• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 154
  • 75
  • 50
  • 39
  • 32
  • 28
  • 16
  • 15
  • 10
  • 8
  • 7
  • 7
  • 7
  • 5
  • 5
  • Tagged with
  • 474
  • 474
  • 96
  • 75
  • 74
  • 72
  • 68
  • 62
  • 60
  • 48
  • 47
  • 47
  • 45
  • 40
  • 38
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
181

Ekonometrický odhad očekávané úvěrové ztráty při selhání / Econometric Estimation of Loss Given Default

Jacina, Viktor January 2014 (has links)
One of the most mentioned credit risk parameters in banking sector is loss given default (LGD). The regulatory framework allows to use own LGD estimation procedures after approval. The classification and regression trees are appropriate and flexible in this context and they offer some advantages comparing to the traditional approaches such as linear regression model. This work includes a theoretical background on tree based methods. In the last section, loss given default from debit accounts is estimated using the random forests which show the best performance in this case.
182

Řízení kreditního rizika z pohledu banky a družstevní záložny / Credit risk management from the perspective of banks and credit unions

Jeřábek, Michal January 2013 (has links)
This thesis deals with the comparison of banks and credit unions with a focus on the comparison in terms of access to credit risk management. Both institutions are analyzed on the basis of aggregated data within the Czech financial market, capital adequacy, liquidity, asset quality of the loan portfolio and other key indicators of solvency and financial stability. In the final part of the thesis, there are analyzed the causes of failure of these credit unions: "Metropolitní spořitelní družstvo", "UNIBON -- spořitelní a úvěrní družstvo" and "WPB Capital, spořitelní družstvo".
183

Risk management in microfinance institutions / Risk management in microfinance institutions

Batin, Artyom January 2014 (has links)
In the following paper I have tried to find the correlation between type of ownership and effective risk management in the operations of microfinance institutions in India. The results found are consistent with the current findings of how the type of ownership does not impact both the financial or social performance of MFIs. Dataset of 72 MFIs was acquired from the Microfinance Information Exchange on MFIs and evaluated using an OLS regression. The results show that the type of ownership insignificantly impacts both the credit and liquidity risk ratios of MFIs. It is possible that the impact of ownership type is more evident in other aspects of operations. In the future, a study on type of ownership and exposure to strategic and market risks could be a way forward.
184

Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen.

Byström, Ulrika, Lundkvist, Diana January 2017 (has links)
Den ökade digitaliseringen och framfarten av innovativa lösningar har tagit allt större plats i dagens samhälle. Dagens infrastruktur bygger på ett centraliserat system som är format för en värld innan globaliseringen. Detta innebär att makten är centraliserat till ett fåtal aktörer som politiker, myndigheter och institutioner. Denna konstruktion är ineffektiv och kostsam samtidigt som det centraliserade systemet är sårbart mot cyberattacker och bedrägerier. Genom att anamma digitaliseringen öppnas nya möjligheter upp för att hantera de globala samhällsutmaningarna. Digitaliseringen har lett till framväxten av innovativa tjänster där såväl etablerade företag som nya teknikföretag utforskar sätt att effektivisera, standardisera och säkra upp processer. Blockkedjan är en teknik som har potential att rubba ett flertal industrier genom att göra processer mer effektiva, transparent, demokratiska och säkra. Blockkedjeteknologin har en mängd olika appliceringsområden, men i korthet kan den beskrivas som en teknik som registrerar och lagrar information på ett distribuerat nätverk. Teknologins huvudsakliga syfte är att undanröja tillförlitliga tredje parter genom att säkert distribuera information till nätverkets användare. På så sätt bidrar teknologin till en ökad transparens, minskad asymmetrisk information och därmed ökad säkerhet. Detta öppnar upp frågan: Vilken effekt kommer blockkedjan att ha på företags risk? Syftet med denna studie är att undersöka vilken effekt en implementering av blockkedjan har på ett företags risk inom revisions-, finans- och fastighetsbranschen. I denna studie har tre centrala risker valts ut baserat på teknologins användningsområden: operativ-, kredit- och marknadsrisk. Studiens frågeställning besvaras genom en kvalitativ undersökning där ett brett spektra av respondenter i intervjuer har bidragit med kunskap och erfarenhet. Resultatet från studien påvisar många intressanta aspekter om hur risken kan komma att påverkas från användandet av teknologin. Samtidigt som vi ser stor potential för blockkedjan att reducera ett flertal oönskade risker, finns det en hel del hinder som tekniken ställs inför. Med få befintliga tillämpningar av teknologin är det svårt att förutse exakta konsekvenser, det mesta blir således hypotetiskt. Sammantaget ser vi blockkedjan som en revolutionerande innovation med potential att förändra marknaden. Huruvida teknologins framfart kommer att arta sig är dock beroende av en anpassning i lagstiftningar och regelverk. Utmaningen för beslutsfattarna är således att väga den ökade samhällsnyttan mot de risker som tekniken kan medföra. I detta resonemang ser vi att denna studie kan bidra till en ökad kunskap om blockkedjans riskrelaterade styrkor och hot.
185

