Journal articles on the topic 'Morte a credito'
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Stupazzoni, Marco. "Gennaro Cirillo, Morte a credito. Honoré de Balzac, “Histoire de la grandeur et de la décadence de César Birotteau”." Studi Francesi, no. 187 (LXIII | I) (July 1, 2019): 173. http://dx.doi.org/10.4000/studifrancesi.16500.
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Mingardo, Letizia. "È morto Ippocrate, lunga vita a Ippocrate. Per una rivalutazione del paradigma medico ippocratico." Medicina e Morale 68, no. 3 (October 15, 2019): 249–63. http://dx.doi.org/10.4081/mem.2019.585.
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Nel panorama bioetico contemporaneo trova credito l’idea per cui la tradizione ippocratica sarebbe ormai irrimediabilmente anacronistica ed inevitabilmente superata, come, ad esempio, sostengono autori quali Veatch, Riha, Heubel e Mori. Le ragioni profonde di questa ostilità rimandano al divieto di pratiche abortive e di atti finalizzati a provocare la morte, contenuti nel Giuramento di Ippocrate, nonché, più in generale, alla commistione con l’etica cristiana che la storia dell’ippocratismo racconta. Nel presente contributo intendo mostrare come il movimento anti-ippocratico contemporaneo si nutra di una nozione di ippocratismo affetta da una certa stereotipia, e così ricostruita allo scopo di accreditare l’opposto paradigma pro-choice. Il mio intento finale è quello di offrire alcuni spunti per una riconsiderazione del paradigma medico ippocratico, alla luce dell’apprezzamento di quelli fra suoi elementi costitutivi che possono definirsi “classici”. Dopo un breve ritorno alle origini storiche dell’ippocratismo, mi soffermerò sul primo Aforisma di Ippocrate, in quanto manifesto epistemologico della medicina ippocratica, e sul Giuramento, in quanto manifesto deontologico della professione medica ippocratica. A traghettarmi dall’Aforisma al Giuramento, a cavallo tra epistemologia e deontologia, sarà una specifica riflessione sulla concezione ippocratica del rapporto tra medico e paziente, così come emergente anche da altre fonti antiche. Nel compiere questo percorso, sarò supportata da autorevoli voci, che, nell’odierno panorama nazionale e internazionale, contribuiscono ad alimentare una sempre più attenta rivalutazione della tradizione ippocratica, sotto il profilo etico e deontologico.
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Butera, Federico, and Fernando Alberti. "Il governo delle reti inter-organizzative per la competitivitŕ." STUDI ORGANIZZATIVI, no. 1 (December 2012): 77–111. http://dx.doi.org/10.3280/so2012-001004.
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I policy maker sono costantemente alla ricerca delle forme e degli strumenti per contribuire ad aumentare la prosperitŕ economica e sociale del proprio territorio. Gli studi a livello internazionale ci dicono che la prosperitŕ di un territorio č direttamente riconducibile alla sua competitivitŕ, e quindi in primis al livello di produttivitŕ e innovazione del sistema delle imprese. Come verrŕ ampiamente illustrato in questo articolo, le reti inter-organizzative - nella varietŕ di forme che l'evidenza empirica ci suggerisce - attraverso una flessibilitŕ senza precedenti, una piů veloce circolazione delle informazioni, la condivisione di visioni, saperi e conoscenza, l'efficiente e rapido scambio di risorse e competenze per competere, assicurano al tempo stesso specializzazione, efficienza e alti livelli di produttivitŕ. La configurazione e la natura di tali reti č in via di continua ridefinizione ed espansione e l'uso del termine rete č spesso generico o inappropriato. Anche i confini delle reti vanno continuamente ridefiniti, in un continuum che va dalle imprese tradizionali che esternalizzano e delocalizzano parte della loro produzione fino al puro networking di varia natura. Noi ci concentreremo solo su quelle reti interorganizzative che rappresentano forme nuove di impresa, di quasi impresa, di sistemi di imprese che consentono una gestione competitiva e innovativa della catena del valore e dei processi fondamentali, conseguendo risultati economici e sociali, in una parola prosperitŕ. Ci occuperemo in particolare del fenomeno piů nuovo che caratterizza l'Italian way of doing industry, ossia lo sviluppo e i successi delle medie imprese, nodi di reti inter-organizzative che coinvolgono non solo imprese piccole, ma anche imprese grandi, in una proiezione spesso globale. Su queste nuove forme di reti inter-organizzative, si apre uno spazio di intervento straordinario per i policy maker in azioni di attivazione, incentivazione e supporto, capaci di condurre a superiori livelli di competitivitŕ le imprese componenti le reti, le reti stesse e i territori da cui esse muovono, ovvero capaci di favorire una maggiore prosperitŕ. Tali spazi di governo delle reti inter-organizzative possono avere natura infrastrutturale (trasporti, edilizia, tecnologie, credito, servizi, ecc.), relazionale (governo della catena del valore, dei processi, dei flussi, delle architetture d'impresa, dei sistemi informativi e di comunicazione, dei sistemi professionali ecc.) e cognitiva (capitale umano, capitale intellettuale, sistema di valori e norme, ecc.). Tutte e tre queste dimensioni sono importantissime e vanno gestite congiuntamente in nuove forme di management assicurate dalle imprese "pivotali" e nell'ambito di quello che nell'articolo č definito come meta-management, ovvero quelle posizioni di attori pubblici e privati - spesso in raccordo fra loro - che assicurano supporto e guida strategica alle reti. Nuovi modelli di management e di meta-management implicano una conoscenza profonda della rete e, di conseguenza, una visione d'insieme attuale e futura sicura e convincente e una capacitŕ di execution che sappia consolidare o riorientare la rete; valorizzare le risorse, materiali e personali, lě racchiuse e soprattutto perseguire obiettivi e misurare risultati. Meta-management non significa favorire il mero networking tra imprese, ma attivarsi come agenzie strategiche e provvedimenti concreti capaci di disegnare politiche di accompagnamento e sostegno alla creazione e alla valorizzazione di robusti network tra imprese e tra imprese e istituzioni, che trascendano le consuete filiere e agglomerazioni locali. Una economia e una societŕ fatta di reti inter-organizzative non č uguale a quella fatta prevalentemente di singole imprese "castello". Sulle reti di impresa e sull'impresa rete incombono alcune rilevanti questioni a cui il nostro lavoro tenta di dare alcune risposte Vediamole qui di seguito. 1. Diagnosi. L'organizzazione a rete č oggi scarsamente riconoscibile. Come diagnosticarla, come identificarne le caratteristiche strutturali e comprenderne i problemi critici? 2. Sviluppo e progettazione. L'organizzazione a rete si puň supportare con adeguati servizi, sviluppare intenzionalmente o addirittura progettare, come qui si sostiene? E se sě, in che modo? I metodi da adoperare per gestire questo sviluppo sono certo diversi da quelli adottati da strutture accentrate, sono meno top-down e meno razionalistici: ma quali possono essere? 