices. Our results s...

credit allocation through the usage of portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. this paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software i...