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

Revisionsplikten för mindre företag i Sverige avskaffades år 2010 och efter reformen har mindre företag möjlighet att välja själva om de ska anlita revisor eller inte. När företag väljer bort revision påverkas dess intressenter genom att tillförlitligheten i den finansiella informationen minskar. Genom ett kvalitativt angreppssätt syftar denna studie till att undersöka hur bankers och leverantörers kreditbedömningar har påverkats när företag väljer bort revisorn. I studien har vi intervjuat tre mindre banker och två större banker inom Värmland för att få en djupare förståelse för vad de anser om revisionspliktens avskaffande och hur deras kreditbedömningar har påverkats. I urvalet finns också leverantörer och upplysningscentraler som har kontaktats via telefon eller mejl. Resultatet tyder på att det finns en marginell påverkan på bankernas kreditbedömningar av företag som har valt bort revisorn genom mer kontroll och analys, men överlag så är respondenterna positiva till avskaffandet. Leverantörerna nämner att de använder sig av upplysningscentraler vid kreditbedömningar och i upplysningscentralernas upplysningar finns det angivet om företagen har revisor eller inte, men det verkar som att det är upp till leverantörerna själva att avgöra betydelsen av detta. / The mandatory audit for smaller enterprises in Sweden was abolished in year 2010 and after the transition to voluntary audit, smaller enterprises now have the opportunity to choose whether to utilize an auditor or not. When enterprises choose to opt out of audit their stakeholders get affected by that the reliability of the financial information decreases. Through a qualitative approach, the intention of this study is to examine how banks’ and suppliers’ credit assessments have been affected when enterprises opt out of audit. In this study, we have interviewed three smaller banks and two bigger banks in Värmland to gain a deeper understanding of what they think of the abolition of mandatory audit and how their credit assessments have been affected. In the sample, we have also contacted suppliers and credit bureaus by telephone or mail. The results show that there is a marginal effect on the banks’ credit assessments on enterprises that have opted out of audit by more control and analysis, but in overall the respondents are positive to the abolition. The suppliers mention that they use credit bureaus for their credit assessments and in the credit bureaus’ information it’s specified if the enterprises are audited or not but it seems like it’s up to the suppliers to choose the significance of the information.

The National Credit Act aggressively addresses problems in the South African credit market. The purpose of the NCA is to promote socio-economic and ethical values that will serve to protect consumers, through the application and enforcement of various laws. The research was conducted in the Durban area. Literature was surveyed with the aim to determine the views of Durban consumers concerning the National Credit Act. The study adopted an exploratory and quantitative research method using a survey (questionnaire) as its main data-collection instrument. This was administered via email. The sampling technique used is a non-probability sampling with a target population comprising of natural persons in the Durban area, who have been affected by credit. Data were analysed using the SPSS statistical package, which was appropriate for this research since its nature was quantitative rather than qualitative. Significance and correlations were the basis of the data analysis in this research and cross-tabulations were used in order to enable presentation of results. Only the variables that were relevant to the research questions were used for further analysis after the significance tests were done. The findings on the research reflected that most of the respondents had higher education degrees, which indicated that the research covered well-educated people; most respondents were satisfied with the way the NCA was explained when it was introduced, although the research highlighted a need for further consumer awareness of the Act to eliminate major default. Some recommendations that include the further research on the same topic with a larger sample were made. It is concluded that it is necessary to make improvements on the Act. / MBA. University of KwaZulu-Natal, Durban 2013.

Tyrimo objektas-– pirkėjų skolų valdymas smulkaus verslo įmonėje. Tyrimo tikslas – atlikus pirkėjų skolų valdymo tiriamoje įmonėje analizę, sudaryti pirkėjų skolų valdymo modelį ir jį praktiškai pritaikyti. Uždaviniai : 1. Atlikti pirkėjų skolų valdymo UAB „Raimeda“ analizę ir identifikuoti pirkėjų skolų valdymo problemas. 2. Išanalizavus ir apibendrinus ankstesnius mokslinius tyrimus, sudaryti pirkėjų skolų valdymo modelį. 3. Sudarytą pirkėjų skolų valdymo modelį pritaikyti tiriamoje įmonėje“. Tyrimo metodai. Šio darbo rašymo metu buvo naudojami analizės ir sintezės, santykinių rodiklių skaičiavimo, palyginimo, finansinių rodiklių horizontalios bei vertikalios analizės metodai. Taip pat buvo naudojamasi prekinio kreditavimo valdymo klausimais užsienio bei lietuvių autorių parengtais straipsniais, informaciniais leidiniais bei internetinėse svetainėse surasta informacija. Tyrimo rezultatai • pirmojoje darbo dalyje išnagrinėta tiriamos įmonės finansinė padėtis bei pirkėjų skolų valdymo problemos. • antrojoje darbo dalyje išanalizuoti ir apibendrinti moksliniai tyrimai bei sudarytas pirkėjų skolų valdymo modelis. • trečiojoje darbo dalyje pasiūlytas pirkėjų skolų valdymo modelis testuotas tiriamos įmonės sąlygomis. Sukurtas pirkėjų skolų valdymo modelis detaliai nurodė pirkėjų patikimumo, jų reitingavimo bei prekinio kreditavimo sąlygų nustatymo kriterijus, pradelstų skolų išieškojimo metodus. / Research object - buyers' debt management in small business company. Research aim - to analyze buyers' debt management problems of target company, to create buyers' debt management model and test it in this company. Objectives : 1. to analyze methods of buyers' debt management in JCS "Raimeda" and identify the buyers' debt management problems in this company; 2. to create buyers' debt management model; 3. to implement the created buyers' debt management model in the target company. Research methods: analysis and synthesis, relative ratio calculations, comparison, horizontal and vertical analysis. Research results: • The company's financial position and buyers' debt management problems are analyzed in the first part of the work. • The second part, after analyzing and summarizing the previous research, presents the buyers' debt management model. • The third part presents results of the proposed buyers' debt management model implementation and testing in the target company. The buyers' debt management model shows detailed buyers' reliability, their rating and credit terms criteria, overdue debt recovery practices for small businesses company.

