Search Results - subject:"Probability of default"

Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan

Yamashita, Satoshi; Yoshiba, Toshinao - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 113-132

<Para ID="Par1">We evaluate the expected loss and the standard deviation of loss of a bank loan, considering the bank’s strategic control of the expected return on the loan. Assuming that the bank supplies an additional loan to minimize the expected loss of the total loan, we provide analytical formulations...</para>

Persistent link: https://www.econbiz.de/10011241979

Contribution of macroeconomic factors to the prediction of small bank failures

Mare, Davide Salvatore - In: Journal of international financial markets, … 39 (2015), pp. 25-39

Persistent link: https://www.econbiz.de/10011475239

Relationship between banks' capital and credit risk-taking through syndicated loan

Lin, Shu Ling; Chen, Wei Peng; Lu, Jun - In: Modern economy 6 (2015) 12, pp. 1297-1308

Persistent link: https://www.econbiz.de/10011441936

Discretionary credit rating and bank stability in a financial crisis

Brezigar-Masten, Arjana; Masten, Igor; Volk, Matjaž - In: Eastern European economics 53 (2015) 5, pp. 377-402

Persistent link: https://www.econbiz.de/10011507602

Banks' pooling of corporate debt : an application of the restated diversification theorem

Lundtofte, Frederik - In: The North American journal of economics and finance : a … 31 (2015), pp. 249-263

Persistent link: https://www.econbiz.de/10011514232

Closed-form interpolation-based formulas for European call options written on defaultable assets

Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242

Persistent link: https://www.econbiz.de/10011413347

Analytical solutions for expected loss and standard deviation of loss with an additional loan

Yamashita, Satoshi; Yoshiba, Toshinao - In: Asia-Pacific financial markets 22 (2015) 2, pp. 113-132

Persistent link: https://www.econbiz.de/10011377519

Biased benchmarks

Forest, Lawrence R. <Jr.>; Chawla, Gaurav; Aguais, Scott D. - In: The journal of risk model validation 9 (2015) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011326313

The effect of introducing economic variables into credit scorecards : an example from invoice discounting

Zhang, Jie; Thomas, Lyn C. - In: The journal of risk model validation 9 (2015) 1, pp. 57-78

Persistent link: https://www.econbiz.de/10010516718

Modelling probability of default and optimal PTI level by using a household survey

Balás, Tamás; Banai, Ádám; Hosszú, Zsuzsanna - In: Acta oeconomica : periodical of the Hungarian Academy … 65 (2015) 2, pp. 183-209

Persistent link: https://www.econbiz.de/10011736840