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credit risk constraint mechanisms in rural financial reform

Journal of Southeast University(English Edition) 2008年第S1期24卷 71-76页

作者： Huang Yan Wang Yantao(School of Business, Shantou University, Shantou 515063, China) School of Business Shantou University Shantou 515063 China

To research the operating mechanisms of rural financial reform, through setting up a contract model, the constraint roles of reputation and legal intervention on the default risk arising in the operating of the credit union funds are inspected. Analysis indicates that the increase in reputation cost can reduce the probability of union member default behavior and the probability of turning to the law for the credit union funds. Meanwhile, the amount of loans and the interest rates can increase the probability of turning to the law for the credit union funds. Below the marginal values, the penalty mechanisms can reduce the balancing probabilities of member default behavior and turning to the law for the credit union funds, namely, the penalty has some "substitution effect" for turning to the law for the credit union funds.

关键词： rural financial reform credit risk constraint mechanism contract

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COMBINING CLASSIFIERS FOR credit risk PREDICTION

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Journal of Systems Science and Systems Engineering 2009年第3期18卷 292-311页

作者： Bhekisipho TWALA CSIR Modelling and Digital Sciences Unit P.O. Box 395 Pretoria 0001South Africa

credit risk prediction models seek to predict quality factors such as whether an individual will default （bad applicant） on a loan or not （good applicant）. This can be treated as a kind of machine learning （ML） problem. Recently, the use of ML algorithms has proven to be of great practical value in solving a variety of risk problems including credit risk prediction. One of the most active areas of recent research in ML has been the use of ensemble （combining） classifiers. Research indicates that ensemble individual classifiers lead to a significant improvement in classification performance by having them vote for the most popular class. This paper explores the predicted behaviour of five classifiers for different types of noise in terms of credit risk prediction accuracy, and how could such accuracy be improved by using pairs of classifier ensembles. Benchmarking results on five credit datasets and comparison with the performance of each individual classifier on predictive accuracy at various attribute noise levels are presented. The experimental evaluation shows that the ensemble of classifiers technique has the potential to improve prediction accuracy.

关键词： Supervised learning statistical pattern recognition ensemble credit risk prediction

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Pricing vulnerable European options with dynamic correlation between market risk and credit risk

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Journal of Management Science and Engineering 2020年第2期5卷 125-145页

作者： Huawei Niu Yu Xing Yonggan Zhao School of Economics and Management China University of Mining and TechnologyXuzhou221116China School of Finance Nanjing Audit UniversityNanjing211815China Rowe School of Business Dalhousie UniversityHalifaxB3H 4R2Canada

In this paper,we study the valuation of vulnerable European options incorporating the reduced-form approach,which models the credit default of the *** provide an analytical pricing model in which the components of the state processes,including the dynamics of the underlying asset value and the intensity process corresponding to the default event,are cross-exciting and they could facilitate the description of complex structure of events *** illustrate how our model works,we present an application when the state variables follow specific affine jump-diffusion ***-analytical pricing formulae are obtained through a system of matrix Riccati *** derived formula can be implemented numerically,and we give numerical analysis to investigate the impact of the dynamic correlation between jump risk of the underlying asset value and default risk of the counterparty.

关键词： Vulnerable options Reduced-form model credit risk Fourier transform Affine jump-diffusion

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Impact of risk management strategies on the credit risk faced by commercial banks of Balochistan

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Financial Innovation 2019年第1期5卷 761-773页

作者： Zia Ur Rehman Noor Muhammad Bilal Sarwar Muhammad Asif Raz Balochistan University of Information Technology Engineering&Management Sciences QuettaPakistan

This study aims to identify risk management strategies undertaken by the commercial banks of Balochistan,Pakistan,to mitigate or eliminate credit *** findings of the study are significant as commercial banks will understand the effectiveness of various risk management strategies and may apply them for minimizing credit *** explanatory study analyses the opinions of the employees of selected commercial banks about which strategies are useful for mitigating credit *** data was collected from 250 employees of commercial banks to perform multiple regression analyses,which were used for the *** results identified four areas of impact on credit risk management(CRM):corporate governance exerts the greatest impact,followed by diversification,which plays a significant role,hedging and,finally,the bank’s Capital Adequacy *** study highlights these four risk management strategies,which are critical for commercial banks to resolve their credit risk.

