Thesis (M.S.) -- Worcester Polytechnic Institute. / Keywords: Credit risk; Credit default swaps. Includes bibliographical references (leaf 32).

Thesis (Ph.D.)--University of Texas at Arlington, 2009.

The Saudi Government’s 2030 Vision directs local banks to increase and improve credit for the Small and Medium Enterprises (SMEs) of the economy (Jadwa, 2017). Banks are, however, still finding it difficult to provide credit for small businesses that meet Basel’s capital requirements. Most of the current credit-risk models only apply to large corporations with little constructed for SMEs applications (Altman and Sabato, 2007). This study fills this gap by focusing on the Saudi SMEs perspective. My empirical work constructs a bankruptcy prediction model based on logistic regressions that cover 14,727 firm-year observations for an 11-year period between 2001 and 2011. I use the first eight years data (2001-2008) to build the model and use it to predict the last three years (2009-2011) of the sample, i.e. conducting an out-of-sample test. This approach yields a highly accurate model with great prediction power, though the results are partially influenced by the external economic and geopolitical volatilities that took place during the period of 2009-2010 (the world financial crisis). To avoid making predictions in such a volatile period, I rebuild the model based on 2003-2010 data, and use it to predict the default events for 2011. The new model is highly consistent and accurate. My model suggests that, from an academic perspective, some key quantitative variables, such as gross profit margin, days inventory, revenues, days payable and age of the entity, have a significant power in predicting the default probability of an entity. I further price the risks of the SMEs by using a credit-risk pricing model similar to Bauer and Agarwal (2014), which enables us to determine the risk-return tradeoffs on Saudi’s SMEs.

>Magister Scientiae - MSc / The first two chapters give the background, history and overview of the dissertation, together with the necessary mathematical preliminaries. Thereafter, the next four chapters deal with credit risk and credit derivatives.The final part of the dissertation is devoted to the Basel II bank regulatory framework and the mathematical modeling of asset allocation in bank management, pertaining to credit risk.Credit risk models can be categorized into two groups known as structural models and reduced form models. These models are used in pricing and hedging credit risk. In this thesis we review a variety of credit risk instruments described by models of the said types. One of the strategies utilized by companies to mitigate credit risk is by using credit derivatives.In this thesis, five main types of risk derivatives have been considered: credit swaps, credit linked notes, credit spreads, total return swaps and collaterized debt obligations. Valuation models for the first three derivatives that are mentioned above, are also presented in this dissertation.The material presented include some of the most recent developments in the literature. Our methods range from single-period modeling to application of stochastic optimal control theory. We expand on the material presented from the literature by way of simplifying or clarifying proofs, and by adding illustrative examples in the form of calculations, tables and simulations.Also, the entire Chapter 6 is a new original contribution to the existing literature on mathematical modeling of credit risk. Key words: credit risk; default risk; structural approach; reduced form approach; incomplete information approach; investment strategy; Basel II regulatory framework