3. Stabilitŕ e mutamento. Ogni nodo o soggetto della rete fa parte di reti diverse, in alcuni casi abbandona in rapida successione le une per legarsi ad altre. Come combinare l'estrema mutevolezza di queste multiple appartenenze con l'esigenza di stabilitŕ e crescita di ogni singolo nodo, come far sě che l'intera rete si comporti come un "attore collettivo" capace di un governo? 4. Risultati. Se e come definire obiettivi o ri-articolarli velocemente nel tempo? Come valutare i risultati delle diverse dimensioni economiche e sociali? 5. Decisioni e misura. L'organizzazione a rete - come e piů dell'impresa tradizionale - cambia per repentine innovazioni, per adattamento, per micro-decisioni, per miglioramento continuo, č il risultato di scelte su cosa fare dentro e cosa comprare, su quali funzioni accentrare e quali decentrare, su quando acquisire o vendere unitŕ aziendali e su quando fare accordi, dove allocare geograficamente le attivitŕ. Vi sono criteri e metodi da adottare, per operare in questi contesti di agilitŕ, velocitŕ e rapiditŕ di processi decisionali? 6. Sistemi. Quali tecniche o sistemi operativi adatti all'impresa rete dovranno essere sviluppati? Quali sistemi di pianificazione e controllo di gestione dell'impresa rete, if any? Č possibile stabilire standard di qualitŕ per la rete? Come sviluppare dimensioni quali linguaggi, culture, politiche di marchio e di visibilitŕ, come potenziare le comunitŕ, come promuovere formazione e apprendimenti? 7. Strutture. Le reti di impresa includono una grande varietŕ di forme, come vedremo. La rete di imprese puň includere una parte di gerarchia: quali modelli di organigrammi sono compatibili? Quali sistemi informativi, di telecomunicazioni, di social network sono adatti per la rete di imprese? Quali sistemi logistici? Quali regole e contratti formali? Quali flussi finanziari? Le risorse umane si possono gestire e sviluppare lungo la rete? E in che modo? E che dire dei sistemi di controllo della qualitŕ? 8. Nascita e morte. La rete di imprese e soprattutto i suoi "nodi" hanno un tasso di natalitŕ/ mortalitŕ piů elevato dell'impresa tradizionale. Gestire la nascita e la morte delle imprese diventerŕ ancora piů importante che gestire le imprese. Chi lo farŕ e come? 9. Vincoli e opportunitŕ. La legislazione, le relazioni industriali, la cultura manageriale sono oggi vincoli e opportunitŕ allo sviluppo di forme di rete di imprese. La globalizzazione dell'economia, lo sviluppo dei servizi, le nuove tecnologie, la cultura dei giovani, invece, sembrano operare piů come fattori facilitanti quando addirittura non cogenti. Come gestire (e non subire) vincoli e opportunitŕ? Cosa puň fare l'impresa, e cosa possono fare le istituzioni pubbliche? Vi sono nuovi programmi e regole nazionali e regionali per la costituzione delle reti di impresa: quale č la loro efficacia e impatto? In tale quadro, un'Agenzia Strategica (una grande impresa, una media impresa, un ente governativo, una Camera di commercio, un'associazione imprenditoriale, un istituto di credito) puň esercitare un ruolo centrale nella promozione e governo delle reti inter-organizzative per la competitivitŕ dei territori, mettendo a fuoco i propri interventi di policy avendo come oggetto prioritario queste nuove forme di impresa, quasi-impresa, sistemi di impresa usando diverse leve: - innanzitutto, fornendo o favorendo l'accesso a risorse chiave, come credito, finanziamenti, sgravi fiscali, servizi per l'internazionalizzazione, conoscenze, marketing ecc.; - agendo da fluidificatore delle reti tra imprese, che sappia rimuovere ostacoli nelle strutture relazionali e irrobustire nodi, processi, strutture di governance laddove necessario; inserendosi direttamente nelle strutture relazionali come ponte per connettere nodi disconnessi; - esercitando a pieno il ruolo di meta-manager di reti inter-organizzative ossia imprimendo al sistema un indirizzo strategico di fondo, governando i processi "politici" interni alla rete ossia la distribuzione di potere e risorse e creando le condizioni culturali, strategiche organizzative e tecnologiche; - facendo leva sull'essere un policy maker cross-settoriale e multi-territoriale. Le reti di impresa hanno successo se si integrano entro "piattaforme industriali" (ad es. IT, Green economy, portualitŕ e logistica), entro cluster territoriali (es. distretti, economie regionali, etc.), sistemi eterogenei interistituzionali (che includono imprese pubbliche, amministrazioni, istituzioni e associazioni). La nostra tesi č che azioni di governo della rete attraverso nuove forme di management e di meta-management sono tanto piů efficaci quanto piů contribuiscono a supportare e strutturare reti organizzative robuste o che tendono a diventare tali, ossia imprese reti e reti di impresa governate; sono tanto meno efficaci o quanto meno misurabili quanto piů supportano solo processi di networking poco definiti destinati a rimanere tali. Nei termini di Axelsson, policy e management hanno effetto su reti che esprimono a) modelli di relazione fra diverse organizzazioni per raggiungere fini comuni. Hanno un effetto minore o nullo quando le reti di cui si parla sono solo b) "connessioni lasche fra organizzazioni legate da relazioni sociali" o c) un insieme di due o piů relazioni di scambio.
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Bouslama, Ghassen, and Christophe Bouteiller. "Human capital and credit risk management: training is more valuable than experience." Problems and Perspectives in Management 17, no. 1 (February 13, 2019): 67–77. http://dx.doi.org/10.21511/ppm.17(1).2019.07.
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The aim of this article is to assess how human capital, and more specifically training and experience, helps in forecasting and monitoring credit risk. It uses a survey of a sample of loan officers in a major French mutualist bank and applies analysis of variance and correlation to determine the relationships among variables. The study of these two components of human capital in SME loan officers shows that their ability to anticipate risk depends above all on their training rather than on their experience. Some methods of anticipating risk are more important than others. Loan officers monitor their clients in similar ways, whatever the degree and nature of their experience. The findings have two important implications for credit risk management and human capital: first, both technical and regulatory training is crucial to enable loan officers to anticipate bank credit risk, second, experience, whether in banking or as a loan officer, only makes a difference in monitoring risk. These results will be useful when banks are planning recruitment, career management and resource and skills allocation. They also suggest that staff knowledge management will enable banks to use their human capital effectively to reach their own objectives with regard to risk control, and those fixed by the regulators. This work is, as far as it is known, the first to study the role of human capital in managing credit risk. The authors show that training is more important than experience in default risk anticipation, but that experience is useful in risk monitoring.
