Capital allocation for credit portfolios has two meanings. First, at portfolio level it means to determine capital as a buffer against an unexpected negative cash-flow resulting from credit losses. In this case, the allocation method can be specified by means of a risk measure. Its result is called economic capital of the portfolio. Second, at sub-portfolio or transaction level, capital allocat...

Capital allocation for credit portfolios has two meanings. First, at portfolio level it means to determine capital as a buffer against an unexpected negative cash-flow resulting from credit losses. In this case, the allocation method can be specified by means of a risk measure. Its result is called economic capital of the portfolio. Second, at sub-portfolio or transaction level, capital allocat...

mazandaran province is one of the most important agricultural areas in iran. researches findings show that the role of bank credits is really important due to the lack of available funds in agricultural sector. in this study, the relationship between allocation of agricultural bank credits of iran as professional bank section and agricultural employment was studied in the mazandaran province ba...

Learning systems which engage in sequential activity face the problem of properly allocating credit to steps or actions which make possible later steps that result in environmental payoff. In the classifier systems studied by Holland and others, credit is allocated by means of a "bucketbrigade" algorithm through which, over time, environmental payoff in effect Bows back to classifiers which tak...

In this paper we present the detail computations involved in [2]. First we propose a quick presentation of the methodology developed by Bouleau (see [5]). Then, we apply this method to the problem of optimal credit allocation problem.

The current financial turmoil has generated considerable discussion of liquidity. Moreover, it has been widely reported that the Federal Reserve played a major role in supplying liquidity to financial markets during this distressed time. This article describes two ways in which the Fed has supplied liquidity since late 2007. The first is traditional: The Fed supplies liquidity by providing cred...

One of the most significant developments in international credit markets in recent years has been the trade in Collateralized Debt Obligations (CDO), which has enabled financial institutions to repackage the credit risk of an asset portfolio into tranches to be transferred to investors. The present paper evaluates the credit risk of such a portfolio and the related tranches by applying two prom...

This paper investigates how government-led banking liberalization affects credit allocation by banks using as a quasi-natural experiment the establishment of city commercial (CCBs) in China. Based on more than three million corporate financial statements spanning over 16 years, we find that CCBs led to 6–14 % drop debt funding for private firms, well 1–2 rise their costs. At same time, infrastr...