過去數年來，隨著金融市場的逐漸開放，帶動了整個金融市場的蓬勃發展。不過，隨之而來的風險，也產生了不少的金融災難。而這些的金融災難，大多是由於金融商品投資避險上的操作不當，或者是風險控管失衡所造成的。為了避免如是情況再度發生，近年來，國際間相繼有許多學者投入風險管理的研究。 而在所有的產業之中，風險管理對於銀行業來說，更為重要。銀行作為產業的金融媒介，一旦發生金融災難，不只產業會受到衝擊，連帶地資金來源的存款戶也受害，影響層面極為廣大。所以，各國政府莫不對銀行業設有相當嚴格的管理規定，以健全整體金融環境的發展。例如，有名的巴塞爾資本協定，即為國際間對於金融環境的風險管理規範。 但是，隨著時空環境的變遷，原有的協定早以不敷需求。終於，在2004年中，巴塞爾銀行監理委員會公佈了定版的新巴塞爾資本協定，並決定於2006年底開始實施。新協定在原有資本準備方面，將作業風險納入風險評估的範圍，並大幅修訂信用風險的衡量方式，允許銀行使用自行開發的內部模型，並採認降低信用風險的工具。而且，更增加了監理審查程序及市場紀律的相關規定，期待以多方面的角度，強化國際金融體系。 本研究將由新巴塞爾資本協定談起，簡介新協定的相關內容，比較新舊協定不同之處，然後針對銀行主要面臨的信用風險部分，探討在新協定所允許使用的信用風險內部模型，以及信用風險抵減技術。分別介紹目前業界常見的四種信用風險模型：專業信用分析公司KMV的KMV模型、CSFP的CreditRisk+模型、J.P. Morgan的CreditMetrics™模型、McKinsey的CreditPortfolioView模型，以及信用衍生性商品與信用風險證券化概念，最後探討未來風險管理發展的可能方向。