关键词： credit risk risk management strategies Financial risk Capital adequacy ratio Hedging Corporate governance Diversification

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A dynamic credit risk assessment model with data mining techniques:evidence from Iranian banks

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Financial Innovation 2019年第1期5卷 240-266页

作者： Somayeh Moradi Farimah Mokhatab Rafiei Science and Research Branch Islamic Azad UniversityTehranIran Tarbiat Modares University TehranIran

Giving loans and issuing credit cards are two of the main concerns of banks in that they include the risks of *** to the Basel 2 guidelines,banks need to develop their own credit risk assessment *** banks have such systems;nevertheless they have lost a large amount of money simply because the models they used failed to accurately predict customers’***,banks have used static models with demographic or static factors to model credit risk ***,economic factors are not independent of political fluctuations,and as the political environment changes,the economic environment evolves with *** has been especially evident in Iran after the 2008-2016 USA sanctions,as many previously reliable customers became unable to repay their debt(i.e.,became bad customers).Nevertheless,a dynamic model that can accommodate fluctuating politicoeconomic factors has never been *** this paper,we propose a model that can accommodate factors associated with politico-economic *** judgement is removed from the customer evaluation *** used a fuzzy inference system to create a rule base using a set of uncertainty ***,we train an adaptive network-based fuzzy inference system(ANFIS)using monthly data from a customer profile ***,using the newly defined factors and their underlying rules,a second round of assessment begins in a fuzzy inference ***,we present a model that is both more flexible to politico-economic factors and can yield results that are max compatible with real-life *** between the prediction made by proposed model and a real non-performing loan indicates little difference between *** risk specialists also approve the *** major innovation of this research is producing a table of bad customers on a monthly basis and creating a dynamic model based on the *** latest created model is used for assessing customers henceforth,so the whole pro

关键词： Fuzzy clustering Non-performing loan credit risk FIS Dynamism ANFIS

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Analysis of the Factors Affecting the credit risk of China’s Listed Companies

Analysis of the Factors Affecting the Credit Risk of China’...

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第26届中国控制与决策会议

作者： Wei Dong Wang Yu-yan Zhang Zhi-xin School of Management Shandong Committee Party School of C.P.C. School of Management Science and Engineering Shandong University of Finance and Economics School of Business Administration Shandong University of Finance and Economics

ISBN: (纸本)9781479937097

This paper applied the factor analysis method to dynamically evaluate the credit risk of listed companies in China. Sixteen measurable indicators which can reflect the public credits of listed companies are selected and 4 main indicators are extracted by applying the factor analysis method. On the basis of it, 16 sub-indicators are further given to explain the affecting level to the credit of listed companies. It is demonstrated that, the main factors affecting the credit risk of listed companies are: profitability, operating capacity, solvency and growth ability, which has the impact of 38.654%, 26.078%, 19.025%, and 16.242% separately to the credit risk of listed companies. The reasons of these four factors influences are further illustrated and some suggestions are given in the end.

关键词： listed companies credit risk factor analysis.

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credit risk Management in the Comoros Banking System

Credit Risk Management in the Comoros Banking System

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作者：马娣（WAHEEDA MADI）中南大学

学位级别：硕士

银行业在科摩罗取得了前所未有的快速发展,过去六年里新的银行和金融机构从三个增加到九个。银行业的扩张应当在稳定的金融环境得到控制和评估。由于不具备涵盖风险的必要的银行业标准,银行业给科摩罗带来了巨大的风险。这个事件加强了... 详细信息

银行业在科摩罗取得了前所未有的快速发展,过去六年里新的银行和金融机构从三个增加到九个。银行业的扩张应当在稳定的金融环境得到控制和评估。由于不具备涵盖风险的必要的银行业标准,银行业给科摩罗带来了巨大的风险。这个事件加强了银行开发、维护和更新他们的风险管理框架的重要性。风险和风险管理在任何商业业务中都发挥着重要作用,但对于银行业却显得更为重要。银行面临的任何问题都会直接或间接地影响到它的客户和所有与银行相连的事物。因此,银行需要确保所有的风险都得到良好的管理。本研究旨在分析银行业面临的主要信贷风险以及应对这些风险的战略建议。例如,为了减少银行的信贷风险,贷款人可以进行准借款人的信用调查,可以要求借款人出具适当的担保,如抵押贷款或者寻求第三方的担保,或者其他可能的策略。总的来说,风险越高,要求债务人支付债务的利率也越高。因此,科摩罗中央银行应优化银行和金融机构的发展、稳定和安全性,包括分散的金融机构,从而提出工作建议。

关键词： Comoros credit risk Management Banking sector Saving Deposit Fund

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credit risk Management of Commercial Bank in Kazakhstan ——A Case Study of Halyk Bank

Credit Risk Management of Commercial Bank in Kazakhstan ...

