none

On a basis of the development of credit risk models, this study aims to help managers of financial institutions understand the development of the models so as to develop their own model that will provide objective and reasonable references for banks to decide the lending rate. Furthermore, this study used "Utilization of Long-Term Funding" as the object and studied individual cases of approved loans. By using risk neutral evaluation method to study the difference between the lending rate of loans and the risk-free interest rate of public bonds, to extract implied probabilities of default and required credit risk premiums form actual market data on interest rates. These credit risk premiums of model were used to be compared with the actual markups of banks and the results are as follows: 1.Most values stated in credit risk premium are lower than the actual markups for banks usually consider the burden of other capital costs and the factor of liquidity premium when they set the rating for markup. 2.After a loan is approved, the assumed recovery rate upon application will adjust according to the market value of the collateral. When the recovery rate decreases, the expected loss rate on the loan will gradually increase. Moreover, the higher the assumed recovery rate, the larger the corrected expected loss rate after the loan is approved. 3.In recent years, the non-performing rate for banks in Taiwan has reached a record high. Even though banks face less credit risks when they make long-term loans in "Utilization of Long-Term Funding", the probability of default has increased in recent years, which has contributed to the increase of expected loss rate on the long-term loan. In sum, banks still face credits risks that should not be ignored when they manage long-term loans. Thus, it is necessary to improve loan review to enhance the quality of loans and to increase the efficiency of utilization of long-term fund.

The question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.

This thesis addresses the perceived problems in the utilisation of letters of credit. The jurisdictions treated are: U.K., U.S., the Sudan and Kingdom of Saudi Arabia. In carrying out this task, it reviews and analyses the arguments advanced to resolve these problems and attempts to furnish some solutions to them. It is divided into ten chapters. Chapter One explains the nature of the letter of credit transaction and its efficacy as a financial device, then proceeds to identify the problems which will be examined in the thesis. Chapter Two focuses on the development of letters of credit from ancient times and the factors that contributed to their emergence in their present form. Chapter Three deals with classification of letters of credit. It investigates problem areas surrounding some types of credits particularly the irrevocable credit. Chapter Four examines the documents required under the credit; highlights the legal and technical aspects of these documents; argues and offers suggestions as to disputed issues such as notation on a bill of lading, customary disclaimers and additional cost clauses etc. Chapter Five examines the problems relating to interpretation of the strict compliance rule. It examines the controversy the strict compliance rule has spawned among commentators and offers practical solutions which may minimize the practical difficulties involved. Chapter Six considers the problem of fraud in letters of credit transactions. It identifies the bounds of the fraud exceptions in documentary letters of credit and standby letters of credits, analyses the rationale behind the fraud exception and offers suggestions as to allocation of loss when innocent parties are evenly situated. Chapter Seven deals with problem areas in letter of credit transfer and assignment. It reviews modes of transfer, provides a discussion of the mechanism of transfer, offers an analysis as to the banker's obligation; investigates and challenges the current reservations against credit transferability; examines the fundamental issues involved in assignment of proceeds of the credit and offers an overview of al-hawala <i>i.e.</i> transfer of a debt under Islamic law. Chapter eight deals with the bankers' security over the goods. It illustrates forms of documents of title, the security devices utilised by bankers such as the pledge, the letter of hypothecation and the trust receipt, and examines the position of the banker <i>vis a vis</i> third parties. Complex priority problems are discussed and some solutions are offered to maintain the predominant security interest of the banker against other rival claimants in case of the debtor's insolvency. Chapter Nine focuses on Islamic Law concepts fundamental to understanding why Islamic banks' operations as to documentary credits differ from conventional banks. Islamic law theories of riba <i>i.e.</i> interest and gharar <i>i.e.</i> risk or uncertainty are briefly dealt with. Chapter Ten examines the al-murabaha device which is utilised by Islamic banks to finance documentary credits. The practical issues are reviewed and analysed, namely how Islamic banks deal in foreign exchange transactions, discounting of bills of exchange, confirmations of credits and service charges. It suggests particular areas where cooperation between the two types of banks may be developed.

The expected yield to maturity on a defaultable obligation equals the nominal yield less expected default losses. However, in a mark-to-market world, one doesn't have the luxury of reporting one's performance on the basis of yield to maturity. Total return is calculated for an arbitrary holding period, and must reflect any mark-to-market gains or losses as at the close of the period-gains or losses that can be triggered by the bond's upgrade or downgrade. Thus to estimate expected total return, one must estimate not only expected default losses, but also the impact on capital price of expected ratings transitions. This paper begins with the observation that a bond which is blessed by more favourable transition characteristics is likely to produce a higher total return, and poses the question of how that benefit can be quantified. How much is it worth? To answer the question, I start by specifying a formal bond-pricing model reflective of ratings transitions. I survey various statistical methods and past research efforts to identify the ratings-transition matrix which best parametrises the model, and propose a novel test for selecting between competing matrices. Using this approach, I replicate several important studies of ratings transitions. I also use it to examine new published and unpublished data, testing for (and finding) ratings path-dependency, and otherwise exploring the effect of ratings changes on different bond sectors. I then turn to the question of whether it is possible to estimate bond-specific transition probabilities, and propose a way to do so. I combine these efforts into the specifications for a pricing model capable of answering the question: How much is it worth?

Thesis (B. Ec.(Hons.))--University of Adelaide, 1973. / Includes bibliographical references (p. 65).

Thesis (doctoral)--Universität Göttingen.

Written for the Faculty of Law. Title from title page of PDF (viewed 2010/04/20). Includes bibliographical references.

Thesis (Ph. D.)--Ohio State University, 2004. / Title from first page of PDF file. Document formatted into pages; contains x, 97 p. : ill. Advisor: Lucia Dunn, Department of Economics. Includes bibliographical references (p. 94-97).

Thesis (M. Soc. Sc.)--University of Hong Kong, 1994. / Includes bibliographical references (leaves 107-112).