Following the recent financial crisis, financial regulators have placed a strong emphasis on reducing expectations of government support for banks, and on better managing and assessing risks in the banking system. This thesis considers three current topics in credit risk and the statistical problems that arise there. The first of these topics is expectations of government support in distressed banks. We utilize unique features of the European credit default swap market to find that market expectations of European government support for distressed banks have decreased -- an important development in the credibility of financial reforms. The second topic we treat is the estimation of covariance matrices from the perspective of market risk management. This problem arises, for example, in the central clearing of credit default swaps. We propose several specialized loss functions, and a simple but effective visualization tool to assess estimators. We find that proper regularization significantly improves the performance of dynamic covariance models in estimating portfolio variance. The third topic we consider is estimation risk in the pricing of financial products. When parameters are not known with certainty, a better informed counterparty may strategically pick mispriced products. We discuss how total estimation risk can be minimized approximately. We show how a premium for remaining estimation risk may be determined when one counterparty is better informed than the other, but a market collapse is to be avoided, using a simple example from loan pricing. We illustrate the approach with credit bureau data.

Bai Ling. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 77-80). / Abstracts in English and Chinese. / INTRODUCTION --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Research Approach and Design --- p.4 / Chapter 1.3 --- Organization of the Thesis --- p.5 / LITERATURE REVIEW ON CREDIT RISK MODELING --- p.6 / Chapter 2.1 --- Overview --- p.6 / Chapter 2.2 --- Discriminant Analysis --- p.8 / Chapter 2.3 --- Logit Regression --- p.10 / Chapter 2.4 --- Regression and Classification Tree (CART) --- p.10 / Chapter 2.3 --- Chapter Summary --- p.12 / FALSE FINANCIAL STATEMENTS DETECTION --- p.13 / Chapter 3.1 --- Overview --- p.13 / Chapter 3.2 --- Empirical Studies on Financial Scandal and False Financial Statements (FFS) --- p.14 / Chapter 3.3 --- False Financial Statements (FFS) Detection --- p.17 / Chapter 3.4 --- Chapter Summary --- p.23 / RESEARCH METHODOLOGIES IN CREDIT SCORING & FALSE FINANCIAL STATEMENTS DETECTION --- p.25 / Chapter 4.1 --- Overview --- p.25 / Chapter 4.2 --- Logit Regression --- p.26 / Chapter 4.3 --- Classification and Regression Tree (CART) --- p.31 / Chapter 4.4 --- Chapter Summary --- p.34 / PROPOSED STUDY FRAMEWORK --- p.35 / Chapter 5.1 --- The COMPLETE Framework --- p.35 / Chapter 5.2 --- Rating Process --- p.43 / Chapter 5.3 --- Chapter Summary --- p.45 / DEVELOPING THE CREDIT SCORING MODEL --- p.46 / Chapter 6.1 --- Overview --- p.46 / Chapter 6.2 --- Sample --- p.46 / Chapter 6.3 --- Variables --- p.47 / Chapter 6.4 --- Result of the Univariate Analysis --- p.49 / Chapter 6.5 --- Develop the Bankruptcy Risk Model with Logit Regression --- p.50 / Chapter 6.6 --- Chapter Summary --- p.54 / INVESTIGATING FALSE FINANCIAL STATEMENTS --- p.55 / Chapter 7.1 --- Overview --- p.55 / Chapter 7.2 --- Impact of False Financial Statements (FFS) on Credit Risk Assessments - Evidence from Lantian's Case --- p.55 / Chapter 7.3 --- Evaluating the Trustworthiness Aspect for Lantian --- p.56 / Chapter 7.4 --- Analyze FFS with Statistical Tools --- p.59 / Chapter 7.5 --- Chapter Summary --- p.73 / SUMMARY --- p.75 / REFERENCES --- p.77