Cette thèse étudie la dynamique du marché des credit default swaps (CDS), instruments financiers de transfert du risque du crédit, et de ses relations avec les autres marchés, en particulier durant les épisodes de crise. Le marché des CDS a connu un développement vigoureux depuis son émergence, au milieu des années 90. Les volumes de contrats de CDS échangés ont augmenté à un rythme rapide, ce marché a ainsi connu le développement le plus rapide parmi les dérivés négociés de gré-à-gré (over-the-counter – OTC). Les participants de marché, principalement les grandes banques, ont su tirer parti des possibilités offertes par les outils de transfert de risque qui leur ont permis tout d'abord, de disposer d'instruments novateurs de protection contre le risque de crédit, mais aussi d'assurer l'expansion de leur activité d'intermédiation du crédit tout en optimisant les exigences en capital. Bien que le fonctionnement du marché des CDS ait connu une amélioration depuis le début des années 2000, plusieurs éléments mettent en doute l'hypothèse d'un marché efficient et résilient aux périodes de crise. A travers cinq articles empiriques, cette thèse se penche sur deux épisodes de crises durant lesquels le fonctionnement de ce marché a pu être perturbé : d'une part la crise de mai 2005, provoquée par la dégradation en catégorie spéculative de deux entreprises américaines majeures, General Motors et Ford, par les principales agences de notation ; d'autre part la crise financière ayant débuté en 2007 et qui a évolué en crise de la dette souveraine dans le cas des Etats européens à partir de fin 2009. L'étude de ces deux phases de crise montre que le développement du marché des CDS a participé à modifier les relations entre marchés, les investisseurs ayant fait des primes de CDS une source d'information privilégiée pour évaluer le risque de crédit. En effet, les travaux empiriques menés tout au long de la thèse concluent que ce marché est devenu progressivement le lieu où tendait à se dérouler le processus de découverte des prix. Ces travaux mettent également en lumière les vulnérabilités du marché des CDS, renforcées par des effets de contagion déjà à l'œuvre lors de l'épisode de crise de 2005, et incitent à une meilleure régulation des outils de transfert du risque de crédit et, d'une manière plus générale, des dérivés OTC. / This thesis studies the dynamics of the market in credit default swaps (CDS), which are credit risk transfer instruments, and the relationships between the CDS market and other markets, particularly during crisis periods. The CDS market has seen a boom since its emergence, in the mid-90s, and volumes of CDS contracts have increased at a rapid pace. Its growth has thus been the strongest among over-the-counter (OTC) derivatives. Market participants, mainly the major banks, have taken advantage of the opportunities created by credit transfer instruments, which have offered new ways to hedge against credit risk and also contributed to the expansion of their credit intermediation activity, while optimising capital requirements. Despite the improvement of the CDS market's functioning since the early 2000s, several facts call the assumption of an efficient market that is resilient to crisis periods into question. Through five empirical articles, this thesis focuses on two crisis periods which during which the functioning of this market was affected: first, the General Motors and Ford crisis in 2005 following the downgrading of the credit ratings of these two flagship companies to speculative grade; and second, the financial crisis of 2007-2009 which turned into a sovereign debt crisis in the case of European countries from end-2009 onwards. The study of these two crisis periods shows that the growth of the CDS market has contributed to a change in the relationships between markets, as investors tend to regard CDS premia as a prime source of information to assess credit risk. Indeed, the empirical research conducted throughout the thesis concludes that this has gradually become the place where the price discovery process tends to occur. This work highlights the vulnerabilities of the CDS market, reinforced by the contagion effects at work during the 2005 crisis episode, and points to the need for better regulation of credit risk transfer instruments and, more broadly, of OTC derivatives.

Submitted by Renata Junqueira (repajunqueira@hotmail.com) on 2016-09-12T19:57:23Z No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-09-21T14:11:27Z (GMT) No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-09-23T17:12:07Z (GMT) No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Made available in DSpace on 2016-09-23T17:12:24Z (GMT). No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) Previous issue date: 2016-08-29 / This paper uses an econometric model and identifies the relation between the perception of mining company Vale S.A.’s credit risk, measured by Credit Default Swap (CDS), and earnings surprises, measured by the difference between reported earnings per share (EPS) and EPS expected by market analysts. Conclusion is that a surprise in earning announcement significantly impacts Vale’s CDS and negative surprises tend to have higher influence than positive ones. Results suggest caution upon announcing future goals, since maintaining market expectations at reasonable levels could prevent sudden increases in funding costs. / Neste trabalho, é utilizado um modelo econométrico reduzido a fim de identificar a relação entre a percepção de risco de crédito da empresa mineradora Vale S.A., medida pelo Credit Default Swap (CDS), e a surpresa na divulgação de resultado, medida pela diferença entre o lucro por ação divulgado e o esperado pelos analistas de mercado. Conclui-se que uma surpresa no anúncio do resultado influencia significativamente o CDS da Vale e as surpresas negativas têm influência maior que as positivas. Os resultados sugerem cautela no anúncio de metas futuras, uma vez que a manutenção das expectativas de mercado em patamares moderados ajuda a evitar aumentos súbitos no custo de captação.

The growth of micro-credit along with the excellent conditions to carry out microfinance activity in the economy and financial system of the Republic of Peru are pushing for Microfinance Institutions (IMF) increased competition with banks in this segment business. Like in commercial banks, in microfinance questions such as: is this customer profitable?, What is the credit limit that I must accept to his/her application?, What interest rate should I charge to him/ her?, How I can reduce the risk default?, etc., are matters to be assessed properly. We propose a method that could facilitate improvement in customer qualification between failed and not failed. To this end, we propose a methodology that analyzes credit risk in the provision of microcredit through the design of a credit scoring model that we apply to a Development Agency for Small and Micro Enterprise (EDPYME), which is an IMF under the supervision by the Banking and Insurance Superintendency (SBS). / El crecimiento del número de microcréditos junto con las excelentes condiciones para llevar a cabo la actividad microfinanciera en la economía y sistema financiero de la República de Perú están impulsando a las instituciones de microfinanzas (IMF) a una mayor competencia con las entidades bancarias por este segmento de negocio. Al igual que en la banca comercial, en microfinanzas preguntas tales como: ¿conviene este cliente?, ¿cuál es el límite de crédito que debo aceptar a su solicitud?, ¿qué tasa de interés debo cobrar?, ¿cómo puedo reducir el riesgo de impago?, etc., son cuestiones que deben valorarse de forma adecuada. Este trabajo plantea un método que podría facilitar una mejora en la calificación de los clientes fallidos y no fallidos. Para ello, se propone una metodología que analiza el riesgo de crédito en la concesión de microcréditos mediante el diseño de un modelo de credit scoring aplicado a una entidad de desarrollo de la pequeña y micro empresa (EDPYME), IMF sometida a supervisión por la Superintendencia en Bancay Seguros (SBS).