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.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The current view is of magnifying of operations of credit destined to physical persons. This growing justifies by the contract of financings and loans with larger terms of paying, increasing of income and job. Being thus, in the same way as if it expands the search for credit in the financial institutions, it occurs the increasing of the index of insolvency of these operations. With this, it appears the necessity of an efficient management and control of risk making that these institutions try to perfect the quantitative techniques used in its process of analyze of concession of credit and administration of risk. Thus, the objective of this research was to propose a model of risk of credit for to esteem the probability of insolvency in the segment of physical persons in a Credit Cooperative, located in Pelotas/RS. It was identified too the profile of the cooperated from information registered in cadastre that themselves relate to the institution, trying by means of them to verify what are the variables able to explain the suggested model of risk. It was developed a study of case, based on the period of December, 2010 and it was used for analyzing data the multivaried statistic technique of multiple logistic regression. It was obtained a sample of 400 cooperated and it was tested 29 co-varied of the respective bank of data of the Unicred Automation System (UAS). In this study, the variable dependent corresponds to the situation or no of the insolvency of the cooperated in the operations of credit. The results gotten from the adjusted model indicate that only two predatory variables were statistically significant (p<0,05) for esteeming the probability of the insolvency , that are: profession dentist (OR = 7,147) and if it has the monthly income over 10 thousand until 20 thousand Reals (OR = 4,339). / O panorama atual é de ampliação das operações de crédito destinadas às pessoas físicas. Este crescimento justifica-se pela contratação de financiamentos e empréstimos com maiores prazos de pagamentos, aumento da renda e de emprego. Sendo assim, da mesma forma como se expande a procura pelo crédito nas instituições financeiras, ocorre o aumento dos índices de inadimplência destas operações. Com isso, surge a necessidade de um eficaz gerenciamento e controle do risco, fazendo com que estas instituições busquem aperfeiçoar as técnicas quantitativas utilizadas em seu processo de análise de concessão de crédito e administração do risco. Assim, o objetivo desta investigação foi propor um modelo de risco de inadimplência para estimar se um cooperado pessoa física será inadimplente ou não em uma operação de crédito junto a uma Cooperativa de Crédito Mútuo, situada em Pelotas/RS. Também, identificou-se o perfil do cooperado, a partir das informações cadastrais que os mesmos informam à instituição, buscando, por meio dessas, verificar quais as variáveis capazes de explicar o modelo de risco sugerido. Desenvolveu-se um estudo de caso, tendo como base o período de dezembro de 2010 e, utilizou-se para análise dos dados a técnica estatística multivariada de regressão logística múltipla. Obteve-se uma amostra de 400 cooperados e foram testadas 29 covariáveis do respectivo banco de dados do Sistema de Automação Unicred (SAU). Neste estudo, a variável dependente corresponde à situação ou não da inadimplência dos cooperados nas operações de crédito. Os resultados obtidos no modelo ajustado indicam que somente duas variáveis preditoras foram estatisticamente significativas (p<0,05) para estimar a probabilidade da inadimplência, que são: profissão dentista (OR = 7,147) e se possui a renda mensal acima de 10 mil até 20 mil reais (OR = 4,339).

Le financement de projet est toujours présenté comme une technique financière permettant de réaliser des ouvrages de grande envergure. Il en résulte qu'il est une solution appropriée pour les projets qui demandent des fonds considérables pour sa réalisation et qui peuvent être externalisés sans que le poids de l’endettement pèse sur le bilan du promoteur du projet. Il peut être défini comme l’opération qui se caractérise par la mise à disposition d’une entité intermédiaire, dite entité de projet ad hoc, des fonds nécessaires pour la réalisation d’un projet spécifique où les bailleurs de fonds acceptent de limiter, en tout ou en partie, leurs recours au titre du remboursement de leurs prêts, sur les revenus engendrés par l’exploitation du projet ainsi que sur les autres actifs de celui-ci. Ce type de financement révèle l’existence d’un ensemble contractuel adéquat permettant, en même temps, de maîtriser les risques du projet et impliquant un régime qui lui est propre. / Project Finance is always presented as a financial technique which allows to carry out works of great scale. It is a suitable solution for projects which require considerable funds in order to be accomplished and which can be outsourced avoiding the weight of the debt weighing on the balance sheet of the sponsor of the project. It can be defined as an operation in which there is a provision of the required funds for the realization of a specific project by an intermediate entity, known as the “ad hoc project entity”. In such operation the lenders agree to limit, totally or partly, the reimbursement of their loans to the incomes generated by the exploitationof the project as well as to the other assets of such project. This kind offinancing reveals the existence of an adequate “contractual unit” which allows, at the same time, to control the risks of the project and which implies its own legal regime.

The paper is concerned with counterparty credit risk management for credit default swaps in the presence of default contagion. In particular, we study the impact of default contagion on credit value adjustments such as the BCCVA (Bilateral Collateralized Credit Value Adjustment) of Brigo et al. 2012 and on the performance of various collateralization strategies. We use the incomplete-information model of Frey and Schmidt (2012) as vehicle for our analysis. We find that taking contagion effects into account is important for the effectiveness of the strategy and we derive refined collateralization strategies to account for contagion effects. (authors' abstract) / Series: Research Report Series / Department of Statistics and Mathematics