Řízení kreditních rizik při poskytování úvěrů / Credit risk management in bank financing

Hort, David January 2013 (has links)
The main objective of this diploma thesis is to simulate the regular decision-making process that a credit analyst goes through when assigning a credit limit for an operating and investment (acquisition) loan for a selected company. The introductory chapter is focused on credit risk category definition and description of main credit risk quantification and mitigation approaches both on individual as well as portfolio basis. The second, practically oriented part includes both financial and strategic analysis of selected business entity, as well as free cash flow prediction followed up by business plan development, all of these carried out in the form of basic analytical tools necessary for credit limit assignments to both short term operating and long term investment (acquisition) loans. In the final part, the selected company is being evaluated using DCF Entity business valuation framework as well as being subject to comparable companies and transactions general valuation approach. Finally, the credit limits for an operating and investment (acquisition) loans are being determined based on the analytical tools drafted within the previous chapters of this thesis.
186

Bayesian estimation of Shannon entropy for bivariate beta priors

Bodvin, Joanna Sylvia Liesbeth 10 July 2010 (has links)
Having just survived what is arguably the worst financial crisis in time, it is expected that the focus on regulatory capital held by financial institutions such as banks will increase significantly over the next few years. The probability of default is an important determinant of the amount of regulatory capital to be held, and the accurate calibration of this measure is vital. The purpose of this study is to propose the use of the Shannon entropy when determining the parameters of the prior bivariate beta distribution as part of a Bayesian calibration methodology. Various bivariate beta distributions will be considered as priors to the multinomial distribution associated with rating categories, and the appropriateness of these bivariate beta distributions will be tested on default data. The formulae derived for the Bayesian estimation of Shannon entropy will be used to measure the certainty obtained when selecting the prior parameters. / Dissertation (MSc)--University of Pretoria, 2010. / Statistics / unrestricted
187

Analysis of establishment of credit rating a Case study / Análise do estabelecimento de limite de crédito - um estudo de caso

José Antonio da Silva 06 April 2002 (has links)
This assignment shows the importance in deference to credit ceiling for legal entities in bank establishment. Several stages from the process were analyzed. Starting from the files of the requesting company, analysis of its financial economical capacity through of patrimony structure rates, net rates, economic rates, average term indicators, necessity of working capital, vertical, horizontal analysis and a standardrate, an assessment of the client visited and finally, the establishment of credit ceiling respective, according to the credit policy of a determined financial institution. / Este trabalho apresenta a importância do deferimento de limite de crédito a pessoas jurídicas, em estabelecimentos bancários. Foram analisadas as diversas etapas do processo, iniciando pela confecção do cadastro da empresa solicitante, análise da sua capacidade econômico-financeira, feita através dos índices de estrutura patrimonial, índices de liquidez, índices de rentabilidade, indicadores de prazos médios, necessidade de capital de giro, análise vertical, horizontal e índice-padrão; avaliação da visita efetuada ao cliente e, por fim, o estabelecimento do respectivo limite de crédito, de acordo com os critérios de determinada instituição financeira.
188

