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Статті в журналах з теми "Default Risk Charge (DRC)"
Slime, Badreddine. "Mathematical Modeling of Concentration Risk under the Default Risk Charge Using Probability and Statistics Theory." Journal of Probability and Statistics 2022 (November 1, 2022): 1–12. http://dx.doi.org/10.1155/2022/3063505.
Повний текст джерелаBonollo, Michele, Luca Di Persio, and Luca Prezioso. "The Default Risk Charge approach to regulatory risk measurement processes." Dependence Modeling 6, no. 1 (December 1, 2018): 309–30. http://dx.doi.org/10.1515/demo-2018-0018.
Повний текст джерелаWilkens, Sascha, and Mirela Predescu. "Default risk charge: modeling framework for the “Basel” risk measure." Journal of Risk 19, no. 4 (2017): 23–50. http://dx.doi.org/10.21314/jor.2017.358.
Повний текст джерелаRODRIGUES, MATHEUS PIMENTEL, and ANDRE CURY MAIALY. "MEASURING DEFAULT RISK FOR A PORTFOLIO OF EQUITIES." International Journal of Theoretical and Applied Finance 22, no. 01 (February 2019): 1950012. http://dx.doi.org/10.1142/s0219024919500122.
Повний текст джерелаZhao, Yuetong, and Deqin Lin. "Prediction of Micro- and Small-Sized Enterprise Default Risk Based on a Logistic Model: Evidence from a Bank of China." Sustainability 15, no. 5 (February 23, 2023): 4097. http://dx.doi.org/10.3390/su15054097.
Повний текст джерелаLuzzetti, Matthew N., and Seth Neumuller. "THE IMPACT OF LEARNING ON BUSINESS CYCLE FLUCTUATIONS IN THE CONSUMER UNSECURED CREDIT MARKET." Macroeconomic Dynamics 24, no. 5 (November 23, 2018): 1087–123. http://dx.doi.org/10.1017/s1365100518000676.
Повний текст джерелаValipour, Esmaeil, Ramin Nourollahi, Kamran Taghizad-Tavana, Sayyad Nojavan, and As’ad Alizadeh. "Risk Assessment of Industrial Energy Hubs and Peer-to-Peer Heat and Power Transaction in the Presence of Electric Vehicles." Energies 15, no. 23 (November 25, 2022): 8920. http://dx.doi.org/10.3390/en15238920.
Повний текст джерелаEL HAJJAJI, OMAR, and ALEXANDER SUBBOTIN. "CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING." International Journal of Theoretical and Applied Finance 18, no. 03 (May 2015): 1550017. http://dx.doi.org/10.1142/s021902491550017x.
Повний текст джерелаLehdili, Noureddine, and Arshia Givi. "Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge." Risk and Decision Analysis 7, no. 3-4 (November 21, 2018): 91–105. http://dx.doi.org/10.3233/rda-180042.
Повний текст джерелаSantos, João A. C., and Andrew Winton. "Bank Capital, Borrower Power, and Loan Rates." Review of Financial Studies 32, no. 11 (February 14, 2019): 4501–41. http://dx.doi.org/10.1093/rfs/hhz001.
Повний текст джерелаДисертації з теми "Default Risk Charge (DRC)"
Rodrigues, Matheus Pimentel. "The effect of default risk on trading book capital requirements for public equities: an irc application for the Brazilian market." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/14015.
Повний текст джерелаApproved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-14T16:30:12Z (GMT) No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5)
Made available in DSpace on 2015-09-14T19:08:49Z (GMT). No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5) Previous issue date: 2015-08-17
This is one of the first works to address the issue of evaluating the effect of default for capital allocation in the trading book, in the case of public equities. And more specifically, in the Brazilian Market. This problem emerged because of recent crisis, which increased the need for regulators to impose more allocation in banking operations. For this reason, the BIS committee, recently introduce a new measure of risk, the Incremental Risk Charge. This measure of risk, is basically a one year value-at-risk, with a 99.9% confidence level. The IRC intends to measure the effects of credit rating migrations and default, which may occur with instruments in the trading book. In this dissertation, the IRC was adapted for the equities case, by not considering the effect of credit rating migrations. For that reason, the more adequate choice of model to evaluate credit risk was the Moody’s KMV, which is based in the Merton model. This model was used to calculate the PD for the issuers used as case tests. After, calculating the issuer’s PD, I simulated the returns with a Monte Carlo after using a PCA. This approach permitted to obtain the correlated returns for simulating the portfolio loss. In our case, since we are dealing with stocks, the LGD was held constant and its value based in the BIS documentation. The obtained results for the adapted IRC were compared with a 252-day VaR, with a 99% confidence level. This permitted to conclude the relevance of the IRC measure, which was in the same scale of a 252-day VaR. Additionally, the adapted IRC was capable to anticipate default events. All result were based in portfolios composed by Ibovespa index stocks.