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Melo, Vinícius Leite, César Quadros Maia, Elisa Maia Alkmim, Amanda Pais Ravasio, Rafael Lourenço Donadeli, Larissa Ottoni Estevanin de Paula, Alexandre Ernesto Silva, and Denise Alves Guimarães. "Death and dying in Brazilian medical training: an integrative review." Revista Bioética 30, no. 2 (June 2022): 300–317. http://dx.doi.org/10.1590/1983-80422022302526en.
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Abstract To describe how death and dying are approached in the medical undergraduate programs in Brazil and their repercussions for students, an integrative review of publications from 2008 to 2019 was carried out, resulting in a selection of 36 articles. The difficulties in approaching the theme related to the biomedical model of training, the organization of the curriculum, and the training of teacher were identified. Those affect students, causing psychic suffering and hindering the training process. Few curriculums approach psychosocial aspects related to death and dying, which are often approached for insufficient credit hours, inadequate methods, or as extracurricular activities. Solution proposals point to the necessity of investments in palliative care in the undergraduate programs. In conclusion, these themes need to be more thoroughly included in the National Curricular Directives of medicine programs, to foster a more humanitarian training, based on ethical principles, and which prepares students and professionals to deal with end-of-life situations
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Karpunin, V. I. "Monte commune – debt ascend. The origin of the global system contradiction ‘creditors – debtors’." Vestnik of the Plekhanov Russian University of Economics, no. 2 (April 22, 2019): 12–31. http://dx.doi.org/10.21686/2413-2829-2019-2-12-31.
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The article was first to show that the forerunner of the local contradiction ‘creditors – debtors’ transformation into its global system form was a regular succession of historical events, among which building-up a debt pyramid (debt ascend) acts as a powerful system driver in the field of social, economic and legal relations. In contrast to many fundamental works dealing with the theory of credit and money debt (a stable historical phenomenon) is described as an immanent form of the system contradiction. The mechanism of spreading the global system contradiction ‘creditors – debtors’ in its fundamental social, economic and legal forms predetermines today the process of transforming the local phenomenon ‘debt’ and shaping related interests in the global phenomenon ‘one-polar world and geo-economic factors’ impact on the process of spreading the global system contradiction ‘creditors – debtors’ the author identifies key protection mechanisms, including finance (institutions, tools, procedures). These protection mechanisms are meant for consideration and adoption by the authorized body, i. e. the Security Council of the Russian Federation. Among the mentioned mechanisms two should be highlighted. The primary task is to develop on the basis of system approach methodology mechanisms of asymmetric response to repressions carried out by geo-economic and geo-political opponents of Russia. The task of paramount importance is the development of mechanisms providing necessary conditions for shaping the national elite in the field of politics, science, culture, corporate and state governance.
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Jaidi, Kenza, Benoit Barbeau, Annie Carrière, Raymond Desjardins, and Michèle Prévost. "Including operational data in QMRA model: development and impact of model inputs." Journal of Water and Health 7, no. 1 (October 1, 2008): 77–95. http://dx.doi.org/10.2166/wh.2009.133.
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A Monte Carlo model, based on the Quantitative Microbial Risk Analysis approach (QMRA), has been developed to assess the relative risks of infection associated with the presence of Cryptosporidium and Giardia in drinking water. The impact of various approaches for modelling the initial parameters of the model on the final risk assessments is evaluated. The Monte Carlo simulations that we performed showed that the occurrence of parasites in raw water was best described by a mixed distribution: log-Normal for concentrations > detection limit (DL), and a uniform distribution for concentrations < DL. The selection of process performance distributions for modelling the performance of treatment (filtration and ozonation) influences the estimated risks significantly. The mean annual risks for conventional treatment are: 1.97E−03 (removal credit adjusted by log parasite = log spores), 1.58E−05 (log parasite = 1.7 × log spores) or 9.33E−03 (regulatory credits based on the turbidity measurement in filtered water). Using full scale validated SCADA data, the simplified calculation of CT performed at the plant was shown to largely underestimate the risk relative to a more detailed CT calculation, which takes into consideration the downtime and system failure events identified at the plant (1.46E−03 vs. 3.93E−02 for the mean risk).
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Chatman, Daniel, and Niels Voorhoeve. "The transportation-credit mortgage: a post-mortem." Housing Policy Debate 20, no. 3 (June 1, 2010): 355–82. http://dx.doi.org/10.1080/10511481003788786.
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Khair, Umul. "ANALISIS YURIDIS TERHADAP AKIBAT HUKUM PUTUSAN PERNYATAAN PAILIT BAGI DEBITOR TERHADAP KREDITOR PEMEGANG HAK TANGGUNGAN." JCH (Jurnal Cendekia Hukum) 3, no. 2 (March 29, 2018): 258. http://dx.doi.org/10.33760/jch.v3i2.24.
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The research and discussion of the problems as outlined in this scientific work is done with the aim of knowing which legal provisions apply to the creditors holding the Mortgage Rights in the case of the decree of declaration of bankruptcy, considering there are two different legal provisions, namely Bankruptcy Law Number 37 of 2004 and Insurance Rights Act No. 4 of 1996. This research is a Yuridi Normative research. Data obtained through literature research. The purpose of library research is to obtain secondary data. Primary data obtained through library research, then the data were analyzed qualitatively. From the result of the research, it is known that the Commercial Court judge in determining the decision of bankruptcy statement based its decision on the provisions of Law No. 34 of 2004, and the judges use legal principle of lex posteriori derogate legi priori to determine which legal provisions should be applied. Thus, both the bankrupt debtor and the creditor are subject to the provisions of bankruptcy, so that the holder of the mortg who has the position of the preferred creditor can only exercise his / her right of execution of the burden of the mortgage for a period of two months after a ninety-day suspension period since the bankruptcy decision was pronounced.
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Malavasi, Massimiliano. "La morte elusa e l’eroismo rifiutato." AOQU (Achilles Orlando Quixote Ulysses). Rivista di epica 2, no. II (December 30, 2021): 205–45. http://dx.doi.org/10.54103/2724-3346/17268.