Submitted by Cyntia Yamada (cyntia.yyamada@gmail.com) on 2018-07-04T23:13:12Z No. of bitstreams: 1 TA - Cyntia Yamada_Ajustado_pos defesa.pdf: 922937 bytes, checksum: 7a7ba1679fce4e6dbe19ec019b91ad51 (MD5) / Approved for entry into archive by Simone de Andrade Lopes Pires (simone.lopes@fgv.br) on 2018-07-04T23:27:52Z (GMT) No. of bitstreams: 1 TA - Cyntia Yamada_Ajustado_pos defesa.pdf: 922937 bytes, checksum: 7a7ba1679fce4e6dbe19ec019b91ad51 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-07-05T12:56:38Z (GMT) No. of bitstreams: 1 TA - Cyntia Yamada_Ajustado_pos defesa.pdf: 922937 bytes, checksum: 7a7ba1679fce4e6dbe19ec019b91ad51 (MD5) / Made available in DSpace on 2018-07-05T12:56:38Z (GMT). No. of bitstreams: 1 TA - Cyntia Yamada_Ajustado_pos defesa.pdf: 922937 bytes, checksum: 7a7ba1679fce4e6dbe19ec019b91ad51 (MD5) Previous issue date: 2018 / A adoção das Normas Internacionais de Contabilidade ocorreu em diferentes momentos: Brasil a partir de 2008, Europa em 2005 e Chile em 2013. Entretanto, mesmo em momentos diferentes, a padronização das práticas contábeis internacionais foi resultado da exigência de informações que permitissem aos investidores e credores a comparação e convergência de resultados em nível global. Por essa razão, o presente estudo tem como objetivo identificar se a demanda por tal informação padronizada foi efetivamente atendida, especificamente no que tange ao IFRS 7 (Risco Operacional de Operações de Crédito). Para isso, serão analisados 45 bancos comerciais distribuídos no Brasil, Chile, Itália e Grã-Bretanha. O Índice de Divulgação foi determinado com base no Relatório 20-F (bancos com ações negociadas nas Bolsas de Valores Local e de Nova York - OTC e ADR NYSE) ou Demonstrações Financeiras IFRS (ações negociadas somente na Bolsa de Valores local) em 2016. Para diferentes índices de divulgação, consideramos: Estatística Descritiva e correlações de variáveis contínuas (Materialidade: Operações de Crédito / Ativos Totais e Provisão para Perdas com Operações de Crédito / Total de Operações de Crédito; Porte dos Bancos: Ativos Totais) e variáveis qualitativas com aplicação do teste t de Student (ações negociadas na Bolsa de Valores, Tradição Legal e Localização (região desenvolvida e em desenvolvimento)). Descobrimos que o Índice de Divulgação é mais alto nos países desenvolvidos e comerciais em Nova York (OTC ou ADR NYSE) e que os bancos com uma tradição legal common law tendem a ser mais transparente e fornecer mais informações do que os países civil law. Portanto, a adoção do IFRS é reforçada com variáveis culturais positivas e quando os bancos precisam atender ao mercado altamente exigente e com forte proteção para investidores e credores. / The adoption of International Accounting Standards was at different times: Brazil as of 2008, Europe in 2005 and Chile in 2013. However, even at different times, the standardization of international accounting practices was the result of the requirement for information that would allow investors and creditor comparisons and convergence of results at the global level. For this reason, the present study aims to identify whether the demand for such standardized information was actually met, specifically regarding the IFRS 7 (Operational Risk of Credit Operations).To do so, we will analyse 45 commercial banks distributed in Brazil, Chile, Italy and Great Britain. The Disclosure Index was determined based on the 20-F Report (banks with shares traded on the Local and New York Stock Exchange - OTC and ADR NYSE) or IFRS Financial Statements (shares traded on the local Stock Exchange only) in 2016. For different disclosure indexes we consider: Descriptive Statistics and correlations of continuous variables (Materiality: Credit Operations / Total Assets and Provision for Losses with Loan Operations / Total Credit Operations; Size of banks: Total Assets) and qualitative variables with application of Student's t test (shares traded only on the local Stock Exchange, Legal Tradition and Location (developed and developing region)).We have found that the Disclosure Index is higher in developed and trading countries in New York (OTC or ADR NYSE) and that banks with a common law tradition tend to be more transparent and provide more information than countries with civil law. Therefore, adoption of IFRS is strengthened with positive cultural variables and when banks need to attend to the highly demanding market and with strong protection for investors and creditors.

