[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.

本研究主要著重信用風險對於可轉換公司債評價之影響。因可轉換公司債兼具股權與債權之特性，使得它在某些時候亦與一般債權一樣面臨公司無法完全清償的風險。本文的研究架構主要分為兩項：以公司資產價值及以普通股股價為可轉換公司債之標的資產，並將信用風險的設定融入模型之中。在實證部份，則以茂矽二與新纖二這兩檔可轉換公司債為樣本。當以公司價值做為標的時，可再區分為Merton模型的設定或是首次通過時間模型(First Passage Time Model)的設定，此二者並無明顯的差異，主要原因來自於可轉換公司債同時具有債券及股票的性質，公司提前破產與否對可轉換公司債的影響並不大。此外，當以公司普通股股價做為標的時，可再分為以信用價差(credit spread)與Jarrow and Turnbull (1995)來評價其價值，此時，需將不同的信用品質分離出來，給予不同的折現率，當股價處於深度價外時，可轉換公司債對信用風險的敏感度較高。若再以理論價值與市價做比較，則可發現無論是茂矽二或新纖二的理論價值皆高於市價，其中一部份來自於模型設定已將部份發行條款予以簡化所造成的誤差，更重要的原因乃是可轉換公司債的市場流動性不足，造成效率性低落所導致。

臺灣地區於民國９４年底發生的雙卡風暴（信用卡與現金卡），讓臺灣全體發卡銀行，於民國９５年度打銷信用卡及現金卡呆帳共新台幣1,629億元，造成發生當年本國銀行近新台幣74億元的虧損。這就是臺灣的銀行業一窩蜂轉向高獲利的消費金融業務時，完全忽略了信用風險管理。未建立並落實良好的信用風險管理機制，導致信用危機發生時，完全失控，讓銀行產生嚴重虧損。當年的雙卡風暴，令許多民營銀行的經營控制權讓手外資投資機構，或為其他銀行所併購。 　　本論文以信用卡發卡業務為例，探討信用風險管理之貸後管理(Portfolio Management)方法，協助銀行降低信用風險損失成本，提升獲利；透過對實務信用風險管理之精進，降低信用風暴產生時的衝擊。 　　透過本研究之個案證實，經營信用卡業務之金融機構，若能持有一套良善的信用風險貸後管理，當信用危機發生時，可以有效地控制信用風險損失的增加。以本研究為例，雙卡風暴發生時，全體本國銀行的年化信用風險損失率上升12.41%，但擁有良善信用風險管理的個案銀行的年化信用風險損失率僅增加9.04%，差異高達3.37%，再透過作業成本的降低，可使信用卡的淨資產報酬率相差達５％左右。因此，經營無擔保消費者貸款的金融機構，要維持競爭優勢，一定要了解並落實信用風險管理工作，尤其是貸後管理方面的作業，更是決定勝負之關鍵。 / A local credit crisis occurred in Taiwan from late 2005 to early 2007. During the crisis, the total credit losses of Credit Cards and Cash Card were NT$ 162.9 billion for all cards issuers in Taiwan for Year 2006. This big loss made the Taiwanese banks having a negative net-income at NT$7.4billion for Year 2006. The root cause was from ignoring the credit risk management while Taiwanese banks kept growing the consumer lending business. And finally a few local banks were sold to the foreign banks because they couldn’t take such big loss from the capital requirement. The primary objective of this thesis is to research the portfolio management on the credit card business to find out how to build a good portfolio management working model in terms of credit risk management to help the credit card issuers to reduce the credit losses and increase the net-income, and also minimize the impact when the credit crisis happens. It has been proven that the credit card issuer with an excellent portfolio management on credit risk can reduce the credit loss increase compared with the others when the credit crisis is coming. For instance, the overall Taiwanese bank’s average loss rate in 2006 increased by 12.41% over 2005 but the bank loss rate only increased by 9.04% during that local credit crisis. Considering the lower operating cost of the bank, the ROA difference will be around 5%. Therefore, if any bank would like to do the consumer lending business, they must understand what risk management methods they should have and really work on them, especially for the portfolio management, so that they can maintain a good position to compete with the others.