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La morte del protagonista nel poema eroicomico è un evento decisamente inusuale. Anche considerando come parte di questa produzione il poema giocoso e le parodie dei miti classici, la lista degli eroi che cadono gloriosamente sul campo di battaglia rimane decisamente breve. E non si tratta di un caso: a parte i personaggi che scoppiano letteralmente dalle risate o che muoiono perché morsi da un piccolo granchio, gli eroi del poema eroicomico sono uomini pieni di paura, renitenti all’eroismo, desiderosi soprattutto di rimanere vivi per poter continuare a mangiare a crepapelle, a fare l’amore, a godersi l’esistenza. E l’idea stessa dell’eroismo è costantemente condannata e derisa. Questa rivendicazione per la vita contro l’obbligo del sacrificio – nella cultura Controriformistica – è più politica di quanto i critici abbiano in genere creduto. Uno sguardo alle opere di scrittori quali Aretino, Folengo, Tassoni, Lippi, de’ Bardi, Corsini, ma anche Traiano Boccalini, fornisce un’elo-quente prova dell’esistenza di una mentalità alternativa ai dogmi della civiltà aristocratica.
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Dai, Jiu Ru, Meng Yi Li, Wu Wei Li, Tian Xia, and Zhi Gang Zhang. "Application of Monte Carlo Simulation in College and University Academic Warning." Advanced Materials Research 955-959 (June 2014): 1817–24. http://dx.doi.org/10.4028/www.scientific.net/amr.955-959.1817.
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With the prevalence of credit system, the stipulation of “academic warning” is written into the teaching management constitution by more colleges and universities. However, the establishment of this stipulation hasn’t formed unified and scientific standards at present. This paper aims at studying the credit setting of academic warning through the method of Monte Carlo simulation, and at applying multivariate normal distribution and variance reduction techniques to calculate relatively reasonable academic warning credit line, which provides a new train of thought and a universal method for colleges and universities to set specific standards.
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Muzzarelli, Maria Giuseppina. "Una seconda chance per le persone e per le cose. I pegni consegnati ai Monti di Pietà alla fine del Medioevo: casi." Anuario de Estudios Medievales 52, no. 1 (July 29, 2022): 235–51. http://dx.doi.org/10.3989/aem.2022.52.1.09.
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Il Monte di Pietà, banca pubblica cittadina in funzione in Italia a partire dal 1462, realizzava i principi cardine dell’economia circolare: rendere i prodotti quanto più possibile duraturi ed efficienti e conseguentemente ridurre i rifiuti valorizzando anche beni apparentemente non più fruibili che possono invece essere considerati ancora impiegabili. Il Monte accoglieva pegni (frequentemente capi di abbigliamento) dai “poveri meno poveri” e in cambio accordava un piccolo credito. Ciò dava ai clienti dei Monti e agli oggetti consegnati in pegno una seconda chance ed evitava che chi si trovava in difficoltà precipitasse in un irrimediabile stato di povertà.
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Annalisa, Di Clemente. "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing." STUDI ECONOMICI, no. 104 (January 2012): 5–28. http://dx.doi.org/10.3280/ste2011-104001.
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This study explores the role of the credit securitisation process in managing the credit risk amount of the banking loan portfolio, when the bank originator retains a residual equitylike class as illiquid first loss position (FLP). An Importance Sampling Monte Carlo simulation model has been implemented for estimating the portfolio credit risk amount, taking into account the portfolio credit risk mitigation effect provided by the credit securitisation process. This study identifies the credit asset pool able to produce the larger effect of credit risk reduction on the loan portfolio, when the asset pool is unloaded off the banking book. Moreover, this simulation analysis quantifies the extent of the portfolio credit risk mitigation, produced by the securitisation process of the asset pool previously identified. The impact of the securitisation activity has been also investigated when the probability of default and the asset return correlation of the obligors in portfolio are changing.
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Lapshin, Viktor, and Anton Markov. "MCMC-based credit rating aggregation algorithm to tackle data insufficiency." Applied Econometrics 68, no. 4 (2022): 50–72. http://dx.doi.org/10.22394/1993-7601-2022-68-50-72.
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This paper investigates how credit rating aggregation might lead to a more efficient estimation of key portfolio risk management metrics: expected credit losses (ECL) and risk‐weighted assets (RWA). The proposed technique for credit rating aggregation is based on the Markov Chain Monte‐Carlo methodology and leads to a statistically smaller variance of ECL and RWA than the naïve and distribution‐based alternatives. This conclusion holds for three public datasets and four simulated studies. The paper results might be helpful for portfolios that suffer from data insufficiency or rely on external ratings for credit risk assessment: portfolios of international companies, interbank loans, and sovereign debt.
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Ghamami, Samim, and Bo Zhang. "Efficient Monte Carlo counterparty credit risk pricing and measurement." Finance and Economics Discussion Series 2014, no. 114 (2014): 1–42. http://dx.doi.org/10.17016/feds.2014.114.
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Ghamami, Samim, and Bo Zhang. "Efficient Monte Carlo counterparty credit risk pricing and measurement." Journal of Credit Risk 10, no. 3 (September 2014): 87–133. http://dx.doi.org/10.21314/jcr.2014.179.
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Chen, Zhiyong, and Paul Glasserman. "Sensitivity estimates for portfolio credit derivatives using Monte Carlo." Finance and Stochastics 12, no. 4 (August 14, 2008): 507–40. http://dx.doi.org/10.1007/s00780-008-0071-y.
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Hong, L. Jeff, Sandeep Juneja, and Jun Luo. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo." INFORMS Journal on Computing 26, no. 4 (November 2014): 848–65. http://dx.doi.org/10.1287/ijoc.2014.0602.
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Jo�ã, N. A., o. Luiz Chela, Luiz Leduíno De Salles Neto, and Renan Brito Butkeraites. "Efficient frontier of credit risk using Monte Carlo simulation." International Journal of Business Intelligence and Systems Engineering 1, no. 3 (2019): 261. http://dx.doi.org/10.1504/ijbise.2019.098924.
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Butkeraites, Renan Brito, Jo�ão Luiz Chela, and Luiz Leduíno De Salles Neto. "Efficient frontier of credit risk using Monte Carlo simulation." International Journal of Business Intelligence and Systems Engineering 1, no. 3 (2019): 261. http://dx.doi.org/10.1504/ijbise.2019.10020335.
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Li, Ping, and Jing Song. "Pricing Chinese Convertible Bonds with Dynamic Credit Risk." Discrete Dynamics in Nature and Society 2014 (2014): 1–5. http://dx.doi.org/10.1155/2014/492134.
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To price convertible bonds more precisely, least squares Monte Carlo (LSM) method is used in this paper for its advantage in handling the dependence of derivatives on the path, and dynamic credit risk is used to replace the fixed one to make the value of convertible bonds reflect the real credit risk. In the empirical study, we price convertible bonds based on static credit risk and dynamic credit risk, respectively. Empirical results indicate that the ICBC convertible bond has been overpriced, resulting from the underestimation of credit risk. In addition, when there is an issue of dividend, the conversion price will change in China's convertible bonds, while it does not change in the international convertible bonds. So we also empirically study the difference between the convertible bond's prices by assuming whether the conversion price changes or not.
