As a consequence from the last financial crisis that began 2007 in USA, regulatory frameworks are continuously improved in order to limit the banks’ risk exposure. Two of the amendments are Basel III and IFRS 9. Basel III regulates the capital a bank is required to hold while IFRS 9 is an accounting standard for how banks and insurance companies should classify their assets and estimate their future credit losses. Mutually for both Basel III and IFRS 9 is the estimation of future credit losses which include probability of default in the calculations.The objective of this thesis was therefore to develop scoring model that can estimate the probability of default in lending capital to enterprises based on information from financial statements. The aim is that the developed model also can be used in the daily operations to reduce fixed costs by optimizing the processes and increase the profit on each loan issued. The model should estimate probability of default within 500 days from the last known information and be customized for small and medium size enterprises.The model is based on logistic regression and is therefore returning values between 0 and 1. Parameters that the model consists of can either be calculated or retrieved directly from financial statements. The authors have during the development of the model divided the data, consisting of information from enterprises, based on branches. The grouping of data has been performed to create as homogenous sets of data as possible in order to increase the degree of explanation for each model. The final solution will thus consist of several models, one for each set of data. The validation of the models is performed, on a new set of enterprises where it is observed how well the models can discriminate enterprises defined as defaults from non-defaults.The master thesis did result in a number of models that are calibrated on default, non-defaults and models developed on data divided on branches. By using the calibrated models, it is possible to discriminate defaulting from non-defaulting enterprises which has been the objective of this thesis. During the project the importance of dividing data into homogenous groups has been shown in order to better create models that more accurately can identify defaults from non-defaults. / Som en konsekvens av finanskrisen som började 2007 i USA tillkom ytterligare regelverk för att minimera bankers riskexponering. Två av de regelverk som tillkommit är Basel III och IFRS 9. Basel III reglerar kapitaltäckningen för en bank medan IFRS 9 är en standard för hur banker och försäkringsbolag skall klassificera tillgångar samt estimera framtida kreditförluster. Gemensamt för de båda regelverken är estimeringen av kreditförluster som bland annat baseras på risken för fallissemang.Målet med detta examensarbete är därför att utveckla en scoringmodell som kan estimera risken för fallissemang vid utlåning till företag baserat på information från dess årsredovisningar. Modellen kommer även kunna användas i den operativa verksamheten för att reducera fasta kostnaderna genom att effektivisera processer och då öka avkastningen på varje utlånad krona. Modellen kommer att estimera risken för fallissemang inom 500 dagar från senast kända informationen och den kommer att anpassas till svenska små och medelstora företag.Modellen är baserad på logistisk regression och kommer därför att returnera värden mellan 0 och 1 samt bestå av parametrar som antingen kan beräknas eller hämtas direkt ur en årsredovisning. För att öka modellens förklaringsgrad har författarna vid kalibreringen av modellerna delat in datat efter branscher. Uppdelningen har gjorts för att skapa så homogena grupper som möjligt och lösningen kommer därför att bestå av flera olika modeller. Validering av modellerna sker genom att på nytt data testa hur bra företag som definierats som fallissemang kan diskrimineras från företag som inte definieras som fallissemang.Rapporten resulterar i ett antal modeller som är baserade på konkurser, icke konkurser samt modeller baserade på ett data som är uppdelat på branscher. Genom att använda de kalibrerade modellerna så går det att diskriminera konkurser från icke konkurser vilket varit målet med denna rapport. Arbetet har också påvisat vikten av att dela in datat i homogena grupper för att på ett bättre sätt skapa modeller som mer exakt kan urskilja konkurser från icke konkurser.

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In my thesis I have analyzed internal and external scoring model of financial organization. I have prepared comprehensive comparison and evaluation of both internal and external scoring systems. The aim of the thesis was creating a complete assessment of external scoring system with the simplified financial analysis and also with taking into the consideration appropriateness of this offer before approving purchase of external model.

The submitted diploma thesis deals with calculation of capital requirement according to New Basel Capital Accord and calculation of economical capital according to credit model CreditMetrics. The goal of the thesis is to submit hypothesis that level of capital requirement will be higher than economical capital. Analyses were undertaken on the bank loan portfolio made out of 5 corporate and another portfolio, which was gradually extended up to 1000 loans. 5 corporate loans were also examined by effects of correlation of assets and effects of recovery of assets.