Alors que les modèles de credit scoring sont largement utilisés depuis plus de cinquante ans et sont considérés comme un outil indispensable dans la prise de décision dans d'innombrables institutions financières du monde entier, la littérature et les empiriques disponibles sur ce sujet restent encore très limitées. Notre objectif est de combler cette lacune en présentant une analyse approfondie sur les modèles de credit scoring et le processus de prise de décision d’octroi de crédit, avec diverses applications sur des données réelles et extensives provenant de différents pays. Notre thèse comporte trois chapitres. Chapitre 1 commence par présenter le processus de développement d’un modèle de credit scoring, et fournit une application sur des données réelles d'une banque de détail basée en France. Visant à donner de nouvelles perspectives sur les pays émergents, Chapitre 2 analyse le marché du crédit à la consommation en Chine et enquête sur l'utilisation des modèles de credit scoring dans un tel marché prometteur. Chapitre 3 va plus loin que la littérature méthodologique précédente et se concentre sur les différentes techniques d'inférence des refusés qui peuvent corriger le biais de sélection lors de la construction d'un modèle de crédit scoring basé uniquement sur les dossiers acceptés. Ces chapitres présentent les différents aspects du crédit scoring, pour lesquels les principales problématiques de credit scoring seront traitées. / While credit scoring has been broadly used for more than fifty years and continued to be a great support on decision-making in countless businesses around the world, the amount of literature, especially empirical studies, available on this subject is still limited. Our aim in this thesis is to fill this gap by providing a profound analysis on credit scoring and credit decision processes, with various applications using real and extensive sets of data coming from different countries. The thesis is organized in three chapters. Chapter 1 starts by presenting the credit scoring development process, and provides an application to real data from a France-based retail bank. Aiming at providing new insights regarding emerging countries, Chapter 2 analyzes the Chinese consumer lending market and investigates the use of credit scoring in such a promising market. Chapter 3 goes further than the previous methodological literature and focuses on reject inference techniques which can be a way to address the bias when developing a credit-scoring model based solely on accepted applicants. These chapters provide a round tour on credit scoring, after which major issues in credit scoring are treated.

Praticamente todas as grandes instituições brasileiras que trabalham com concessão de crédito utilizam-se de modelos para avaliar o risco de inadimplência dos potenciais contratantes de produtos de crédito. Qualquer avanço nas técnicas, que resulte no aumento da precisão de um modelo de previsão, acarreta ganhos financeiros para a instituição. Neste trabalho são apresentados, em um primeiro momento, conceitos de crédito e risco. Posteriormente, a partir de uma amostra de dados, fornecida por uma grande instituição financeira brasileira, estão desenvolvidos três modelos, aplicando-se três técnicas para a classificação de clientes: Regressão Logística, Redes Neurais e Algoritmos Genéticos. Em uma etapa final, são avaliadas e comparadas a qualidade e performance dos modelos desenvolvidos, onde é apontado qual o modelo que melhor se ajusta aos dados. Os resultados obtidos pelos modelos de regressão logística e rede neural são satisfatórios e bastante próximos, sendo o primeiro ligeiramente superior. O modelo embasado por algoritmos genéticos apresenta também bons resultados embora num patamar inferior aos dois já citados. Este trabalho ilustra os procedimentos a serem adotados por uma empresa para identificar o melhor modelo de concessão de crédito que tenha boa aderência aos seus dados. A adoção do melhor modelo detectado permite o direcionamento da estratégia da instituição, podendo aumentar a eficiência do seu negócio. / Most of the large Brazilian institutions which work with credit concession use credit models to evaluate the risk of consumer loans. Any improvement in techniques that results in the precision increase of a prediction model, will provide financial gains to the institution. The first phase of this study introduces concepts of credit and risk. Subsequently, with a sample set of applicants from a large Brazilian financial institution, three credit scoring models are built applying three different techniques: Logistic Regression, Neural Networks and Genetic Algorithms. Finally, the quality and the performance of these models are evaluated and compared, and the best one is identified. The results obtained by the logistic regression model and neural network model are good and very similar, but the first one is slightly better. The results obtained with the genetic algorithm model are also good, but a little bit inferior. This study shows proceedings to be adopted by a financial institution in order to identify the best credit model to evaluate the risk of consumer loans. The use of the proper model will help the definition of an adequate business strategy and increase profits.