Esse é um dos primeiros trabalhos a endereçar o problema de avaliar o efeito do default para fins de alocação de capital no trading book em ações listadas. E, mais especificamente, para o mercado brasileiro. Esse problema surgiu em crises mais recentes e que acabaram fazendo com que os reguladores impusessem uma alocação de capital adicional para essas operações. Por essa razão o comitê de Basiléia introduziu uma nova métrica de risco, conhecida como Incremental Risk Charge. Essa medida de risco é basicamente um VaR de um ano com um intervalo de confiança de 99.9%. O IRC visa medir o efeito do default e das migrações de rating, para instrumentos do trading book. Nessa dissertação, o IRC está focado em ações e como consequência, não leva em consideração o efeito da mudança de rating. Além disso, o modelo utilizado para avaliar o risco de crédito para os emissores de ação foi o Moody’s KMV, que é baseado no modelo de Merton. O modelo foi utilizado para calcular a PD dos casos usados como exemplo nessa dissertação. Após calcular a PD, simulei os retornos por Monte Carlo após utilizar um PCA. Essa abordagem permitiu obter os retornos correlacionados para fazer a simulação de perdas do portfolio. Nesse caso, como estamos lidando com ações, o LGD foi mantido constante e o valor utilizado foi baseado nas especificações de basiléia. Os resultados obtidos para o IRC adaptado foram comparados com um VaR de 252 dias e com um intervalo de confiança de 99.9%. Isso permitiu concluir que o IRC é uma métrica de risco relevante e da mesma escala de uma VaR de 252 dias. Adicionalmente, o IRC adaptado foi capaz de antecipar os eventos de default. Todos os resultados foram baseados em portfolios compostos por ações do índice Bovespa.
Katona, Gabriella. "Procyclical nature of the proposed FRTB market risk capital regime." Thesis, Queensland University of Technology, 2022. https://eprints.qut.edu.au/230387/1/Gabriella_Katona_Thesis.pdf.
Повний текст джерелаTillich, Daniel. "Bruchpunktschätzung bei der Ratingklassenbildung." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2013. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-130581.
Повний текст джерелаRating systems are a key component of credit risk modeling. In addition to scoring at borrowers’ level and risk quantification at the level of rating classes, the formation of the rating classes plays a fundamental role. The literature on rating classification uses in a way arbitrary optimization methods. Therefore, one aim of this contribution is to introduce a parametric statistical model to form the rating classes. A suitable model can be found in the area of split-point estimation. This model and the proposed parameter and interval estimators are presented and thoroughly discussed. Here, emphasis is placed on an application-oriented and intuitive formulation of the mathematical and statistical issues. Subsequently, the methodology of split-point estimation is applied to a specific data set and compared with several other criteria for rating classification. Here, split-point estimation proves to be advantageous. Finally, further research questions are derived on the basis of the empirical study. In particular, concepts for the case of more than two classes and for dependent data are sketched
Tillich, Daniel, and Christoph Lehmann. "Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222582.
Повний текст джерелаDhima, Julien. "Evolution des méthodes de gestion des risques dans les banques sous la réglementation de Bale III : une étude sur les stress tests macro-prudentiels en Europe." Thesis, Paris 1, 2019. http://www.theses.fr/2019PA01E042/document.
Повний текст джерелаOur thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank
Chou, Yen-tong, and 周晏彤. "A comparison of the default risk between the credit loans certified by external accountant and those reported in taxes form:An example from fourteen branch banks in charge of medium and small business loans." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/43871817441069905166.
Повний текст джерела國立高雄第一科技大學
風險管理與保險研究所
100
This study aims to explore the empirical experiences on the related influential factors of credit default risk on finance and tax compliance provided by national banks to the middle and small-sized enterprises. The data were collected from one of the domestic commercial banks and the samplings were accumulated from March 2006 to March 2007. There are files from five seasons for credit reference and establishing criteria for credit. From a total of 4760 cases of conforming loans, 3707 were normal interest receivable cases which is about 78%, and 1053 were non-normal interest receivable cases, accounting for about 22%. Based on the financial variables, the predicting model of financial crises was constructed and logistic regression analysis was applied in order to analyze the finance and tax compliance provided to the middle and small-sized enterprises, as well as the predictable capability regarding the incidence of financial crises after adding twelve models formed by financial variables. Consequently, the statistics show low default ratios of finance and tax compliance. In general, the goodness of fit in the entire model is not very significant. The test of significance with regard to the financial variables is not all significant. As a result, the financial report has a window dressing effect and the evaluation of standard criteria for credit cannot be made either by finance compliance or tax compliance alone.
Книги з теми "Default Risk Charge (DRC)"
Simon, Gleeson. Part III Investment Banking, 13 Trading Book—Standardized Approaches. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0013.
Повний текст джерела