O mercado de crédito de longo prazo, abordado aqui através dos contratos de debênture, vem se fortalecendo no Brasil após o início do Plano Real, onde a estabilização da economia permitiu que suas cláusulas contratuais migrassem para o controle de risco relativo à firma frente a anterior preocupação com o ambiente econômico conturbado, conforme exposto em Silva e Leal (2008). Assim, este trabalho tenta prever a variável Distante to Default (DD) apresentada em Crosbie e Bohn (2003) através da estrutura proposta por Collin-Dufresne e Goldstein (2001). Para o quartil mais líquido da amostra, o erro percentual médio (EPM) para um horizonte de previsão de cinco anos é de 52%, e de 21% quando considerada a previsão perfeita da volatilidade. O EPM mostra-se muito sensível à liquidez das empresas em bolsa. / The long-term credit market, addressed here through debenture contracts, has gained strength in Brazil after the start of the Real Plan, where stabilization of the economy has allowed its contractual covenants migrate to the firm's risk control in spite of the previous troubled economic environment, outlined in Silva e Leal (2008). Then, this work tries to forecast the Distance to Default variable (DD) from Crosbie e Bohn (2003) through the proposed structure by Collin- Dufresne e Goldstein (2001). For the sample's most liquid quartile, the mean percentage error (MPE) for a forecast horizon of five years is 52%, and 21% when considering perfect volatility forecast. The MPE is very sensitive to firm's market liquidity.

The global over-the-counter derivatives market reached a staggering 14.5 trillion US dollars in gross market value at the end of December 2007. Although OTC derivatives are extremely useful and versatile in transferring risks, it appears to be a double-edged sword. For every derivative transaction concluded in the OTC market, there are two parties involved – each of which is exposed to the other defaulting on the agreed terms and conditions of the contract. Counterparty credit risk is defined as the loss that will be incurred in the event that a counterparty fails to honour its financial obligations. This dissertation provides an overview of counterparty credit risk measurement from a theoretical point of view and puts an emphasis on the demonstration of the current solutions used in practice to address this problem. The author applies a bottom up approach to the problem by defining counterparty credit risk exposure on a contract (single-trade) level and expands this definition on a step-by-step basis to incorporate portfolio effects, such as correlation among underlying market variables as well as credit risk mitigation techniques, such as netting and collateral agreements, in measuring counterparty credit risk exposure on a counterparty level. The author also discusses related concepts which impact counterparty credit risk such as wrong-way risk and proposes an enhancement to the framework introduced by Finger (2000) for incorporating wrong-way risk into existing measures of counterparty credit risk exposure. Finger‟s framework is enhanced by the introduction of a structural model approach which can be used in establishing a functional and intuitive relationship between the probability of default of the counterparty and the underlying market variable to the derivative contract under consideration. This approach is also applied to a typical South African situation through the use of Monte Carlo simulation. The topic of counterparty credit risk modelling is a very relevant topic in modern finance, especially since the advent of Basel 2 which this dissertation also touches on in terms of the applications of counterparty credit risk modelling and how this relates to the minimum regulatory capital requirements set by bank regulators. Copyright / Dissertation (MSc)--University of Pretoria, 2009. / Mathematics and Applied Mathematics / unrestricted

In this dissertation we study models for the valuation of portfolios of credit risky securities and collateralised debt obligations. We start with models for single security of the reduced form type and investigate means of extending these to the portfolio level concentrating on default dependence between obligors. The Gaussian copula model has become a market standard and we study how the model deals with dependence between portfolio constituents. We implement the model and confirm analytical formulae for certain risk measures. Simplifying assumptions made eases implementation of this model but causes inconsistencies with observed market prices. Evidence of this is the observed correlation smile, highlighted by the recent global credit crises. This has caused researchers to look to extensions of the model to better fit current market pricing. We study a number of these extensions and compare the credit losses for various tranches to those under the standard model. A number of these extensions are able to replicate observed prices by accounting for some observed feature overlooked by the standard model. Of these the most promising appear to be those having default and recovery rates negatively correlated. Various empirical studies have found this to hold true. Another promising advancement is in the area of stochastic correlation. The main problems with such extensions is that no single one has been adopted as standard while all require more sophisticated numerical implementation than the convenient recursive algorithm available for the standard model. Even if such problems are overcome questions still remain. No current usable model is able to provide simultaneously both a term structure of credit spreads for the portfolio and individual constituents. This prevents the valuation of the next generation of credit products. An answer may well be beyond capabilities of the now familiar copula framework which has served the market for the last decade. / Dissertation (MSc)--University of Pretoria, 2010. / Mathematics and Applied Mathematics / unrestricted

