Journal articles on the topic 'Credit risk measure'
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Hilscher, Jens, and Mungo Wilson. "Credit Ratings and Credit Risk: Is One Measure Enough?" Management Science 63, no. 10 (September 2017): 3414–37. http://dx.doi.org/10.1287/mnsc.2016.2514.
Full textAlam, Pervaiz, Barry Hettler, and Han Gao. "Accounting downside risk measures and credit spreads." Review of Accounting and Finance 20, no. 1 (July 16, 2021): 103–20. http://dx.doi.org/10.1108/raf-08-2020-0244.
Full textTunay, K. Batu, Hasan F. Yuceyılmaz, and Ahmet Çilesiz. "An International Comparison on Excessive Credit Expansion, Credit Guarantee Programs and The Risks Arising." Khazar Journal of Humanities and Social Sciences 23, no. 1 (2020): 83–102. http://dx.doi.org/10.5782/2223-2621.2020.23.1.83.
Full textByström, Hans, and Oh Kang Kwon. "A simple continuous measure of credit risk." International Review of Financial Analysis 16, no. 5 (January 2007): 508–23. http://dx.doi.org/10.1016/j.irfa.2007.03.002.
Full textKiesel, Florian, and Jonathan Spohnholtz. "CDS spreads as an independent measure of credit risk." Journal of Risk Finance 18, no. 2 (March 20, 2017): 122–44. http://dx.doi.org/10.1108/jrf-09-2016-0119.
Full textFischer, Matthias, Thorsten Moser, and Marius Pfeuffer. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations." Risks 6, no. 4 (December 7, 2018): 142. http://dx.doi.org/10.3390/risks6040142.
Full textSondakh, Jullie Jeanette, Joy Elly Tulung, and Herman Karamoy. "The effect of third-party funds, credit risk, market risk, and operational risk on profitability in banking." Journal of Governance and Regulation 10, no. 2 (2021): 179–85. http://dx.doi.org/10.22495/jgrv10i2art15.
Full textSTEIN, HARVEY J. "FIXING RISK NEUTRAL RISK MEASURES." International Journal of Theoretical and Applied Finance 19, no. 03 (April 21, 2016): 1650021. http://dx.doi.org/10.1142/s0219024916500217.
Full textWei, Lu, Chen Han, and Yinhong Yao. "The Bias Analysis of Oil and Gas Companies’ Credit Ratings Based on Textual Risk Disclosures." Energies 15, no. 7 (March 24, 2022): 2390. http://dx.doi.org/10.3390/en15072390.
Full textUberti, Pierpaolo, and Silvia Figini. "How to measure single-name credit risk concentrations." European Journal of Operational Research 202, no. 1 (April 2010): 232–38. http://dx.doi.org/10.1016/j.ejor.2009.05.001.
Full textJeong, Wan-Ho, and Chan-Pyo Kook. "Stock Return Volatility and Corporate Credit Risk." Journal of Derivatives and Quantitative Studies 20, no. 1 (February 29, 2012): 1–40. http://dx.doi.org/10.1108/jdqs-01-2012-b0001.
Full textBarnett, William A., and Liting Su. "RISK ADJUSTMENT OF THE CREDIT-CARD AUGMENTED DIVISIA MONETARY AGGREGATES." Macroeconomic Dynamics 23, S1 (June 6, 2018): 90–114. http://dx.doi.org/10.1017/s1365100518000160.
Full textLiu, Yang, Sanjukta Brahma, and Agyenim Boateng. "Impact of ownership structure and ownership concentration on credit risk of Chinese commercial banks." International Journal of Managerial Finance 16, no. 2 (September 30, 2019): 253–72. http://dx.doi.org/10.1108/ijmf-03-2019-0094.
Full textStanley Isanzu, Juliana. "The Impact of Credit Risk on the Financial Performance of Chinese Banks." JOURNAL OF INTERNATIONAL BUSINESS RESEARCH AND MARKETING 2, no. 3 (2017): 14–17. http://dx.doi.org/10.18775/jibrm.1849-8558.2015.23.3002.
Full textBurova, Anna, Henry Penikas, and Svetlana Popova. "Probability of Default Model to Estimate Ex Ante Credit Risk." Russian Journal of Money and Finance 80, no. 3 (September 2021): 49–72. http://dx.doi.org/10.31477/rjmf.202103.49.
Full textArtzner, Philippe, and Freddy Delbaen. "Credit Risk and Prepayment Option." ASTIN Bulletin 22, no. 1 (May 1992): 81–96. http://dx.doi.org/10.2143/ast.22.1.2005128.
Full textGottschalk, Sylvia. "Entropy measure of credit risk in highly correlated markets." Physica A: Statistical Mechanics and its Applications 478 (July 2017): 11–19. http://dx.doi.org/10.1016/j.physa.2017.02.083.
