The Basel II Accord pointed out benefits of credit risk management through internal models to estimate Probability of Default (PD). Banks use default predictions to estimate the loan applicants’ PD. However, in practice, PD is not useful and banks applied credit scorecards for their decision making process. Also the competitive pressures in lending industry forced banks to use profit scorecards...

T he present paper investigates the impact of the financial crisis on the interaction between the lending rates, deposit rates and money market rates through the process of retail bank interest rate pass-through in the countries of the Euro area. Among our findings is the heterogeneity of bank rate adjustments across sectors, loans and deposits. That was mainly marked during the pre-...

The credit risk evaluation is a vital task in the P2P Lending platform. An effective assessment method lending platform can significantly influence investors' decisions. machine learning algorithm that be used to evaluate as LightGBM, however, results evaluating need improved. aim of this research improve accuracy LightGBM by combining Particle Swarm Optimization (PSO) algorithm. novelty develo...

We propose a theoretical model based on the bank lending channel to assess the ability of lending facilities and swap programmes to a¤ect the credit interest rate. The model predicts the success of both unconventional monetary measures in reducing the credit interest rate under very general conditions. The comparison between measures reveals the outperformance of lending facilities over swap pr...

This paper models loan rate-setting behavior, taking into account the product pricing and performance of the borrowing firm, and also calculates the bank’s loan-risk sensitive equity values. The lending function creates the need to model bank equity as a capped call option, which captures the credit risk directly related to management of a firm’s operations. When the product price set by the bo...

A widespread opinion before the credit crisis of 2007/8 was that securitisation enhances financial stability by dispersing credit risk. After the credit crisis, securitisation was blamed for allowing the hot potato of bad loans to be passed to unsuspecting investors. Both views miss the endogeneity of credit supply. Securitisation enables credit expansion through higher leverage of the financia...

Over the last two decades, bank lending has been closely correlated with property prices in both industrialised and developing countries. From previous empirical studies it is not clear whether these cycles were driven by property prices or lending. In this study I analyse the direction of causality between bank lending and property prices in 16 industrialised countries over the last two decade...

The prediction of corporate bankruptcies is an important and widely studied topic since it can have significant impact on bank lending decisions and profitability. This work presents two contributions. First we review the topic of bankruptcy prediction, with emphasis on neural-network (NN) models. Second, we develop an NN bankruptcy prediction model. Inspired by one of the traditional credit ri...

The Decision Model and Notation (DMN) is a standard notation to specify decision logic in business applications. A central construct in DMN is a decision table. The rising use of DMN decision tables to capture and to automate everyday business decisions fuels the need to support analysis tasks on decision tables. This paper presents an opensource DMN editor to tackle three analysis tasks: detec...