نتایج جستجو برای: probability of default
تعداد نتایج: 21172487 فیلتر نتایج به سال:
The increasingly expansion credit risk in the form of non-current debts reduces the bank's financial ability to provide facilities and profitability, and could ends up in monetary & financial crisis through its externalities from banking sector to other economic sectors. Therefore, controlling this risk by focusing on the factors that influence its creation is important. Although various varia...
A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds
The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in R. Agliardi, A comprehensive structural model for defaultable fixed-income bondsو Quant. Finance 11 (2011), no. 5, 749--762.) into a comprehensive unified model of structural and reduced form models. In our model the bond holders receive the deterministic co...
The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
Credit risk management is becoming more and more important in recent years. When a company deals with a financial problem, it may not be able to fulfill its financial obligations, which can cause direct and indirect financial losses to shareholders, creditors, investors and other people in the community. Advanced credit risk models that are based on market value include improving credit quality...
Unreliability of financial statements in Iran has urged this country’s financial services industry management to manipulate practices by which they could gain reliable risk scores for borrowers. This research extracts the most influential qualitative factors that would impact the default of a business relationship borrower. Solicitation of the factors is done through Delphi methodology. The mea...
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