Full textSantana, Patricia Jimbo, Laura Lanzarini, and Aurelio F. Bariviera. "Fuzzy Credit Risk Scoring Rules using FRvarPSO." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 26, Suppl. 1 (December 2018): 39–57. http://dx.doi.org/10.1142/s0218488518400032.
Full textFeng, Jianfen, Dianfa Chen, and Mei Yu. "Pricing Defaultable Securities under Actual Probability Measure." Journal of Systems Science and Information 2, no. 4 (August 25, 2014): 313–34. http://dx.doi.org/10.1515/jssi-2014-0313.
Full textChodnicka-Jaworska, Patrycja. "ESG as a Measure of Credit Ratings." Risks 9, no. 12 (December 14, 2021): 226. http://dx.doi.org/10.3390/risks9120226.
Full textChen, Rongda, Ze Wang, and Lean Yu. "Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula." International Journal of Information Technology & Decision Making 16, no. 04 (April 17, 2017): 1101–24. http://dx.doi.org/10.1142/s0219622017500201.
Full textLu, Su-Lien. "Measuring credit risk by using a parameterized model under risk-neutral measure." Applied Economics Letters 20, no. 8 (May 2013): 719–23. http://dx.doi.org/10.1080/13504851.2012.734593.
Full textNashikkar, Amrut, Marti G. Subrahmanyam, and Sriketan Mahanti. "Liquidity and Arbitrage in the Market for Credit Risk." Journal of Financial and Quantitative Analysis 46, no. 3 (February 15, 2011): 627–56. http://dx.doi.org/10.1017/s002210901100007x.
Full textSiddiq, Dr Abbokar, Ebrahim Al Gamal, and Osamah AL-Maamari. "Credit Risk Minimizing: Analysis study of Islamic and conventional banks in Yemen." Journal of Advanced Research in Economics and Administrative Sciences 3, no. 4 (January 6, 2023): 1–8. http://dx.doi.org/10.47631/jareas.v3i4.553.
Full textHarris, Trevor S., Urooj Khan, and Doron Nissim. "The Expected Rate of Credit Losses on Banks' Loan Portfolios." Accounting Review 93, no. 5 (January 1, 2018): 245–71. http://dx.doi.org/10.2308/accr-52012.
Full textMisankova, Maria, and Erika Spuchlakova. "Application of conditional value at risk for credit risk optimization." New Trends and Issues Proceedings on Humanities and Social Sciences 3, no. 4 (March 22, 2017): 146–52. http://dx.doi.org/10.18844/prosoc.v3i4.1540.
Full textAbdul Razak, Lutfi, Mansor H. Ibrahim, and Adam Ng. "Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures." Journal of Risk and Financial Management 13, no. 12 (December 10, 2020): 316. http://dx.doi.org/10.3390/jrfm13120316.
Full textDang, Van Dan, and Hoang Chung Nguyen. "CREDIT RISK AMID BANKING UNCERTAINTY IN VIETNAM." Buletin Ekonomi Moneter dan Perbankan 25, no. 1 (June 20, 2022): 73–96. http://dx.doi.org/10.21098/bemp.v25i1.1798.
Full textI. Dimitras, Augustinos, Stelios Papadakis, and Alexandros Garefalakis. "Evaluation of empirical attributes for credit risk forecasting from numerical data." Investment Management and Financial Innovations 14, no. 1 (March 31, 2017): 9–18. http://dx.doi.org/10.21511/imfi.14(1).2017.01.
Full textShen, LiJun, and Yu He. "COVID-19’s influence on the credit risks and enterprise innovation of the Guangxi manufacturing——Based on the measure of KMV model." E3S Web of Conferences 275 (2021): 03071. http://dx.doi.org/10.1051/e3sconf/202127503071.
Full text-, Irawati Junaeni. "How Big The Role of Credit Risk, Liquidity Risk and Capital Have an Effect On The Profitability of The 10 Largestt Bank in Indonesia." International Journal of Science, Technology & Management 2, no. 1 (January 27, 2021): 179–89. http://dx.doi.org/10.46729/ijstm.v2i1.146.
Full textHuang, Xin. "Persistence of Bank Credit Default Swap Spreads." Risks 7, no. 3 (August 26, 2019): 90. http://dx.doi.org/10.3390/risks7030090.
Full textRizky, Bimbi Ardhana, Sudarno Sudarno, and Diah Safitri. "PENGUKURAN RISIKO KREDIT DAN PENGUKURAN KINERJA DARI PORTOFOLIO OBLIGASI." Jurnal Gaussian 7, no. 1 (February 28, 2018): 43–53. http://dx.doi.org/10.14710/j.gauss.v7i1.26634.