The purpose of this thesis is to investigate how well Swedish banks’ follow the interest rate development of Swedish Treasury Bills and Swedish Government Bonds when they are determining the levels for their deposit and lending rates. Individuals’ deposits in a bank serves as one of the banks main assets in the balance sheet, and the spread between the bank’s deposit rate and the short-term market rate is a large source of funding for the bank. If there is a strong relationship of this spread over time, one may assume that this spread is of great importance for financing of the banking firm. The spread between the bank’s lending rate and the long-term market rate – credit risk spread – also serves a large source of interest income for the bank, and if this relationship is strong over time, one may assume that this spread is of great importance for financing of the banking firm as well. The banks subjected for investigation in this paper are Handelsbanken (SHB) and Föreningssparbanken (FSB). This paper finds a weaker relationship between the banks’ deposit rates and the short-term market rates, than for the lending rates and the long-term market rates. This indicates that the credit risk spread is of greater importance for financing of the banking firm than the funding spread. The weaker relationship between the banks’ deposit rates and the short-term market rate may be due to the great variability of savings alternatives offered in the market place today. The fact that banks today have deposit-deficit may also explain the weaker relationship, which may be explained by the Baumol-Tobin transaction model – where the higher the interest rate, the greater amount is being kept in the account. The stronger relationship between the banks’ lending rate and the long-term market rate may be due to the nature of the credit risk spread to function as a price-discrimination tool between lending clients.

Consumer credit has become increasingly popular in Russia over the past few years. With the rapid growth of lending to individuals and companies, the need for accumulation of credit histories and information, collection services of bad debts, and credit insurance and financing also become of increased importance. It was found in this thesis that the larger credit limit given to corporate clients, the greater will the loss be if there is a default and the money cannot be collected. Giving credit to a small number of customers also increases the concentration of the risk. The opportunity to diversify in consumer credit is, however, limited because of the geo-graphic concentration of the customers, and the macro economic risk cannot be elimi-nated. Credit periods in consumer credit are in general longer, leading to higher uncertainty of payment and hence higher exposure to risk. Personal relationships are not established with customers in consumer credit, which are argued to act as “insurances” in corporate credit. Consumer credit is more common among international companies, leading to better offers and more flexibility in the service. Insurers of corporate credit have a restrictive policy with higher premiums and more administrative work, which is less attractive for companies to take on. Creditors also have to share the risk with insurance companies, often having to pay more than 15 percent of a default. With respect to what was mentioned above, it was concluded in this thesis that the risk of giving credit to individuals does not necessary have to be higher than that of corporate cli-ents, but that the terms of the contract is more favourable for the creditor in consumer credit.

Today all private corporations are obligated by statutory audit. The government of Sweden appointed an investigation to conclude if the audit should be statutory or not. The investigator presented on the third of April 2008 a report (SOU 2008:32) that suggests abolishment of the statutory audit for approximately 97 % of all private corporations in Sweden. This will result in certain effects on the banks credit rating because of the fact that the banks trust the audited accounts to have been audited by an independent audit. The most important in the banks credit rating are: personal judgement, business concept, business plan and repayment ability. The banks also use the private corporations audited accounts in its credit rating. We conducted a case study by interviewing four bank officials in different banks in Skövde and Tibro. The purpose of the study was to investigate the banks credit rating and the audits importance in the credit rating. The conclusion deducted from our case study it that the confidence between the bank and the company is very high valued and that the audit is a sign of quality.

