相关论文: A New Methodology for Estimating Internal Credit R…

Today in every organization financial analysis provides the basis for understanding and evaluating the results of business operations and delivering how well a business is doing. This means that the organizations can control the operational…

Context: Financial system stability is determined by the condition of the banking system. A bank failure can destroy the stability of the financial system, as banks are subject to systemic risk, affecting not only individual banks but also…

Using standard financial ratios as variables in statistical analyses has been related to several serious problems, such as extreme outliers, asymmetry, non-normality, and non-linearity. The compositional-data methodology has been…

Credit risk assessment of a company is commonly conducted by utilizing financial ratios that are derived from its financial statements. However, this approach may not fully encompass other significant aspects of a company. We propose the…

Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition matrices, which relates the rating…

The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for…

Credit scoring is a rapidly expanding analytical technique used by banks and other financial institutions. Academic studies on credit scoring provide a range of classification techniques used to differentiate between good and bad borrowers.…

In recent years, bankruptcy forecasting has gained lot of attention from researchers as well as practitioners in the field of financial risk management. For bankruptcy prediction, various approaches proposed in the past and currently in…

Bankruptcy prediction is very important for all the organization since it affects the economy and rise many social problems with high costs. There are large number of techniques have been developed to predict the bankruptcy, which helps the…

The article proposes a method of designing a statistically distinguishable rating scale that is not excessive in relation to the existing observation statistics. This allows for more stable validation with a fixed maximum number of…

Corporate failure resonates widely leaving practitioners searching for understanding of default risk. Managers seek to steer away from trouble, credit providers to avoid risky loans and investors to mitigate losses. Applying Topological…

The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…

In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class imbalance in the data (i.e., very few…

We introduce a binary regression accounting-based model for bankruptcy prediction of small and medium enterprises (SMEs). The main advantage of the model lies in its predictive performance in identifying defaulted SMEs. Another advantage,…

As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective…

Bankruptcy prediction is an important research area that heavily relies on data science. It aims to help investors, managers, and regulators better understand the operational status of corporations and predict potential financial risks in…

In bankruptcy prediction, the proportion of events is very low, which is often oversampled to eliminate this bias. In this paper, we study the influence of the event rate on discrimination abilities of bankruptcy prediction models. First…

For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…

It is widely speculated that auditors' public forecasts of bankruptcy are, at least in part, self-fulfilling prophecies in the sense that they might actually cause bankruptcies that would not have otherwise occurred. This conjecture is hard…

The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…