Tang Hoi-man = 受抵押品保護的公司債券的估值 / 鄧凱文. / Thesis submitted in: December 2004. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 69-72). / Text in English; abstracts in English and Chinese. / Tang Hoi-man = Shou di ya pin bao hu de gong si zhai quan de gu zhi / Deng Kaiwen. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.3 / Chapter 2.1 --- Review of Merton Model [24] --- p.4 / Chapter 2.1.1 --- Refinement of the Structural Model --- p.6 / Chapter 2.2 --- "Hui, Lo, Huang and Lee model" --- p.8 / Chapter 2.3 --- Recent models consider the PD-RR relationship --- p.11 / Chapter 2.3.1 --- Frye model --- p.11 / Chapter 2.3.2 --- Jokivuolle and Peura model --- p.12 / Chapter 3 --- The Valuation of Collateralized Corporate Bond --- p.13 / Chapter 3.1 --- The framework of the Model --- p.13 / Chapter 3.2 --- The Valuation of Collateralized Corporate Bond --- p.17 / Chapter 3.2.1 --- Derivation of Collateralized Corporate Bond --- p.18 / Chapter 3.2.2 --- "Relation between Proposed Model and Hui, Lo, Huang and Lee Model" --- p.22 / Chapter 4 --- The Study of the Closed-form Solution --- p.24 / Chapter 4.1 --- Applications --- p.24 / Chapter 4.1.1 --- Probabilities of Default --- p.25 / Chapter 4.1.2 --- Expected Loss-given-default --- p.26 / Chapter 4.2 --- Closed-form solution and Monte-Carlo Simulation --- p.29 / Chapter 4.2.1 --- Closed-form Solution --- p.29 / Chapter 4.2.2 --- Monte-Carlo Simulation --- p.31 / Chapter 4.2.3 --- Comparison between Closed-form Solution and Monte- carlo Simulation --- p.33 / Chapter 5 --- Data Analysis and Discussion --- p.38 / Chapter 5.1 --- Effects on ELGD of Different Parameters --- p.38 / Chapter 5.1.1 --- "Effect of Initial Collateral Value, S0" --- p.39 / Chapter 5.1.2 --- "Effect of Collateral's Volatility, σs" --- p.39 / Chapter 5.1.3 --- "Effect of Correlation between Firm's Leverage Ratio and Collateral, pLS" --- p.40 / Chapter 5.1.4 --- "Effect of residue recovery rate, δ" --- p.40 / Chapter 5.1.5 --- "Effect of Maturity, T" --- p.41 / Chapter 5.2 --- Initial Setting of Parameters --- p.42 / Chapter 5.3 --- Effects on ELGD for Different Rated Firms --- p.43 / Chapter 5.3.1 --- Effects on ELGD of Different S0 and σs --- p.45 / Chapter 5.3.2 --- Effect on ELGD of Different S0 and pLS --- p.47 / Chapter 5.3.3 --- Effect on ELGD of Different S0 and δ --- p.49 / Chapter 5.3.4 --- Effect on ELGD of Different S0 and T --- p.51 / Chapter 5.3.5 --- Effect on ELGD of Different and pLS --- p.53 / Chapter 5.3.6 --- Effect on ELGD of Different σs and δ --- p.55 / Chapter 5.3.7 --- Effect on ELGD of Different and T --- p.57 / Chapter 5.3.8 --- Effect on ELGD of Different pLS and δ --- p.59 / Chapter 5.3.9 --- Effect on ELGD of Different pLS and T --- p.61 / Chapter 5.3.10 --- Effect of on ELGD Different 6 and T --- p.63 / Chapter 5.4 --- Summary --- p.65 / Chapter 6 --- Conclusion --- p.67 / Bibliography --- p.69 / Chapter A --- Derivation of Pricing Equation --- p.73