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Liu, Qian. "Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods." Mathematical Problems in Engineering 2015 (2015): 1–6. http://dx.doi.org/10.1155/2015/959312.
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Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically. We examine this issue using interest rate swaps. This largely traded financial product allows us to well identify the risk profiles of both institutions and their counterparties. Concretely, Hull-White model for rate and mean-reverting model for default intensity have proven to be in correspondence with the reality and to be well suited for financial institutions. Besides, we find that least square Monte Carlo method is quite efficient in the calculation of credit valuation adjustment (CVA, for short) as it avoids the redundant step to generate inner scenarios. As a result, it accelerates the convergence speed of the CVA estimators. In the second part, we propose a new method to calculate bilateral CVA to avoid double counting in the existing bibliographies, where several copula functions are adopted to describe the dependence of two first to default times.
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Nguyen, Cuong, and Liang Chen. "Comparing Data Mining Models in Loan Default Prediction: A Framework and a Demonstration." Journal of Information Technology and Computer Science 7, no. 1 (April 7, 2022): 1–8. http://dx.doi.org/10.25126/jitecs.202271352.
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In the banking sector, credit risk assessment is an important process to ensure that loans could be paid on time, and that banks could maintain their credit performance effectively. Despite restless business efforts allocated to credit scoring yearly, high percentage of loan defaulting remains a major issue. With the availability of tremendous banking data and advanced analytics tools, data mining algorithms can be applied to develop a platform of credit scoring, and to resolve the loan defaulting problem. This paper puts forward a framework to compare four classification algorithms, including logistic regression, decision tree, neural network, and Xgboost, using a public dataset. Confusion matrix and Monte Carlo simulation benchmarks are used to evaluate their performance. We find that the XGboost outperforms the other three traditional models. We also offer practial recommendation and future research.
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Liu, Jian, Jihong Xiao, Lizhao Yan, and Fenghua Wen. "Valuing Catastrophe Bonds Involving Credit Risks." Mathematical Problems in Engineering 2014 (2014): 1–6. http://dx.doi.org/10.1155/2014/563086.
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Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data. Then we get the catastrophe bonds value by the Monte Carlo method.
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Misankova, 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.
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The article is dedicated to the optimization of credit risk through the application of Conditional Value at Risk (CVaR). CVaR is a risk measure, the expected loss exceeding Value-at-Risk and is also known as Mean Excess, Mean Shortfall, or Tail VaR. The link between credit risk and the current financial crisis accentuates the importance of measuring and predicting extreme credit risk. Conditional Value at Risk has become an increasingly popular method for measurement and optimization of extreme market risk. The use of model can regulate all positions in a portfolio of financial instruments in order to minimize CVaR subject to trading and return constraints at the same time. The credit risk distribution is created by Monte Carlo simulations and the optimization problem is solved effectively by linear programming. We apply these CVaR techniques to the optimization of credit risk on portfolio of selected bonds.                  Keywords: value at risk; conditional value at risk; credit risk; portfolio
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HUANG, ZHENZHEN, and YUE KUEN KWOK. "EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS." International Journal of Theoretical and Applied Finance 24, no. 02 (March 2021): 2150012. http://dx.doi.org/10.1142/s0219024921500126.
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Numerical calculations of risk measures and risk contributions in credit risk models amount to the evaluation of various forms of quantiles, tail probabilities and tail expectations of the portfolio loss distribution. Though the moment generating function of the loss distribution in the [Formula: see text] model is available in analytic closed form, efficient, accurate and reliable computation of risk measures (Value-at-Risk and Expected Shortfall) and risk contributions for the [Formula: see text] model poses technical challenges. We propose various numerical algorithms for risk measures and risk contributions calculations of the enhanced [Formula: see text] model under the common background vector framework using the Johnson curve fitting method, saddlepoint approximation method, importance sampling in Monte Carlo simulation and check function formulation. Our numerical studies on stylized credit portfolios and benchmark industrial credit portfolios reveal that the Johnson curve fitting approach works very well for credit portfolios with a large number of obligors, demonstrating high level of numerical reliability and computational efficiency. Once we implement the systematic procedure of finding the saddlepoint within an approximate domain, the saddlepoint approximation schemes provide efficient calculation and accurate numerical results. The importance sampling in Monte Carlo simulation methods are easy to implement, but they compete less favorably in accuracy and efficiency with other numerical algorithms. The less commonly used check function formulation is limited to risk measures calculations. It competes favorably in accuracy and reliability, but an extra optimization algorithm is required.
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Deryugina, Elena, Maria Guseva, and Alexey Ponomarenko. "The Credit Cycle and Measurement of the Natural Rate of Interest." Journal of Central Banking Theory and Practice 11, no. 1 (January 1, 2022): 87–104. http://dx.doi.org/10.2478/jcbtp-2022-0004.
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Abstract We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on these artificial datasets occur in the vicinity of credit cycle peaks without any underlying changes in fundamentals (that is the agents’ type or their behaviour). The empirical analysis confirms that the measures of the natural interest rate tend to increase prior to a credit cycle peak and decrease afterwards. We conclude that a decline in the estimated natural rates of interest does not necessarily indicate changes in macroeconomic fundamentals. Instead, it may simply reflect the innate properties of the measurement technique in the vicinity of credit cycle peaks.
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ABBAS-TURKI, LOKMAN A., STÉPHANE CRÉPEY, and BABACAR DIALLO. "XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS." International Journal of Theoretical and Applied Finance 21, no. 06 (September 2018): 1850030. http://dx.doi.org/10.1142/s0219024918500309.
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We present a nested Monte Carlo (NMC) approach implemented on graphics processing units (GPUs) to X-valuation adjustments (XVAs), where X ranges over C for credit, F for funding, M for margin, and K for capital. The overall XVA suite involves five compound layers of dependence. Higher layers are launched first, and trigger nested simulations on-the-fly whenever required in order to compute an item from a lower layer. If the user is only interested in some of the XVA components, then only the sub-tree corresponding to the most outer XVA needs be processed computationally. Inner layers only need a square root number of simulation with respect to the most outer layer. Some of the layers exhibit a smaller variance. As a result, with GPUs at least, error-controlled NMC XVA computations are doable. But, although NMC is naively suited to parallelization, a GPU implementation of NMC XVA computations requires various optimizations. This is illustrated on XVA computations involving equities, interest rate, and credit derivatives, for both bilateral and central clearing XVA metrics.
