one of the most important issues always facing banks and financial institutes is the issue of credit risk or the possibility of failure in the fulfillment of obligations by applicants who are receiving credit facilities. the considerable number of banks’ delayed loan payments all around the world shows the importance of this issue and the necessary consideration of this topic. accordingly, many...

We study the impact of bank credit supply on the output and productivity of borrower firms. Exploiting a matched firm-bank database covering all credit relationships of Italian corporations over more than a decade, we measure idiosyncratic supply-side shocks to firm credit availability. Then, we estimate a production model augmented with heterogeneous financial frictions, to show that an expans...

This paper has investigated a possible relationship between credit market structure and bank development in Iran and selected developing countries, using a panel regression analysis. Accordingly, the bank development index is proxied by the allocated credits to private sector, while a dummy variable has been defined as a proxy for credit market. To estimate the regressions, we have used data of...

Credit default swaps (CDS) are the most common type of credit derivatives used for hedging and speculative purposes in markets. We consider a representative risk-averse investor who has initial endowment instrument invests traditional financial instruments. Using utility indifference pricing approach, we construct framework single-name CDS contracts with periodic payments multi-period model. Mo...

On computational methods for the valuation of credit derivatives Wanhe Zhang Doctor of Philosophy Graduate Department of Computer Science University of Toronto 2010 A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four ...

This paper examines the recent period of relatively low credit spreads in Japan, with particular emphasis on the market’s assessments of the credit risks of large Japanese banks implicit in the prices of credit derivatives. We extract the market-price implied likelihood of a credit event in the future, and explore the nature of the default risk premiums underlying recent changes in bank bond an...

This paper investigates how the supplier’s bargaining power affects trade credit supply. We use a novel firm-level database of Chinese firms with unique information on the amount, terms, and payment history of trade credit extended to customers and detailed information on product market structure and clients-supplier relationships. We document that suppliers with weak bargaining power towards t...

-An inventory model for deteriorating items and shortages with finite production rate and stochastic demand rate is developed when the supplier offers delay period to the retailer for due payment against purchases and the retailer in turn extends the trade credit offer to its customers. This policy of passing on of the credit period is well known as two-level of credit financing. Items in the s...