Backtesting of simulated method for Counterparty Credit Risk

Lundström, Love, Öhman, Oscar January 2020 (has links)
After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. In simple terms CCR is a mix of Market and Credit risk which defines the risk that your counter party will go into bankruptcy. CCR involves the risk factors used in market risk since all of the derivatives are based on underlying assets such as interest rate and currencies. The thesis will focus on how one can backtest individual risk factors driving the value of OTC derivatives. We will present different Monte Carlo simulation techniques that are being used to simulate and represent all possible future outcomes for the risk factors. In order to better understand the performance of a chosen model and how to adjust the calibration window for the ingoing parameters, two different approaches are presented,Quantitative Backtesting and Statistical Backtesting. As an extension to this, a portfolio of interest rate Swaps are backtested whose value are driven by the evolution of the underlying risk factors. The backtesting ofthe portfolio is done with netting. The time horizon for the backtesting procedureis 2010-2020 giving the user up to 261 independent observations with a forecast length of 14 days. Both of the backtesting methods provide the practitioner with a graphical results guiding the user to choose an appropriate model and calibration method for simulating the risk factors. We found that a combination of the two approaches provides the best result. Hence, no backtesting method is superior the other. Instead they complement each other and should be used simultaneously. Using the two backtesting methods one can find a model that perfectly fit the underlying distribution of risk factors, theoretically. However, one should be careful since there will always be uncertainty about the future and there is no guarantee that tomorrow will follow historical evolution exactly.
189

Modely kreditního rizika a jejich vztah k ekonomickému cyklu / Credit Risk Models and Their Relationship with Economic Cycle

Jakubík, Petr January 2006 (has links)
The significance of credit risk models has increased with the introduction of new Basel accord known as Basel II. The aim of this study is default rate modeling. This thesis follows the two possible approaches of a macro credit risk modeling. First, empirical models are investigated. Second, a latent factor model based on Merton's idea is introduced. Both of these models are derived from individual default probability models. We employed data over the time period from 1988 to 2003 of the Finnish economy in the first part of this thesis. Time series of bankruptcy and firm's numbers were used. Aggregate data for whole economy as well as industry specific data were available. First, linear vector autoregressive models was used in case of dynamic empirical model. We examined how significant macroeconomic indicators determined the default rate in the whole economy and in the industry specific sector. However these models cannot provide microeconomic foundation as latent factor models. We employed a one- factor model in our estimation although, multi-factor models were also considered. A one-factor model was estimated using disaggregated industrial data. This estimation can help understand relation between credit risk and macroeconomic indicators. Obtained results were used in the second part of this...
190

