相关论文: Excel Modelling - Transparency, Auditing and Busin…
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price mortgage backed securities. Many institutions have relied heavily on the credit ratings provided by credit agency. The relationships between management of…
Errors in spreadsheet applications and models are alarmingly common (some authorities, with justification cite spreadsheets containing errors as the norm rather than the exception). Faced with this body of evidence, the auditor can be faced…
Heavy use of spreadsheets by organisations bears many potential risks such as errors, ambiguity, data loss, duplication, and fraud. In this paper these risks are briefly outlined along with their available mitigation methods such as:…
Credit assessments activities are essential for financial institutions and allow the global economy to grow. Building robust, solid and accurate models that estimate the probability of a default of a company is mandatory for credit…
The Basel II Accords have sparked increased interest in the development of approaches based on internal ratings systems and have initiated the elaboration of models for remote ratings forecasts based on external ones as part of Risk…
Microsoft Excel is the most ubiquitous analytical tool ever built. Companies around the world leverage it for its power, flexibility and ease of use. However, spreadsheets are manually intensive and prone to error, making it difficult for…
There is a massive underserved market for small business lending in the US with the Federal Reserve estimating over \$650B in unmet annual financing needs. Assessing the credit risk of a small business is key to making good decisions…
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
In the global economy, credit companies play a central role in economic development, through their activity as money lenders. This important task comes with some drawbacks, mainly the risk of the debtors not being able to repay the provided…
Online leading has disrupted the traditional consumer banking sector with more effective loan processing. Risk prediction and monitoring is critical for the success of the business model. Traditional credit score models fall short in…
Research on formulae production in spreadsheets has established the practice as high risk yet unrecognised as such by industry. There are numerous software applications that are designed to audit formulae and find errors. However these are…
Credit risk assessment is a crucial aspect of financial decision-making, enabling institutions to predict the likelihood of default and make informed lending decisions. Two prominent methodologies in credit risk modeling are logistic…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…
The largest US banks are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most use the Loss Distribution Approach…
Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk…
This paper introduces a credit risk rating model for credit risk assessment in quantitative finance, aiming to categorize borrowers based on their behavioral data. The model is trained on data from Experian, a widely recognized credit…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
Risk assessment is a substantial problem for financial institutions that has been extensively studied both for its methodological richness and its various practical applications. With the expansion of inclusive finance, recent attentions…
There has been a significant amount of research into spreadsheets over the last two decades. Errors in spreadsheets are well documented. Once used mainly for simple functions such as logging, tracking and totalling information, spreadsheets…