Banking is topic, practice, business or profession almost as old as the very existence of man, but literarily it can be rooted deep back the days of the Renaissance (by the Florentine Bankers). It has sprouted from the very primitive Stone-age banking, through the Victorian-age to the technology-driven Google-age banking, encompassing automatic teller machines (ATMs), credit and debit cards, correspondent and internet banking. Credit risk has always been a vicinity of concern not only to bankers but to all in the business world because the risks of a trading partner not fulfilling his obligations in full on due date can seriously jeopardize the affaires of the other partner. The axle of this study is to have a clearer picture of how banks manage their credit risk. In this light, the study in its first section gives a background to the study and the second part is a detailed literature review on banking and credit risk management tools and assessment models. The third part of this study is on hypothesis testing and use is made of a simple regression model. This leads us to conclude in the last section that banks with good credit risk management policies have a lower loan default rate and relatively higher interest income.

This thesis investigates the pricing of sovereign credit risk in the bond and credit default swap (CDS) market for Turkey. Using daily data, CDS premiums and Emerging Market Bond Index (EMBI) are examined over the period 1, January 2001- 20, June 2012. Firstly, the short-run and long-run determinants of CDS premiums are compared with those of EMBI, employing the Autoregressive Distributed Lag (ARDL) bounds testing approach. Then, the basis, the difference between CDS and EMBI spreads is analyzed seeking the factors which drive the two markets apart. Empirical results reveal that the CDS and bond market price credit events differently and hence, two spreads deviates in the short run. On the other hand, cointegration analysis shows that two prices move together in the long run, as theory predicts. Applying VECM analysis, the findings suggest that CDS spreads move ahead of the EMBI in the terms of price adjustment.

This study develops a dynamic importance sampling method (DIS) for numerical simulations of rare events. The DIS method is flexible, fast, and accurate. The most importance is that it is very easy to implement. It could be applied to any multifactor copula models, which conduct by arbitrary independent random variables. First, the key common factor (KCF) is determined by the maximum value among the coefficients of factor loadings. Second, searching the indicator by the order statistics and applying the truncated sampling techniques, the probability of large losses (PLL) and the expected excess loss above threshold (EELAT) can be estimated precisely. Except for the assumption that the factor loadings of KCF do not exit zero elements, we do not impose any restrictions on the composition of the portfolio. The DIS method developed in this study can therefore be applied to a very wide range of credit risk models. Comparison of the numerical experiment between the method of Glasserman, Kang and Shahabuddin (2008) and the DIS method developed in this study, under the multifactor Gaussian copula model and the high market impact condition (the factor loadings of marketwide factor of 0.8), both variance reduction ratio and efficient ratio of the DIS model are much better than that of Glasserman et al. (2008)¡¦s. And both results approximate when the factor loadings of marketwide factor decreases to the range of 0.5 to 0.25. However, the DIS method is superior to the method of Glasserman et al. (2008) in terms of the practicability. Numerical simulation results demonstrate that the DIS method is not only feasible to the general market conditions, but also particularly to the high market impact condition, especially in credit contagion or market collapse environments. It is also noted that the numerical results indicate that the DIS estimators exit bounded relative error.

In order to get maximum profit, investors start to high attention on risk management after financial crisis in 2008. Therefore, risk management and predict become more and more complex. This paper mainly focuses on two risks, including non-systematic risk and credit risk. After financial crisis, countries pay more attention on credit risk, and now because of Europe debt crisis, investors and governments are also concerned with the messages about credit rating which are published by Credit Rating Agency. Besides credit risk, the firm¡¦s specific risk (i.e. non-systematic risk) is also more important than before. Recent empirical studies find that the stock is not on affected by systematic risk, but also affected by non-systematic risk. According to Kuo and Lu (2005), this thesis uses two models: Moody¡¦s KMV credit model and Markov regime switching model to estimate credit risk and non-systematic risk. The period is from January 2002 to November 2010. Testing samples are data from constituent stocks of the Taiwan 50. The purpose of this paper is researching the relationship between credit risk and non-systematic risk. The empirical results show that there is the positive relationship between non-systematic risk and credit risk. And among different industries, non-systematic risk or credit risk also shows the significant differences. For plastic industry and communications network industry, there is lower credit risk. However, for electronics industry and financial industry, there is higher credit risk. The study also found that even in the same industry, each company will face different risk level.