En el Perú tenemos diversas maneras de analizar y controlar el otorgamiento del crédito, cada tipo de crédito presenta una regulación distinta. En el presente proyecto de investigación nos enfocaremos en buscar el mejor método que permita controlar la cartera vencida de una empresa comercial. En la actualidad existen diversos parámetros como en la que brinda la Superintendencia de Banca Seguros y AFP, cálculo de la Pérdida Esperada según la normativa de Basilea II y una tercera propuesta que es el cómo se decide en un comité autónomo de Créditos. Para los tres parámetros se analiza el proceso de Provisiones, las provisiones son recursos que usan las empresas como prevención para proteger sus activos, esta estrategia ayuda a la empresa en el control de su cartera crediticia y mitigar el riesgo crediticio para la toma de decisiones e implantar nuevas políticas de control y seguimiento de la misma. Por último, revisaremos el impacto en su Estado de Resultado a fin de analizar el mejor método que una empresa Comercial podría adoptar afectando en el menos posible su Utilidad Neta. Para esto analizaremos una empresa comercial que vende productos de consumo a nivel nacional y se usará una data de cinco años (2014-2018). / In Peru we have different ways of analyzing and controlling the granting of credit, each type of credit has a different regulation. In this research project we will focus on finding the best method to control the overdue portfolio of a commercial company. At present there are several parameters such as the one provided by the Superintendence of Insurance Banking and AFP, calculation of the Expected Loss according to Basel II regulations and a third proposal which is how to decide in an autonomous Credit Committee. For the three parameters, the Provisions process is analyzed, the provisions are resources that companies use as prevention to protect their assets, this strategy helps the company to control its credit portfolio and mitigate credit risk for decision making and implement new policies to control and monitor it. Finally, we will review the impact on its Income Statement in order to analyze the best method that a Commercial company could adopt affecting as little as possible its Net Profit. For this purpose, we will analyze a commercial company that sells consumer products nationwide and will use a five-year (2014-2018) data. / Tesis

In this dissertation, I consider a range of topics in bankruptcy, credit risk and asset pricing. The first chapter proposes a structural-equilibrium model to examine some economic implications arising from voluntary filing of Chapter 11. The results suggest that conflict of interests (between debtors and creditors) arising from the voluntary filing option causes countercyclical losses in firm value. The base calibration shows that these losses amount to approximately 5% of the ex-ante firm value and are twice those produced by a model without incorporating the business cycles. Furthermore, besides countercyclical liquidation costs as in Chen (2010) and Bhamra, Kuehn and Strebulaev (2010), countercyclical pre-liquidation distress costs and the conflict of interests help to generate reasonable credit spreads, levered equity premium and leverage ratios. The framework nests several important models and prices the firm's contingent claims in closed-form. The second chapter proposes a structural credit risk model with stochastic asset volatility for explaining the credit spread puzzle. The base calibration indicates that the model helps explain the credit spread puzzle with a reasonable volatility risk premium. The model fits well to the dynamics of CDS spreads and equity volatility in the data. The third chapter develops a consumption-based learning model to study the interactions among aggregate liquidity, asset prices and macroeconomic variables in the economy. The model generates reasonable risk-free rates, equity premium, real yield curve, and asset prices in equity and bond markets. The base calibration implies a long-term yield spread of around 185 basis points and a liquidity premium of around 55 basis points for an average firm in the economy. The calibrated yield spread and liquidity premium are consistent with the empirical estimates.

This thesis is composed of three chapters. The first two chapters provides novel approaches for modeling and estimating the dependence structure for a large portfolio of assets using rating data. In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure. The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns.

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Issuing cash cards brings banks a large amount of money from interest and fees. Because of the reason, many banks that refused to join the competition in the beginning changed their minds and offer the similar product to compete with each other. In such intensified competition environment, in order to earn customers¡¦ attention and grab the market shares, banks simply loosen the approved criteria, increase the approved speed, and lower the interest rates. However, if banks take these actions without thinking carefully or planning cautiously, it is very easy to have problems in the risk management. This research try to from the organization staffs¡¦ point of view to discuss what kinds of policies will affect their risk management perception and if there is any relationship between perception and achievement. Besides, this research also tries to understand where risk management should put great emphasis and what kinds of risks banks should pay attention when operating the business of cash cards This research assumes different card approved time, interest rates, credit limit update time, and credit evaluation systems will affect cash cards risk management perception. And the results find that higher interest rates and credit evaluation systems designed by foreign have significant effect for cash cards risk management perception. Besides, procedures planning and customers choosing will also affect the perception. All in all, banks with better risk management perception have better performance in the market shares. As for the risk sources, the main risks come from customers choosing. Therefore, banks should have developed credit risk measure systems, or in the future banks will suffer because of these problems.

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In recent years, the government gradually opens the new bank establishment, causes the financial organ to enter another competition the time. However because the petroleum crisis causes the inflation, the original material rise, the interest rate undulation to be frequent, the industrial field and the finance service sector's control relaxes or relieves the limiting condition, causes many investments services multiplex, the negotiable securities, the liberalization and the internationalization. Furthermore, because under the financial service multiplication transformation, its service area separates day by day fuzzily, the financial organ should truly understand the bank storm danger spot, establishes the good risk management system, conforms to principle of the organization safe steady transport business. The new Basel capital accord reached an agreement already is regarded as one of international finance overseeing standards; In its agreement regarding the credit risk credit appraisal, the final goal is expected the silver behavior establishment innate internal credit comments and so on the system (IRB) reflects bank itself the management essence. The computation credit risk standard method and the interior comment and so on the law may say is the important angle in new Basel capital accord , the interior to comment and so on the law is according to 1988 the old version reached an agreement made the revision. This research also aims at in the new old version and new edition the credit risk in the risk weights, carries out the standard, various countries' implementation present situation, and makes the share questionnaire survey to understand our country finance industry and the enterprise regarding the new edition procedure, do again with Europe and America alternately compares. The expectation penetrates these comparative analyses, can discover difference and the improvement revises the place, provides our country financial organ and the proper authorities, faces up to the risk management transport business of regarding the organization importance, truly achieved so-called and international connects rails the goal.

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