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作者： Ulbibi Zholmyrza 上海师范大学

学位级别：硕士

credit risk is one of the most important risks that incurs in banking *** concept of credit risk management can be treated as the heart of any commercial *** plays the vital role in the performance of a financial institution as it analyzes credit worth ability of *** loan without repayment decreases banks’ profit and equity,which in turn may result in bank failure if the bank cannot pay off its *** this paper,according to existing theoretical and empirical literature,the suitable system was defined for measuring credit risk ***,the effect of credit risk management on the profitability and survival of bank in Kazakhstan was *** of credit risk management,the main tools and models used in the Kazakhstani banking system are introduced in the *** purpose of this study is to analyze and assess the credit risk of a commercial bank using a VaR model and simulation procedures with Monte Carlo method using the example of a loan portfolio of Halyk Bank in *** thesisexamines the basic methods and approaches of assessing the borrower’s creditworthiness and proposes a model for assessing the credit risk of a commercial bank using the VaR ***,it outlines how this model can be applied to the valuation of the loan portfolio of the commercial bank *** results of the study showed that there was a significant relationship between risk management and profitability and bank survivability.

关键词： credit risk credit risk management Bank management bodies Reserves

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China’s credit risk Mitigation Tools Pricing Based on Jarrow-Turnbull Model

China’s Credit Risk Mitigation Tools Pricing Based on Jarro...

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第六届（2011）中国管理学年会——金融分会场

作者： Wu Min, Zhang Qiang (College of Finance and Statistics of Hunan University, Hunan Changsha, 410079)

credit risk mitigation tool （CRM） is an innovative credit risk management tool that pilot launched by the inter-bank market in 2010, it stripping and pricing the credit risk of commercial paper, medium-term notes, bank loans and other assets, and transferred the risk to other investment, their introduction radically changed the traditional features of credit risk management. First, the pricing of the pilot status of CRM analysis, the impact of factors including CRM pricing risk-free interest rate, the underlying bond’s risk exposure, default probability, loss given default rate and duration, CRM deadlines. Secondly, the introduction of Jarrow-Turnbull model, the pricing of credit risk mitigation tools to measure and found that interest rates or central bank bills, treasury bonds over the same period as the CRM benchmark interest rate is more appropriate, and the Jarrow-Turnbull model for different time, different levels of CRM pricing of credit discrimination. More reasonable deal with the issue of pricing is closer to CRM, CRM products for our current pricing. Finally, propose CRM pricing optimization strategies, including completing the underlying database, exploring risk-free interest rate, innovative underlying bond rating system, guiding CRM market diversification and optimization of maker trading system.

关键词： credit risk risk mitigation risk pricing Jarrow-Turnbull Model

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Research on credit risk Transmission and Simulation in the Regional Power Market

Research on Credit Risk Transmission and Simulation in the R...

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第37届中国控制会议

作者： Zhongfeng Wang Weichun Ge Bo Hu Chaolong Zhang Zhiwei Liu Haifei Yu Shenyang Institute of Automation Chinese Academy of Sciences State Grid Liaoning Electric Power Co. Ltd. State Grid Liaoning Electric Power Co. Ltd.Huludao Power Supply Company State Grid Liaoning Electric Power Co. Ltd.Anshan Power Supply Company School of Business Administration Northeastern University

Mechanism of credit risk transmission in the regional power market is an important issue in the current risk management of power trading market. This paper purpose a multi-order credit risk propagation model based on IIM（Inoperability Input-output Model） to analyze the propagation mechanism of multi-order credit risk in the regional power market. Meanwhile we conduct simulation analysis, supposed the discrediting behaviors of some nodes of the regional power market, which leads to the related ability loss or economic loss of other market nodes in the power market system. On account of the simulation results, we propose some protective measures of the relevant nodes in the regional power market when different enterprise nodes suffer from credit risk events.

关键词： credit risk regional power market Inoperability Input-output Model risk propagation

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