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Haroková, Pavlína, and Martin Lovecký. "A comparison of bounding approach with isotopic correction factors and Monte Carlo sampling in burnup credit method." EPJ Web of Conferences 253 (2021): 07011. http://dx.doi.org/10.1051/epjconf/202125307011.
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One of the methodologies used in criticality safety analysis is burnup credit method, which allows considering fuel burnup in models with spent fuel. This removes excessive conservatism from the analysis, but it also brings new uncertainties originating from computational prediction of spent fuel composition. The burnup credit method offer several possibilities of how to deal with this problem, e.g. using bounding approach with correction factors on nuclide concentrations, which is simple, but still very conservative approach. Another option is Monte Carlo sampling, which aims at receiving the most realistic result as possible, but is very computationally demanding. In this work, we have analyzed correction factors for selected nuclides and compared the results of both methods on model of spent fuel storage pool. The results show how much conservative the bounding approach is – in this case, the multiplication factor was higher by almost 0.03 than in Monte Carlo sampling, exceeding the standard deviation by more than 5.4 times.
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Chen, Shou, and Xiangqian Jiang. "Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach." Complexity 2020 (January 19, 2020): 1–11. http://dx.doi.org/10.1155/2020/5458941.
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With a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio. A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers. The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers. The corresponding Markov chain Monte Carlo algorithms of the particular TMM are also developed for estimating the model parameters. We show how the transition of consumers’ repayment states and systematic credit risk of a loan portfolio are affected by the phases of business cycles through simulations.
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Alcazar, Javier, Andrea Cadarso, Amara Katabarwa, Marta Mauri, Borja Peropadre, Guoming Wang, and Yudong Cao. "Quantum algorithm for credit valuation adjustments." New Journal of Physics 24, no. 2 (February 1, 2022): 023036. http://dx.doi.org/10.1088/1367-2630/ac5003.
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Abstract Quantum mechanics is well known to accelerate statistical sampling processes over classical techniques. In quantitative finance, statistical samplings arise broadly in many use cases. Here we focus on a particular one of such use cases, credit valuation adjustment (CVA), and identify opportunities and challenges towards quantum advantage for practical instances. To build a NISQ-friendly quantum circuit able to solve such problem, we draw on various heuristics that indicate the potential for significant improvement over well-known techniques such as reversible logical circuit synthesis. In minimizing the resource requirements for amplitude amplification while maximizing the speedup gained from the quantum coherence of a noisy device, we adopt a recently developed Bayesian variant of quantum amplitude estimation using engineered likelihood functions. We perform numerical analyses to characterize the prospect of quantum speedup in concrete CVA instances over classical Monte Carlo simulations.
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BERNIS, GUILLAUME, LAURENCE CARASSUS, GRÉGOIRE DOCQ, and SIMONE SCOTTI. "OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS." International Journal of Theoretical and Applied Finance 18, no. 01 (February 2015): 1550002. http://dx.doi.org/10.1142/s0219024915500028.
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We consider the problem of credit allocation in a regime-switching model. The global evolution of the credit market is driven by a benchmark, the drift of which is given by a two-state continuous-time hidden Markov chain. We apply filtering techniques to obtain the diffusion of the credit assets under partial observation and show that they have a specific excess return with respect to the benchmark. The investor performs a simple mean–variance allocation on credit assets. However, returns and variance matrix have to be computed by a numerical method such as Monte Carlo, because of the dynamics of the system and the non-linearity of the asset prices. We use the theory of Dirichlet forms to deal with the uncertainty on the excess returns. This approach provides an estimation of the bias and the variance of the optimal allocation, and return. We propose an application in the case of a sectorial allocation with Credit Default Swaps (CDS), fully calibrated with observable data or direct input given by the portfolio manager.
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FENG, QIAN, and CORNELIS W. OOSTERLEE. "COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK." International Journal of Theoretical and Applied Finance 20, no. 08 (December 2017): 1750056. http://dx.doi.org/10.1142/s021902491750056x.
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We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively. We present a nonnested Monte Carlo approach for computing CVA–VaR and CVA–expected shortfall (ES) for Bermudan options. By varying correlation coefficients, we study the impact of credit quality and WWR on the optimal exercise boundaries and CVA values of Bermudan products. Stress testing is performed.
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Dai, Jiu Ru, Meng Yi Li, Wu Wei Li, Zhou Lu, and Zhi Gang Zhang. "Setting of Academic Warning Based on Multivariate Copula Functions." Applied Mechanics and Materials 571-572 (June 2014): 156–63. http://dx.doi.org/10.4028/www.scientific.net/amm.571-572.156.
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With the prevalence of credit system, the stipulation of “academic warning” is written into the teaching management constitution by more colleges and universities. However, the present research in this stipulation is only limited to the simulation of multivariate normal distribution. This paper aims to improve the current setting of academic warning through Monte Carlo simulation of multivariate Copula functions, and to calculate more reasonable academic warning credit line. The result demonstrates that the accuracy is significantly improved, therefore, this approach can provide a new train of thought and universal method for colleges and universities to set specific standards.
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Xing, Haipeng, Ke Wang, Zhi Li, and Ying Chen. "Statistical Surveillance of Structural Breaks in Credit Rating Dynamics." Entropy 22, no. 10 (September 24, 2020): 1072. http://dx.doi.org/10.3390/e22101072.
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The 2007–2008 financial crisis had severe consequences on the global economy and an intriguing question related to the crisis is whether structural breaks in the credit market can be detected. To address this issue, we chose firms’ credit rating transition dynamics as a proxy of the credit market and discuss how statistical process control tools can be used to surveil structural breaks in firms’ rating transition dynamics. After reviewing some commonly used Markovian models for firms’ rating transition dynamics, we present several surveillance rules for detecting changes in generators of firms’ rating migration matrices, including the likelihood ratio rule, the generalized likelihood ratio rule, the extended Shiryaev’s detection rule, and a Bayesian detection rule for piecewise homogeneous Markovian models. The effectiveness of these rules was analyzed on the basis of Monte Carlo simulations. We also provide a real example that used the surveillance rules to analyze and detect structural breaks in the monthly credit rating migration of U.S. firms from January 1986 to February 2017.
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Chen, 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.
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This paper proposes an efficient simulation method for calculating credit portfolio risk when risk factors have a heavy-tailed distributions. In modeling heavy tails, its features of return on underlying asset are captured by multivariate [Formula: see text]-Copula. Moreover, we develop a three-step importance sampling (IS) procedure in the [Formula: see text]-copula credit portfolio risk measure model for further variance reduction. Simultaneously, we apply the Levenberg–Marquardt algorithm associated with nonlinear optimization technique to solve the problem that estimates the mean-shift vector of the systematic risk factors after the probability measure change. Numerical results show that those methods developed in the [Formula: see text]-copula model can produce large variance reduction relative to the plain Monte Carlo method, to estimate more accurately tail probability of credit portfolio loss distribution.