Credit risk is an important source of risk for almost all of the financial securities. The frequent and serious financial crisis has made credit risk a sensitive and crucial consideration for financial institutions, corporations, and individual investors. The accurate pricing for credit risk and credit risky assets depends crucially upon the credit risk term structure---it implies the market expectation for the future credit risk. However, the credit risk analysis is still in its very early stages of development. The investigation about the credit risk term structure, especially the empirical exploration, has many blank points. Earlier research on the credit risk term structure mainly concentrates on the slopes, pertaining to the simple linear term structure which is not applicable to the middle credit quality assets. Thus the curvature of the spread curves may infer snore information about the changes of future credit qualities, the credit cycles, and the recurring business cycles. In this thesis, a bond pair approach is developed to study the shape (curvature as well as slope) of individual spread curves, and the relationship among spread curves for bonds with different ratings. We uncover downward sloping spread curves for triple C and double C bonds and upward sloping spread curves for triple A+ and triple A bonds. We also uncover hump-shaped spread curves for middle-graded bonds including double A to single B, and there exist peak points on these spread curves. We document the relationship among spread curves for bonds with different ratings In terms of time to peak and peak spread. We conclude that, in comparing higher rated bonds (say, double A) with lower rated bonds (say, single B), the credit spread is higher and time to peak is shorter for the latter than the former. In particular, these hump-shaped curves are bounded from above by downward sloping spread curves for triple C and double C bonds and bounded from below by upward sloping spread curves for triple A+ and triple A bonds. These findings provide a good explanation for the middle-rated bonds' spread curves. This evidence helps us to better understand the credit risk term structure, to accurately price credit risk and credit risky assets, and to appropriately manage credit risk. / Hu Wen-wei. / "August 2000." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 61-08, Section: A, page: 3284. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (p. 93-111). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Předmětem této práce je analýza role, významu a podoby pojištění obchodního úvěru. Celá práce zdůrazňuje aktuálnost tohoto produktu, jeho vývoj a možnosti využívání v praxi. Úvodní část charakterizuje obchodní úvěr a věnuje se problematice úvěrového rizika a jeho významu pro nefinanční společnosti. Následuje popis pěti základních fází úvěrového managementu. Důraz je kladen na jednu z možností zajištění obchodního úvěru ? pojištění obchodního úvěru, jako specifický pojistný produkt nabízený specializovanými úvěrovými pojišťovnami. Jsou charakterizovány různé formy a druhy úvěrového pojištění, jeho vývoj k dnešní podobě. V závěrečné části práce je přiblížen současný stav pojištění úvěru na pojistném trhu a perspektivy dalšího vývoje v této oblasti.

[pt] Este trabalho visa analisar os modelos atuais de avaliação de risco de crédito aplicados a empresas não-financeiras e desenvolver um modelo estatístico com o emprego da ferramenta LOGIT - Regressão Logística com base nos clientes jurídicos de uma empresa do ramo industrial. Este modelo tem como objetivo principal determinar a probabilidade de um cliente ser considerado como adimplente ou inadimplente. Com esta ferramenta o analista de crédito pode definir até que ponto se torna interessante para a empresa efetuar uma venda a prazo para o cliente. / [en] This dissertation has the objective of analyzing the current models of credit risk in non financial companies and to develop a statistical model with Logistic Regression. The main purpose of this model is to determine the probability of a client (business company) being considered a good or bad risk. This model will allow the credit analyst to measure the credit risk involved with credit sales.