The subject of this diploma thesis is managing credit risk in banks, as the most significant risk faced by banks. The aim of this work is to define the basic techniques, tools and methods that are used by banks to manage credit risk. The first part of this work focuses on defining these procedures and describes the entire process of credit risk management, from the definition of credit risk, describing credit strategy and policy, organizational structure, defining the most used credit risk mitigation tools to the regulatory requirements for credit risk management. The second part gives a more detailed view to credit risk measurement and evaluation and possibilities of credit risk hedging. Last part presents credit risk management in practise illustrated by the example of chosen bank.

The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level.

Previous studies seem to agree that increased competition would cause riskier banking behavior. This dissertation shows that when competition intensifies, banks have greater incentives for screening loan applicants, and thus loan quality may improve. In addition, competition fosters banks to rely less on collateral requirements. Hence, banks may be less vulnerable to asset price shocks. The empirical chapter finds evidence of loan quality improvement after removing cross-border entry restrictions in the EU. There is also evidence that banks' behavior across EU countries has converged. / Ph. D.

Yes / In this paper, using China’s risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China’s credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates as well as risk premia and the stock index, and these results are somewhat attributed to this puzzle.

Magistro baigiamajame darbe nagrinėjamas Lietuvos bankinio sektoriaus kredito rizikos valdymas 2008-2011 m. laikotarpiu: teorinėje dalyje pateikiama bendroji kredito rizikos esmė, išskiriami galimi kreditų rizikos valdymo modeliai, metodai ir priemonės, lyginami skirtingų užsienio mokslininkų kredito rizikos valdymo empiriniai tyrimai. Empirinėje dalyje atliekama Lietuvos bankų sektoriaus suteiktų kreditų dinaminė analizė 2008-2011 m., sąryšiu su pagrindiniais kredito ir bankinės veiklos kokybės rodikliais, kreditų palūkanų normomis ir aptariama Lietuvos ūkinė situacija finansinės krizės metu. Konstruktyvioje dalyje pateikiamas galimas kredito rizikos valdymo modelis Lietuvos bankiniame sektoriuje. / In the final thesis of the Master‘s degree there are analyzed the credit risk management in Lithuanian banking sector in year 2008-2011: in the theoretical part there are described the general credit risk definition, highlighted models, approaches and tool for credit risk management, compared the interpretation aspects of credit risk management researches by different scientists. In the empirical part there are represented the dynamics of given credits in year 2008-2011, and its’ relationship with the main measures of the quality of credit portfolio and commercial banks‘ activity. In the last part there is represented the model for credit risk management in Lithuanian banking sector.

The vast majority of the Swedish real estate companies are to some extent financed by debt and are dependent on external capital when expanding their business. Swedish real estate companies have traditionally financed their business through bank loans, but as a result of – among other things – stricter regulations, an increasing share of the Swedish real estate companies seek funding in the capital market, and corporate bonds in particular have emerged as an alternative to bank loans. In all types of lending, whether it is a bank loan or an investor who buys a bond, the lender must assess the credit risk of the company and / or the bond. This is to ensure the company's repayment ability and that the borrower gets sufficient compensation for the risk undertaken. In this thesis, the credit risk assessment process has been evaluated from two different perspectives to explore if there are any differences in the assessment conducted by banks and bond investors. In this thesis, it appears that the differences between the different parties' assessment are relatively small and that both parties evaluate approximately the same parameters and key performance indicators. / De allra flesta fastighetsbolag i Sverige finansierar sig delvis genom externt kapital och är beroende av nya krediter när de vill utöka sin verksamhet. Svenska fastighetsbolag har traditionellt sett finansierat sig via banklån men på grund av bland annat striktare regleringar väljer alltfler fastighetsbolag att söka finansiering på kapitalmarknaden, där framförallt företagsobligationer har växt fram som ett alternativ till bankfinansiering.  I alla typer av kreditgivning, oavsett om det handlar om banklån eller en investerare som köper en obligation, måste kreditgivaren göra en kreditriskbedömning av bolaget och/eller obligationen. Detta för att säkerställa bolagets återbetalningsförmåga och att långivaren får tillräcklig kompensation för den risk denne tar. I det här examensarbetet har kreditriskbedömningsprocessen utvärderats från två olika perspektiv för att se om det går att hitta några skillnader i bedömningen utförd av banker respektive obligationsinvesterare. Resultatet tyder på att skillnaderna mellan de olika parternas bedömning inte är särskilt stora utan båda parter utvärderar ungefär samma parametrar och nyckeltal.