In recent years many works employed the topic of the estimation of the asset value correlation from the portfolio of debtors and their properties. The results vary depending on the methods used or the data sets, on which the model was applied. The Master Thesis describes the methods of estimation of the asset value correlation from 5-year default performance of small and medium-sized enterprise (SME) debtors of Komercni Banka. Each method is firstly described in detail and then applied. Estimations of the asset value correlation are performed in rating and industrial homogeneous group. The conclusion contains a comparison of resulting capital with a former Basel correlation and the capital when our estimations of the asset correlation are used as a parameters. Powered by TCPDF (www.tcpdf.org)

This thesis is focused on the credit risk management with special orientation in the lease companies. Firstly, the basic risk features are defined, the general risk management process is explained and risks which the lease companies are exposed to are classified. The main theoretical part analyses the features of the credit risk important for the credit analysis, i.e. the classic approach to the evaluation of the borrower's creditworthiness. The theoretical part is the basis for the practical part within which the analysis of the credit risk management process in the lease company is performed, including the case study analysis.

Kredito rizikos ir valdymo magistro baigiamojo darbo tema yra aktuali, todėl kad bankai – vieni iš svarbiausių ekonominės veiklos dalyvių, kadangi jie kaupia lėšas priimdami indėlius ir skolina pinigus juridiniams ir fiziniams asmenims. Bankų pajamas užtikrina paskolos, kituose bankuose laikomi indėliai, vertybiniai popieriai ir kitas turtas. Paskolos sudaro apie 60 % bankų turto, todėl pati reikšmingiausia komerciniams bankams yra kreditinė rizika, nes paskolų portfelis paprastai sudaro pačią didžiausią banko aktyvų dalį. Kredito rizika reiškia, kad klientas neįvykdys savo įsipareigojimų bankui. Todėl ir kredito rizikos valdymo aktualumas yra akivaizdus. Deja, Lietuvos mokslinėje literatūroje kreditinei rizikai skiriama santykinai mažai dėmesio. Daugelis autorių aptaria arba visas rizikos rūšis, jų valdymą, tačiau nepakankamai išsamiai, arba didesnį dėmesį skiria kitoms rizikos rūšims, tačiau ne kredito rizikai. Todėl neabejotina tiek šio darbo praktinė nauda, tiek ir naujumas. Šio darbo objektas – kreditinė rizika Lietuvos komerciniuose bankuose. Pagrindinis šio darbo tikslas - išanalizuoti kreditinės rizikos valdymo praktiką, problemas ir pateikti siūlymus toms problemoms spręsti. Darbo hipotezė – kreditinės rizikos valdymas nėra pakankamai išvystytas Lietuvos komerciniuose bankuose. Siekiant keliamo tikslo buvo sprendžiami tokie uždaviniai: apibūdinti kreditinę riziką ir jos rūšis, apibrėžti, kokiomis priemonėmis valdoma rizika ir apžvelgti kredito rizikos valdymo sistemą... [toliau žr. visą tekstą] / The theme of the master’s thesis of credit risk is actuals because banks are one of the most important participants in the economical activities, because they accumulate funds accepting deposits and borrow money to legal and natural people. The income of banks is assured by loans, deposits, kept at the other banks, securities and other assets. Loans form approximately 60 % of the bank assets, therefore credit risk is mostly important for commercial banks, because loans portfolio form the biggest part of the banks actives. Credit risk means that a client will not fulfil his obligations to the bank. Therefore, the actuality of credit risk management is evident. However, relatively low attention is aid at the credit risk in Lithuanian non-fiction literature. Many authors discuss either all the types of risk, their management, however in insufficient detail, o a higher attention is paid at the other types of risk, but not the credit risk. Therefore, this thesis is valuable not only because of its practice, but also by its originality. Therefore, practical use as well as originality of this thesis is obvious. The subject of this thesis is credit risk at Lithuanian commercial banks. The key objective of this thesis is to analyze credit risk management practice, problems and provide with the offers to solve these problems. The hypothesis of this thesis is that credit risk management has not been developed sufficiently at Lithuanian commercial banks. To seek a raised aim the... [to full text]

This diploma thesis -- Credit risk management and business cycle -- is divided in four chapters. The first explains the purpose of bank as the financial intermediate and the main financial risk, which may results from its activities. The second part describes the theory of business cycle from the view of the main economic schools and clears up the problems of price bubbles on assets markets. The third part analyses the models and methods of credit risk management in the financial institution and the roles of regulatory authorities including the influence of Basel II. The last part concerns about credit risk development in bank sector in the Czech Republic including the ČNB macroeconomic credit risk model. The main focus is how the changes in business cycle development influence the credit risk.