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Since the democratization of South Africa, there has been a fundamental need for the creation of employment and economic growth. South African companies have, however followed international business trends through merges, acquisitions and the introduction of sophisticated technology. The result of the above policies, have significantly contributed to the counties high unemployment rate, with the current official unemployment rate of 30,5 (according to the 1996 census). Furthermore, the legacies of apartheid have left a large portion of the population to be unskilled and therefore unemployable. As a result of the above, the government has been burdened with the creation of employment, single-handedly finding innovative financing schemes for the small and medium enterprise sector, while simultaneously ensuring economic growth, despite prevailing economic conditions. In order to achieve economic growth and create employment opportunities, it is my opinion that primary focus needs to be given to the development of small and medium enterprises. In this regard emphasis should be given to the enhancement of potential and existing small and medium entrepreneurs, to enable them to become competitive forces. It has however, become common for good entrepreneurial ideas to "die as ideas" largely due to the inability of these entrepreneurs to secure adequate venture capital, to fund their ideas into successful businesses/innovations. This chronic shortfall of financial resources for SMEs is largely attributable to a financial strategy focused on larger firms with a perceived lower risk based on the belief that such firms were "to big to fail". The challenge is therefore, for government to create innovative ways to finance initiatives by existing and potential entrepreneurs, thereby stimulating economic growth and employment. It is also prudent to highlight the fact that in addition to the contribution SMEs make to a countries wealth and employment, they also serve as the primary vehicles by which new entrepreneurs provide the economy with a continuous supply of ideas, skills and innovations. Start-ups are estimated to have created 140 000 jobs in South Africa, between January 1999 and July 2002, while new firms are estimated to have created nearly one million. Furthermore, the 2002 Global Entrepreneurship Monitor (GEM) places South Africa below the average rate of entrepreneurial activity when compared with 36 countries. S.A also ranks lowest of all developing countries including Chile, Brazil, India, Argentina and Thailand. These results show that SA is in the bottom quartile of all countries on measures of opportunity entrepreneurship and new firm activity - both critical gauges for economic growth potential. GEM 2002, which is an annual international research project coordinated by London Business School, found that the greatest obstacles facing entrepreneurship is a lack of/ ineffective financial support, education and training, government policies and programmes. The aim of this study is to identify innovative ways of funding small and medium enterprises (SMEs) and the strategic implications of these initiatives on the South African economy. Furthermore, it is recommended that government big business and the select few wealthy individuals form strategic alliances, in order to promote the growth of this business sector, considering that the number of companies registered by the DTI has risen to 110 000 last year, of which 80 percent were small, black owned businesses. According to the National Small Business Act (1996), the small business sector absorbs nearly 44 % of the people formally employed in the private sector, and contributes to about 32.7 % to the country's gross domestic product. Given the significant increase in the number of registered enterprises since the 1994 General Elections, the sector holds further promises in order to generate economic growth and hence the need to develop and invest in this sector. Despite the existence of schemes, access to finance has been identified at the recent Job Summit as one of the problems and barriers to job creation and growth of small enterprises in South Africa. A recent media reports have highlighted the frustration of members of parliament, about the failure of the Department of Trade and Industry (DTI) to help SMEs, with the Director General, admitting that his department had not been doing enough, or visibly enough. While the DTI claims to have various loan assistance schemes in place, emerging Black entrepreneurs do not seem to have access to these facilities. A major concern is that the DTI continues to rollover massive amounts of unspent funds (from its annual budget of R2.2 million), that indicates that their target market is not being reached. Accordingly the focus in the future should be to increase the outreach of various programmes, targeting them more specifically at the SME sector. This research project therefore reviews the implementation of policies and programmes aimed at SMEs access to financial assistance in order to highlight barriers that hinder this process and recommendations to rectify the existing status quo. / Thesis (MBA)-University of KwaZulu-Natal, Durban, 2003.

Tito Mboweni (2011) said one of South Africa’s biggest tests is the overwhelming the skills shortage. He was echoing the views of Higher Education Minister Blade Nzimande who himself said “South Africa could not afford to have an economy "constrained by a severe lack of skills". There are numerous initiatives that having been undertaken by government in an attempt to solve the skills shortage problem. However, these initiatives are not aimed at the tertiary education system. The tertiary education system is the focus of this study as the author investigates how the NMMU Business School can play a significant role in addressing the skills shortage in the credit risk management sector. Following a literature review, surveys were completed by the NMMU Business School MBA students (ninety of them completed it) and personal interviews were conducted with three Provincial HR managers from South Africa’s “four big banks” in Nelson Mandela Bay (Nedbank, Standard Bank and ABSA). The study found that the skills shortage is indeed a problem. The study found that reasons including the legacy left by apartheid and students pursuing the wrong degrees were highlighted as some of the reason for this skills shortage. An opportunity for the NMMU Business School was identified to support the banking industry in addressing credit risk management skills shortage. The benefits include financial reward and more importantly an opportunity to differentiate the Business School and the courses offered at the school from the rest. Some of the recommendations included sourcing of the best practices from institutions like the Millpark Business School on effective partnering with the banking industry as well as a proactive approach to be adopted by the banking industry in terms of lobbying support from other potential role players for example but not limited to, student bodies, BankSeta and the smaller banks in the industry.

The thesis analyses management of receivables within international environment. In the theoretical part the general characteristics of the receivables are described as well as the possibilities of their control and management from the perspective of the global company. Based on the chosen methodology, the practical part analyses the process of the credit management in a specific global company and the new process that uses a segmentation of the portfolio is proposed.