Made available in DSpace on 2016-03-15T19:32:22Z (GMT). No. of bitstreams: 1 Aida Maria Mendes Milani.pdf: 2401913 bytes, checksum: cb65ec26cfee7cb95952c082ecc4b0aa (MD5) Previous issue date: 2010-09-16 / Fundo Mackenzie de Pesquisa / The credit market plays an important role in the global economy by promoting the expansion and diversification of economic activities of different players. Moreover, obtaining credit represents potential risk of default to their creditors. To mitigate these risks, financial institutions are constantly evaluating the conditions and characteristics of the market and its participants, relying on instruments of quantitative and qualitative analysis. The analytical models used try to incorporate relevant variables related to capability of payment of potential debtor, and recently has been discussed whether non-financial variables related to corporate sustainability can be incorporated by any of them. The credit analysis and risk management activities are essential to prevent deterioration of the credit portfolio of an institution. In credit analysis are assessed variables related to risk of the borrower, as so-called C's of credit: character, capacity, conditions, capital, collateral and conglomerate, as well as operational risks: value, type, term and collateral. Some institutions already have been included environmental aspects in their assessments of credit risk for financing large projects because, as financial agents, these organizations seek to link its image to actions considered appropriate under the social and environmental aspects. Some guidelines and internal policies of lenders may require that the projects and expansion programs of clients are related to the laws concerning the environment, and thus stimulate these values in the business. To assess the risks, some financial institutions have also embraced social and environmental indicators in the process of review and granting of credit, so that new variables, besides the traditional, can have positive or negative influence in determining the rating of the borrower and the pricing of these resources. It is still incipient the number of studies in Brazilian scientific literature on this subject, particularly related to analytic models of credit risk that use variables related to corporate sustainability under the triple perspective: economic, social and environmental. This exploratory research, under a quantitative approach, aimed at evaluating the influence of social and environmental variables in the credit risk analysis, complementing the economic variables already have usually considered. The selected sample, by convenience, was composed of 125 companies listed on Bovespa with available information on their social, environmental, economic issues, and also information on their rating. Accordingly, in this research were applied statistical techniques of factor analysis and multiple linear regression. The results led to inferences about the adoption, in credit analysis of socio-environmental variables, since treated in a standardized manner. / O mercado de crédito desempenha importante papel na economia mundial, fomentando a expansão e a diversificação das atividades econômicas de diferentes agentes. Por outro lado, a obtenção de crédito representa potenciais riscos de inadimplência aos respectivos credores. Para mitigar esses riscos as instituições financeiras estão, constantemente, avaliando as condições e características do mercado e de seus participantes, servindo-se de instrumentos de análise quantitativa e qualitativa. Os modelos analíticos utilizados procuram incorporar variáveis relevantes relacionadas à capacidade de pagamento do potencial devedor e, recentemente, discute-se se variáveis não financeiras relacionadas à sustentabilidade corporativa podem ser incorporadas por alguns deles. A análise de crédito e o gerenciamento de risco são atividades fundamentais para se evitar a deterioração da carteira de crédito de uma instituição. Na análise de crédito são avaliadas as variáveis relacionadas ao risco do tomador do empréstimo, como os chamados C s de crédito: caráter, capacidade, condições, capital e conglomerado, além dos riscos da operação: valor, modalidade, prazo e garantias. Algumas instituições já incluem em suas avaliações de crédito o risco ambiental para o financiamento de projetos de grande porte, pois, como agentes financiadores, tais organizações procuram comprometer a respectiva imagem a ações consideradas corretas sob os aspectos sociais e ambientais. Algumas diretrizes e políticas internas dos financiadores podem exigir que os projetos e programas de expansão dos clientes estejam inseridos na legislação do meio-ambiente, e dessa forma, estimulam a adequação empresarial aos valores e propostas socioambientais. Para avaliar os riscos envolvidos, algumas instituições financeiras também adotaram indicadores socioambientais no processo de análise e concessão do crédito, de forma que novas variáveis, além das tradicionais, podem ter influência positiva ou negativa na apuração do rating do tomador de recursos e na precificação desses recursos. Ainda é incipiente o número de pesquisas presentes na literatura científica nacional sobre o tema, particularmente com relação aos modelos analíticos de crédito e risco que se servem de variáveis relacionadas à sustentabilidade empresarial sob a sua tríplice perspectiva: econômico-financeira, ambiental e social. Este trabalho exploratório, de abordagem quantitativa, objetivou verificar a influência das variáveis sociais e ambientais na análise e risco de crédito, complementando as variáveis econômicas já usualmente consideradas. A amostra selecionada por conveniência foi composta por 125 empresas de capital aberto listadas na Bovespa com informações disponíveis sobre os seus respectivos aspectos sociais, ambientais, econômicos e, ainda, a classificação de risco (rating). Nesse sentido, aplicaram-se as técnicas estatísticas de análise fatorial e regressão múltipla linear. Os resultados obtidos permitiram inferir sobre a adoção, na análise de crédito, de variáveis socioambientais, desde que tratadas de forma padronizada.