Full textTodorova, Zornitsa. "Network Risk in the European Sovereign CDS Market." Review of Finance and Banking 12, no. 2 (December 31, 2020): 137–54. http://dx.doi.org/10.24818/rfb.20.12.02.03.
Full textDüllmann, Klaus, and Nancy Masschelein. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios." Journal of Financial Services Research 32, no. 1-2 (October 6, 2007): 55–79. http://dx.doi.org/10.1007/s10693-007-0014-3.
Full textKariya, Takeaki, Yoshiro Yamamura, and Koji Inui. "Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities." Journal of Risk and Financial Management 12, no. 3 (July 23, 2019): 124. http://dx.doi.org/10.3390/jrfm12030124.
Full textYin, Li-Li, Yi-Wen Qin, Yuan Hou, and Zhao-Jun Ren. "A Convolutional Neural Network-Based Model for Supply Chain Financial Risk Early Warning." Computational Intelligence and Neuroscience 2022 (April 15, 2022): 1–16. http://dx.doi.org/10.1155/2022/7825597.
Full textSaâda, Moufida Ben, and Yosra Gafsi. "Does disclosure of internal control system of credit risk improve banks’ performance? Evidence from Tunisian listed banks." International Journal of Financial Engineering 06, no. 04 (December 2019): 1950031. http://dx.doi.org/10.1142/s2424786319500312.
Full textLi, Jie, and Zhenyu Sheng. "Measuring and Managing Credit Risk for Chinese Microfinance Institutions." International Journal of Economics and Finance 10, no. 7 (June 10, 2018): 56. http://dx.doi.org/10.5539/ijef.v10n7p56.
Full textBozanic, Zahn, Lin Cheng, and Tzachi Zach. "Soft Information in Loan Agreements." Journal of Accounting, Auditing & Finance 33, no. 1 (February 1, 2017): 40–71. http://dx.doi.org/10.1177/0148558x16689653.
Full textImran Hunjra, Ahmed, Tahar Tayachi, Rashid Mehmood, Sidra Malik, and Zoya Malik. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets." Risks 8, no. 2 (April 14, 2020): 37. http://dx.doi.org/10.3390/risks8020037.
Full textHuang, Yi. "An Empirical Study on The Default Risk of Kaisa' s Real Estate Industry Before and After COVID-19." BCP Business & Management 32 (November 22, 2022): 330–36. http://dx.doi.org/10.54691/bcpbm.v32i.2910.
Full textRUTKOWSKI, MAREK, and SILVIO TARCA. "REGULATORY CAPITAL MODELING FOR CREDIT RISK." International Journal of Theoretical and Applied Finance 18, no. 05 (July 28, 2015): 1550034. http://dx.doi.org/10.1142/s021902491550034x.
Full textDu, Marui, Yue Ma, and Zuoquan Zhang. "A Meta-Path-Based Evaluation Method for Enterprise Credit Risk." Computational Intelligence and Neuroscience 2022 (October 13, 2022): 1–14. http://dx.doi.org/10.1155/2022/1783445.
Full textSun, Han, Hui-zi Ma, and Xiang-rong Wang. "Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks." E3S Web of Conferences 118 (2019): 03025. http://dx.doi.org/10.1051/e3sconf/201911803025.
Full textCerasi, Vittoria, and Lisa Crosato. "Dimensione e concentrazione dei gruppi bancari italiani nell'ultimo decennio." ECONOMIA E POLITICA INDUSTRIALE, no. 3 (September 2009): 21–39. http://dx.doi.org/10.3280/poli2009-003003.
Full textPandey, Sitaram, and Amitava Samanta. "Impact of Credit Risk on the Profitability of Selected Commercial Banks Listed on the National Stock Exchange." Shodh Sankalp Journal 1, no. 3 (September 1, 2021): 1–15. http://dx.doi.org/10.54051/shodh.2021.1.3.2.
Full textDi Clemente, Annalisa. "Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio." Journal of Risk and Financial Management 13, no. 6 (June 17, 2020): 129. http://dx.doi.org/10.3390/jrfm13060129.
Full textKalu, Emenike O., Bashabe Shieler, and Christian U. Amu. "Credit Risk Management and Financial Performance of Microfinance Institutions in Kampala, Uganda." Independent Journal of Management & Production 9, no. 1 (March 2, 2018): 153. http://dx.doi.org/10.14807/ijmp.v9i1.658.
Full textWu, Xiaowo, Jiangwei Tu, Boru Liu, Xi Zhou, and Yanxiong Wu. "Credit Risk Evaluation of Forest Farmers under Internet Crowdfunding Mode: The Case of China’s Collective Forest Regions." Sustainability 14, no. 10 (May 11, 2022): 5832. http://dx.doi.org/10.3390/su14105832.
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