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JOSHI, MARK, and OH KANG KWON. "LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS." International Journal of Theoretical and Applied Finance 19, no. 08 (December 2016): 1650048. http://dx.doi.org/10.1142/s0219024916500485.
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Credit value adjustment (CVA) and related charges have emerged as important risk factors following the Global Financial Crisis. These charges depend on uncertain future values of underlying products, and are usually computed by Monte Carlo simulation. For products that cannot be valued analytically at each simulation step, the standard market practice is to use the regression functions from least squares Monte Carlo method to approximate their values. However, these functions do not necessarily provide accurate approximations to product values over all simulated paths and can result in biases that are difficult to control. Motivated by a novel characterization of the CVA as the value of an option with an early exercise opportunity at a stochastic time, we provide an approximation for CVA and other credit charges that rely only on the sign of the regression functions. The values are determined, instead, by pathwise deflated cash flows. A comparison of CVA for Bermudan swaptions and cancellable swaps shows that the proposed approximation results in much smaller errors than the standard approach of using the regression function values.
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My, Sang Tang, and Anh Nguyen Quoc. "The Relationship between Credit Risk and Bank Financial Stability: The Mediating Role of Bank Profitability." Journal of Hunan University Natural Sciences 49, no. 1 (January 28, 2022): 263–71. http://dx.doi.org/10.55463/issn.1674-2974.49.1.32.
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This study aims to investigate the influence of credit risk on bank financial stability of Vietnamese commercial banks, understanding the impact channels and patterns of Vietnamese commercial banks in particular by proposing implications for solutions to reduce credit risks and promote financial stability for banks. We employed the POOL, FEM, REM, GMM techniques, and Monte Carlo approach and used secondary data collected from 2005 to 2019. The findings reveal a direct relationship between bank credit risk, profitability, and bank financial stability, as well as a partly indirect association. The above suggests that bank credit risk and bank profitability can explain the stability of the Vietnam commercial banking sector. In the first step, we examine the relationship between bank credit risk and bank profitability. The findings reveal that size and previous period profitability positively affect bank profitability, while non-performing loans, loan loss provision, non-interest income, efficiency, and bank credit growth positively correlate with bank profitability. Bank profitability does not affect bank credit risk. In the second phase, we examine the effects of bank profitability on bank stability. Regression results demonstrate that previous-period profitability and bank stability impact current-period bank financial stability. We test the impact of bank credit risk on bank financial stability in the third step, and the results suggest that non-performing loans, non-interest income, loan loss provision, and prior bank stability positively impact current bank financial stability. This study offers a new understanding of the channel's effect of credit risk on bank financial stability. The results indicated that the credit risk had a direct and partly indirect impact on bank financial stability.
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Jakob, Kevin, and Matthias Fischer. "GCPM: A ?exible package to explore credit portfolio risk." Austrian Journal of Statistics 45, no. 1 (February 29, 2016): 25–44. http://dx.doi.org/10.17713/ajs.v45i1.87.
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In this article we introduce the novel GCPM package, which represents a generalized credit portfolio model framework. The package includes two of the most popular mod- eling approaches in the banking industry namely the CreditRisk+ and the CreditMetrics model and allows to perform several sensitivity analysis with respect to distributional or functional assumptions. Therefore, besides the pure quanti?cation of credit portfolio risk, the package can be used to explore certain aspects of model risk individually for every arbitrary credit portfolio. In order to guarantee maximum ?exibility, most of the models utilize a Monte Carlo simulation, which is implemented in C++, to achieve the loss dis- tribution. Furthermore, the package also o?ers the possibilities to apply simple pooling techniques to speed up calculations for large portfolios as well as a general importance sample approach. The article concludes with a comprehensive example demonstrating the ?exibility of the package.
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Youssef, Amel Ben. "Credit Risk Stress Testing of Commercial Banks in Tunisia." International Journal of Accounting and Finance Studies 1, no. 1 (April 10, 2018): 10. http://dx.doi.org/10.22158/ijafs.v1n1p10.
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<p><em>Stress tests of credit risk is greatly affected by data constraints in Tunisian banking system. Aiming to improve the assessment of credit risk in such conditions, we propose a model to conduct a macro stress test of credit risk for a sample of ten Tunisian commercial banks based on scenario analysis.</em></p><p><em>The approach consists first in explaining the credit risk for each bank in terms of macroeconomic and bank-specific variables through a static fixed effects model, second in a stress-testing exercise using the Monte Carlo Simulation for generating credit risk losses distributions in case of different scenarios and for determining unexpected losses for each bank. </em></p><p><em>The panel analysis applied suggests a robust negative relationship between the credit risk of bank loans and real GDP growth, with a lag response of four periods. In addition, return on assets ratio and bank size show significant negative effect on credit quality, while the net loans to total asset ratio is positively associated with it. </em></p><p><em>The credit risk stress testing results indicate that an adverse scenario of economic downturn produces increase of the frequency of the higher credit loss comparatively to the lower ones for all banks of the sample and that the estimated unexpected losses that would take place in a stress situation can be covered by available capital of these banks.</em></p>
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Oliveira, Rogerio De Deus, and Caio Ibsen Rodrgues de Almeida. "Alocação de Carteiras Sujeitas a Risco de Crédito." Brazilian Review of Finance 1, no. 2 (April 1, 2003): 301. http://dx.doi.org/10.12660/rbfin.v1n2.2003.1132.
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Credit Risk is an important dimension to be considered in the risk management procedures of financial institutions. Is a particularly useful in emerging markets where default rates on bank loan products are usually high. It is usually calculated through highly costly Monte Carlo simulations which consider different stochastic factors driving the uncertainly associated to the borrowers liabilities. In this paper, under some restrictions, we drive closed form formulas for the probability distributions of default rates of bank loans products involving a big number of clients. This allows us to quickly obtain the credit risk of such products. Moreover, using these probability distributions, we solve the problem of optimal portfolio allocation under default risk.
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Lefcaditis, Constantinos, Anastasios Tsamis, and John Leventides. "Concentration risk model for Greek bank's credit portfolio." Journal of Risk Finance 15, no. 1 (January 28, 2014): 71–93. http://dx.doi.org/10.1108/jrf-06-2013-0043.