This thesis is focused on the credit risk management in the leasing company. Firstly, the attention is paid to leasing market in the Czech Republic and leasing by itself. Afterwards are described risks which leasing companies during their business activities are exposed. Emphasis is placed mainly on the credit risk management. Major part of the thesis deals with ex-ante and ex-post credit risk analysis in leasing business. At first is analyzed approval of the business transaction. Below the process of administration of debtor's statement in the leasing company is analyzed. Final case study performs the practical application of methods and procedures in the credit risk management.

Kiekvieno banko viena iš pagrindinių veiklos sričių – paskolų išdavimas. Su kiekviena išduodama paskola bankas prisiima vieną svarbiausių savo veikloje rizikų – kredito riziką, kurios nuostoliai bankui gali būti labai dideli. To geriausias įrodymas – 2007 metais JAV ištikusi kredito rizikos krizė, nusidriekusi per visą pasaulį ir atnešusi milžiniškus nuostolius. Todėl kredito rizikos tikslus įvertinimas ir tinkamas valdymas yra ypatingai svarbus tiek komerciniams bankams, tiek bankus prižiūrinčioms institucijoms, kurios privalo užtikrinti stabilų finansinio sektoriaus vystymąsi. Tinkamų kredito rizikos vertinimo modelių naudojimas bankuose leidžia sumažinti kredito riziką, padidinti banko veiklos stabilumą ir patikimumą. Todėl yra aktualu išanalizuoti kredito rizikos vertinimo ir reitingavimo metodus, ir atlikus atitinkamas korekcijas pritaikyti juos Lietuvos įmonių kredito rizikai vertinti. Darbo objektas – kredito rizikos vertinimo ir kredito reitingų nustatymo modeliai. Mokslinė problema: nors kredito rizikos vertinimo ir kredito reitingų nustatymo modeliai ir metodai yra plačiai išanalizuoti ir taikomi praktikoje, tačiau visi jie yra labiau pritaikyti stambioms užsienio rinkoms, kurios reikšmingai skiriasi nuo Lietuvos rinkos, todėl egzistuoja modelio, pritaikyto konkrečiai Lietuvos rinkai, problema. Darbo tikslas – įmonių kredito rizikos vertinimo modelio, pritaikyto Lietuvos rinkai, suformulavimas. Darbą sudaro trys skyriai: teorinė, analitinė ir rezultatų. Teorinėje... [toliau žr. visą tekstą] / Issuing credits is one of the main bank’s activities. Each bank takes a credit risk by giving the credits. Credit risk is the most important risk of all and requires exceptional consideration, because potential losses caused by credit risk can be huge. If correct and accurate credit risk evaluation models are used to evaluate the credit risk, it helps to reduce the credit risk and increase the stability and reliability of the bank. That is why it is so important and topical to perform the analysis of the credit risk evaluation and credit ratings models and to make corrections for adoption these models for credit risk evaluation of Lithuanian companies. The object of this working paper – credit risk evaluation and assigning credit ratings models. The scientific problem: although credit risk evaluation and credit ratings methods and models are broadly analyzed and applied in practice, but these models are more designed for large foreign markets, which significantly differs from Lithuania’s market and because of that the problem of an adopted credit risk evaluation model for Lithuanian companies exists. The purpose of this working paper – to formulate the credit risk evaluation model adopted for Lithuanian companies. This working paper consists of three chapters: theoretical, analytical and results. In theoretical chapter risk, risk kinds, risk measurement models allowing to measure creditworthiness and assigning credit ratings models are analyzed. In analytical chapter the... [to full text]

The Basel Committee on Banking Supervision (BCBS) designed the Internal Ratings Based (IRB) approach, which is based on a single risk factor model. This IRB approach was de-signed to determine banks’ regulatory capital for credit risk. The asymptotic single risk factor (ASRF) model they used makes use of prescribed asset correlations, which banks must use for their credit risk regulatory capital, in order to abide by the BCBS’s rules. Banks need to abide by these rules to reach an international standard of banking that promotes the health of the specific bank. To evaluate whether these correlations are as conservative as the BCBS intended, i.e. not too onerous or too lenient, empirical asset correlations embedded in gross loss data, spanning different economic milieus, were backed out of the regulatory credit risk model. A technique to extract these asset correlations from a Vasicek distribution of empirical loan losses was proposed and tested in international markets. This technique was used to extract the empirical asset correlation, and then compare the prescribed correlations for developed (US) and developing (South Africa) economies over the total time period, as well as a rolling time period. For the first analysis, the BCBS’s asset correlation was conservative when com-pared to South Africa and the US for all loan types. Comparing the empirical asset correlation over a seven-year rolling time period for South Africa and the BCBS, the specified asset cor-relation was found to be as conservative as the BCBS intended. Comparing the US empirical asset correlation for the same rolling period to that of the BCBS, it was found that for all loans, the BCBS was conservative, up until 2012. In 2012 the empirical asset correlation sur-passed that of the BCBS, and thus the BCBS was not as conservative as they had originally intended. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2015