Plan de negocio para crear una central de riesgo crediticio

Quiber Valdeyglesias, Carmen, Quispe Salazar, Maria Elizabeth, Chambi Canahuire, Jonny Ronald 31 December 2011 (has links)
El objetivo de la tesis es demostrar que existe una excelente oportunidad de negocio para la creación de una Central de Riesgo cuyo principal diferencial es generar información crediticia inteligente para que las entidades de microfinanzas puedan tomar mejores decisiones y detectar oportunidades de negocio. Definiendo al sector de las microfinanzas como el rubro de créditos otorgados a las micro y pequeñas empresas. El tipo de crédito destinado a este sector ha desarrollado un notable crecimiento en la última década en el cual el Perú es líder mundial. Actualmente las instituciones financieras que cubren este gran segmento son clasificadas por la Superintendencia de Banca y Seguros en: Cajas Municipales, Cajas Rurales y Edpymes; sin embargo, hay instituciones como los bancos y financieras que también se ocupan de este segmento. Mi Banco es la institución líder de este tipo de mercado con un 18% de participación del total de desembolsos, seguido de instituciones financieras y cajas municipales como CrediScotia, Caja Municipal de Piura y Sullana. Cada una de las instituciones de microfinanzas utiliza la información de las centrales de riesgo para sus procesos de gestión. En el proceso de colocaciones o captación de nuevos clientes las entidades requieren información del riesgo crediticio de los prospectos, los datos de contacto, la deuda acumulada así como su capacidad de pago. Para la gestión de la cartera es necesario tener la información de manera ordenada con alertas que indican a los ejecutivos de microfinanzas el estado del su cartera en sus principales indicadores de saldo deudor, mora y nuevos clientes. Finalmente, para completar el círculo de la gestión del crédito las entidades desean información de las centrales de riesgo para realizar las labores de cobranza. Pág. 5 La investigación de mercado demuestra que existe un amplio mercado potencial para el ingreso de una nueva central de riesgos. El estudio indica que más del 90% de los ejecutivos de microfinanzas utilizan la información de las centrales de riesgo para sus labores de gestión. Los productos y servicios que ofrecen las actuales centrales de riesgo se basan en la recopilación y centralización de la información de diversas fuentes, en especial del reporte crediticio consolidado (RCC) que entrega la SBS. Luego, se distribuye a las instituciones de microfinanzas, que no poseen este tipo de información o no están en capacidad de administrarla. Por tanto el 95% de los productos y servicios que ofrecen las actuales centrales de riesgo tienen poco valor analítico y solo un 5% de ellos son productos con mayor nivel de análisis e inteligencia. Los atributos que los ejecutivos le dan mayor valor son la confiabilidad de la información, tiempo de respuesta e información actualizada. Utilizando la metodología de océanos azules para la creación de productos innovadores se plantea incrementar, crear, reducir y eliminar atributos que el mercado de las centrales de riesgo ofrece actualmente. Se elimina el servicio de reporte crediticio individual, característico del mercado. Se incrementa un mayor nivel a atributos como la rapidez en el tiempo de entrega, la confiabilidad de la información, mejores herramientas para un reporte crediticio que ayude a gestionar la cartera, mayor utilización de herramientas de Business Intelligence y se crea el atributo de modelos analíticos con un mayor precio del promedio de mercado. La organización necesaria para sostener el modelo tiene como misión brindar información crediticia inteligente, para mejorar la toma decisiones y la generación de oportunidades de negocio en las instituciones Micro financieras, apoyándonos en sofisticadas herramientas de Inteligencia de Negocios. Por tanto la visión es contribuir al desarrollo del sistema financiero peruano dotando de inteligencia en la gestión del crédito. Pág. 6 Se propone un plan de marketing bastante agresivo con la claridad de ser participes de un mercado industrial. Empresa a empresa. Por tanto se propone posicionar a la empresa como la única central de riesgos en el Perú que suministra información crediticia inteligente para una mejor toma de decisiones. Para esto se utiliza diversos canales para la comunicación. Posicionamiento Web, Prensa Escrita, publicidad electrónica y Revistas especializadas de acuerdo a la información de estudios de mercado referente a la actitud de los ejecutivos hacia los medios de comunicación. Entendiendo que para el proceso de toma de decisiones de compra de las instituciones financieras atraviesan por diversas áreas de la organización. La estructura de costos de la empresa indica que se alcanza el punto de equilibrio con un ingreso de 212,334 nuevos soles. Finalmente se demuestra que con una inversión cercana al millón de soles y un capital de trabajo de 200 mil soles para los primeros meses de operación. La empresa presenta un Valor Presente Neto de más de 800 mil nuevos soles descontando en un flujo de caja de 5 años. Con una tasa interna de retorno igual 31% y el costo ponderado promedio del capital igual a 15.42%. Se afirma que el proyecto es altamente rentable. / Trabajo de investigación

Page generated in 0.0529 seconds