Topic
Credit risk
About: Credit risk is a research topic. Over the lifetime, 18595 publications have been published within this topic receiving 382866 citations.
Papers published on a yearly basis
Papers
More filters
01 Jan 2012
TL;DR: In this article, the authors explore various parameters pertinent to credit risk management as it affect banks' financial performance, such as default rate, cost per loan assets and capital adequacy ratio.
Abstract: This study try to explore various parameters pertinent to credit risk management as it affect banks’ financial performance. Such parameters covered in the study were; default rate, cost per loan assets and capital adequacy ratio. Financial report of 31 banks were used to analyze for eleven years (2001-2011) comparing the profitability ratio to default rate, cost of per loan assets and capital adequacy ratio which was presented in descriptive, correlation and regression was used to analyze the data. The study revealed that all these parameters have an inverse impact on banks’ financial performance; however, the default rate is the most predictor of bank financial performance. The recommendation is to advice banks to design and formulate strategies that will not only minimize the exposure of the banks to credit risk but will enhance profitability.
104 citations
TL;DR: The authors employ a forensic analysis of the development of the subprime market from the 1980s through 2007 to argue that, in a competitive environment marked by the greater integration between housing finance and capital/equity markets, financial innovations provide new opportunities to hedge risk even as they collapse the barriers to rivalries between firms.
Abstract: Whereas policy makers and industry advocates have hailed the growth of the subprime mortgage market in the US as evidence that financial innovation can more efficiently price and absorb credit risk, the 2007 mortgage crisis provides an opportunity to revisit the nature of financial risk. This paper employs a forensic analysis of the development of the subprime market from the 1980s through 2007 to argue that, in a competitive environment marked by the greater integration between housing finance and capital/equity markets, financial innovations provide new opportunities to hedge risk even as they collapse the barriers to rivalries between firms. This has changed the terrain for risk assessment, promoting new modes of financial competition that have intensified systemic risk and extended it to a widening set of firms, households, and communities.
103 citations
Book•
20 Feb 1999
TL;DR: This book discusses Monte Carlo Simulation, Volatility and Correlation, Credit Risk and Credit Value-At-Risk, and its applications to Fixed Interest Instruments and Regulatory Issues.
Abstract: Foreword. Preface. Preface to the First Edition. About the Author. 1. Introduction to Risk. 2. Volatility and Correlation. 3. Value-At-Risk. 4. Value-At-Risk and Fixed Interest Instruments. 5. Options: Risk and Value-At-Risk. 6. Monte Carlo Simulation and Value-At-Risk. 7. Regulatory Issues and Stress-Testing. 8. Credit Risk and Credit Value-At-Risk. Case Study and Exercises. Appendix: Taylor's Expansion. Abbreviations. Selected Bibliography. Index.
103 citations
TL;DR: In this article, the impact of the global financial crisis on the allocation of credit to small and medium-sized enterprises (SMEs) was investigated using samples of rench s from four industries.
Abstract: This paper investigates the impact of the global financial crisis on the allocation of credit to small and medium‐sized enterprises (s). Using samples of rench s from four industries, we found supp...
103 citations
TL;DR: In this paper, the levels of credit risk in Islamic and conventional banks were evaluated using a market-based credit risk measure, Merton's distance-to-default (DD) model, and the credit risk of 156 conventional banks and 37 Islamic banks across 13 countries between 2000 and 2012.
Abstract: In this paper, we consider the levels of credit risk in Islamic and conventional banks. One problem with existing studies is the use of accounting information alone to assess credit risk, and this could be especially misleading with Islamic banking. Using a market-based credit risk measure, Merton's distance-to-default (DD) model, we evaluate the credit risk of 156 conventional banks and 37 Islamic banks across 13 countries between 2000 and 2012. We also calculate the accounting information-based Z-score and nonperforming loan (NPL) ratio for the purpose of comparison. Our results show that Islamic banks have significantly lower credit risk than conventional banks as based on DD. In contrast, and as expected, Islamic banks display much higher credit risk using the Z-score and NPL ratio. These findings suggest that the measure chosen plays a significant role in assessing the actual credit risk of Islamic banks.
103 citations