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Purpose – The IRB capital requirements of Basel II define the minimum level of capital that the bank has to retain to cover the current risks of its portfolio. The major risk that many banks are facing is credit risk and Basel II provides an approach to calculate its capital requirement. It is well known that Pillar I Basel II approach for credit risk capital requirements does not include concentration risk. The paper aims to propose a model modifying Basel II methodology (IRB) to include name concentration risk. Design/methodology/approach – The model is developed on data based on a portfolio of Greek companies that are financed by Greek commercial banks. Based on the initial portfolio, new portfolios were simulated having a range of different credit risk parameters. Subsequently, the credit VaR of various portfolios was regressed against the credit risk indicators such as Basel II capital requirements, modified Herfindahl Index and a non-linear model was developed. This model modifies the Pillar I IRB capital requirements model of Basel II to include name concentration risk. Findings – As the Pillar I IRB capital requirements model of Basel II does not include concentration risk, the credit VaR calculations performed in the present work appeared to have gaps with the Basel II capital requirements. These gaps were more apparent when there was high concentration risk in the credit portfolios. The new model bridges this gap providing with a correction coefficient. Practical implications – The credit VaR of a loan portfolio could be calculated from the bank easily, without the use of additional complicated algorithms and systems. Originality/value – The model is constructed in such a way as to provide an approximation of credit VaR satisfactory for business loan portfolios whose risk parameters lie within the range of those in a realistic bank credit portfolio and without the application of Monte Carlo simulations.
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Tasinaffo, Paulo Marcelo, Gildárcio Sousa Gonçalves, Adilson Marques da Cunha, and Luiz Alberto Vieira Dias. "Using Monte Carlo method to estimate the behavior of neural training between balanced and unbalanced data in classification of patterns." Artificial Intelligence Research 7, no. 2 (July 31, 2018): 1. http://dx.doi.org/10.5430/air.v7n2p1.
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This paper proposes to develop a model-based Monte Carlo method for computationally determining the best mean squared error of training for an artificial neural network with feedforward architecture. It is applied for a particular non-linear classification problem of input/output patterns in a computational environment with abundant data. The Monte Carlo method allows computationally checking that balanced data are much better than non-balanced ones for an artificial neural network to learn by means of supervised learning. The major contribution of this investigation is that, the proposed model can be tested by analogy, considering also the fraud detection problem in credit cards, where the amount of training patterns used are high.
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Romero Ibarra, María Eugenia. "El Monte de Piedad de México: Su origen y desarrollo." Áreas. Revista Internacional de Ciencias Sociales, no. 41 (September 15, 2021): 11–25. http://dx.doi.org/10.6018/arics.470081.
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Este artículo trata sobre la historia de Nacional Monte de Piedade, una de las mutuas más antiguas de México y que aún juega un papel importante en la oferta de crédito a los sectores más pobres de la sociedad.
El artículo cubre los principales acontecimientos desde su fundación en 1775 hasta la primera década del siglo XXI. This article deals with the history of Monte de Piedad de México, one of the oldest mutual insurance companies in Mexico, which still plays an important role in offering credit to the poorest sectors of society. The article covers the main events from its founding in 1775 to the first decade of the 21st century.
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Schöftner, Robert. "On the estimation of credit exposures using regression-based Monte Carlo simulation." Journal of Credit Risk 4, no. 4 (December 2008): 37–62. http://dx.doi.org/10.21314/jcr.2008.081.
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Bally, Vlad, Lucia Caramellino, and Antonino Zanette. "A mixed PDE-Monte Carlo approach for pricing credit default index swaptions." Decisions in Economics and Finance 29, no. 2 (November 2006): 121–37. http://dx.doi.org/10.1007/s10203-006-0065-1.
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CARMONA, RENÉ, and STÉPHANE CRÉPEY. "PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS." International Journal of Theoretical and Applied Finance 13, no. 04 (June 2010): 577–602. http://dx.doi.org/10.1142/s0219024910005905.
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The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk. We concentrate on two of the most frequently touted methods of variance reduction in the case of stochastic processes: importance sampling (IS) and interacting particle systems (IPS) based algorithms. Because the subtle differences between these methods are often misunderstood, as IPS is often regarded as a mere particular case of IP, we describe in detail the two kinds of algorithms, and we highlight their fundamental differences. We then proceed to a detailed comparative case study based on benchmark numerical experiments chosen for their popularity in the quantitative finance circles.
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Křivánková, Lenka, and Silvie Zlatošová. "Modelling Counterparty Credit Risk in Czech Interest Rate Swaps." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 65, no. 3 (2017): 1015–22. http://dx.doi.org/10.11118/actaun201765031015.
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According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults. Therefore, from 2015, the Third Basel Accord (EU, 2013a) and (EU, 2013b) instructed banks to calculate the capital requirement for the risk of credit valuation adjustment (CVA). Banks are trying to model CVA to hold the prescribed standards and also reach the lowest possible impact on their profit. In this paper, we try to model CVA using methods that are in compliance with the prescribed standards and also achieve the smallest possible impact on the bank’s earnings. To do so, a data set of interest rate swaps from 2015 is used. The interest rate term structure is simulated using the Hull-White one-factor model and Monte Carlo methods. Then, the probability of default for each counterparty is constructed. A safe level of CVA is reached in spite of the calculated the CVA achieving a lower level than CVA previously used by the bank. This allows a reduction of capital requirements for banks.
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DE GRAAF, CORNELIS S. L., QIAN FENG, DRONA KANDHAI, and CORNELIS W. OOSTERLEE. "EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK." International Journal of Theoretical and Applied Finance 17, no. 04 (June 2014): 1450024. http://dx.doi.org/10.1142/s0219024914500241.
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Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in the financial industry, especially since the recent credit crisis. The three techniques all involve a Monte Carlo path discretization and simulation of the underlying entities. Along the generated paths, the corresponding values and distributions are computed during the entire lifetime of the option. Option values are computed by either the finite difference method for the corresponding partial differential equations, or the simulation-based Stochastic Grid Bundling Method (SGBM), or by the COS method, based on Fourier-cosine expansions. In this research, numerical results are presented for early-exercise options. The underlying asset dynamics are given by either the Black–Scholes or the Heston stochastic volatility model.
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Su, Jie, Tian Li, and Xin Ni. "Research on the Coupling Relationship between Market Risk and Credit Risk in Commercial Banks." MATEC Web of Conferences 228 (2018): 05020. http://dx.doi.org/10.1051/matecconf/201822805020.
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With the complexity and diversity of business development, commercial banks gradually put more focus on how to improve the accuracy of risk measurement. In this essay, we first defined the basic market risk and credit risk indexes by the use of the financial data of the target bank. Then, we built the Copula Model through Monte Carlo simulation techniques. We finally built the Copula-VaR measurement model which revealed the relationship between the two types of risks.