Search Results - subject:"Probability of Default"

United Kingdom; Basel Core Principles for Effective Banking Supervision Detailed Assessment of Compliance

International Monetary Fund (IMF); International … - 2011

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.

Persistent link: https://www.econbiz.de/10011244999

Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector

International Monetary Fund (IMF); International … - 2011

This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset...

Persistent link: https://www.econbiz.de/10011245016

Sweden; Financial Sector Assessment Program Update: Detailed Assessment of Observance on Basel Core Principles for Effective Banking Supervision

International Monetary Fund (IMF); International … - 2011

This paper discusses the current state of Swedish implementation of the Basel Core Principles for Effective Banking Supervision (BCP). The banking supervisory framework and its implementation in Sweden are in line with many of Basel Core Principlesâ€™ essential criteria. However, the...

Persistent link: https://www.econbiz.de/10011245692

Contingent Capital; Economic Rationale and Design Features

Pazarbasioglu, Ceyla; Zhou, Jian-Ping; Leslé, Vanessa Le; … - International Monetary Fund (IMF) - 2011

The causes of the global financial crisis were multi-faceted but revealed still unresolved weaknesses in national and international financial oversight and resolution frameworks. In particular, many governments in the crisis-hit countries had to provide unprecedented levels of support to contain...

Persistent link: https://www.econbiz.de/10011245888

The Too-Important-to-Fail Conundrum; Impossible to Ignore and Difficult to Resolve

Ötker, Inci; Narain, Aditya; Ilyina, Anna; Surti, Jay - International Monetary Fund (IMF) - 2011

DISCLAIMER: This Staff Discussion Note represents the views of the authors and does not necessarily represent IMF views or IMF policy. The views expressed herein should be attributed to the authors and not to the IMF, its Executive Board, or its management. Staff Discussion Notes are published...

Persistent link: https://www.econbiz.de/10011245890

The good, the bad and the impaired : a credit risk model of the Irish mortgage market

Kelly, Robert - 2011

Persistent link: https://www.econbiz.de/10009419792

Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis

Allen, David E; Boffey, R.R; Powell, R. J. - School of Business, Edith Cowan University - 2011

conditional probability of default which measures extreme credit risk. This paper finds that bank risk was significantly similar …

Persistent link: https://www.econbiz.de/10011158975

Non-performance of financial contracts in agricultural lending : A case study from Karnataka, India

Savitha, Basri; Kumar K., Naveen - In: Agricultural Finance Review 76 (2016) 3, pp. 362-377

Purpose Evaluating a portfolio of agricultural loans has become an important issue in recent years primarily due to a large number of loan defaults. The purpose of this paper is to investigate the factors influencing credit repayment behavior of farmers in Karnataka. Design/methodology/approach...

Persistent link: https://www.econbiz.de/10014667316

A Bayesian inference model for the credit rating scale

Gmehling, Philipp; La Mura, Pierfrancesco - In: The Journal of Risk Finance 17 (2016) 4, pp. 390-404

Purpose This paper aims to provide a theoretical explanation of why credit rating agencies typically disclose credit risk of issuers in classes rather than publishing the qualitative ranking those classes are based upon. Thus, its goal is to develop a better understanding of what determines the...

Persistent link: https://www.econbiz.de/10014901930

Analysis of default behavior of borrowers under Islamic versus conventional banking

Bekele, Genanew; Chowdhury, Reza H.; Rao, Ananth - In: Review of Behavioral Finance 8 (2016) 2, pp. 156-173

/methodology/approach Borrower-specific characteristics that explain the probability of default may not necessarily be similar factors that determine … demonstrates that the probability of default and the quantum of default appear to be influenced by different set of client …-specific factors. The results suggest that the probability of default does not vary significantly between Islamic and conventional …

Persistent link: https://www.econbiz.de/10014990148