Essays On Consumer Portfolio And Credit Risk
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Essays On Consumer Portfolio And Credit Risk
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Author : Tingting Ji
language : en
Publisher:
Release Date : 2004
Essays On Consumer Portfolio And Credit Risk written by Tingting Ji and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bankruptcy categories.
Abstract: Three essays comprise this dissertation. The first essay uses panel data to show that labor income risk alone cannot explain limited stock market participation. However, transaction costs and household demographics, considered jointly, can determine both the discrete choice of whether to hold stock and the amount held, conditional on whether the household is already investing in the stock market. Transaction costs are proxied by state-level number of brokers per capita. The second essay builds on the first essay. I measure two different covariance terms. One is between self-evaluated house value and uninsurable labor income risk. The other is between housing investment return and stock return. The results show that homeownership has a diversification effect on stock holdings. This effect occurs because adding a house to the household portfolio can significantly decrease the overall risk of the portfolio. The last essay empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for bankruptcy under chapter 7 or chapter 13, after controlling for demographics. The paper then points out some of the implications the empirical results have for policy-makers and banking regulators.
Essays On Bank Lending
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Author : Charlotte Ostergaard
language : en
Publisher:
Release Date : 1998
Essays On Bank Lending written by Charlotte Ostergaard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Consumer Credit Models
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Author : Lyn C. Thomas
language : en
Publisher: OUP Oxford
Release Date : 2009-01-29
Consumer Credit Models written by Lyn C. Thomas and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-29 with Business & Economics categories.
The use of credit scoring - the quantitative and statistical techniques to assess the credit risks involved in lending to consumers - has been one of the most successful if unsung applications of mathematics in business for the last fifty years. Now with lenders changing their objectives from minimising defaults to maximising profits, the saturation of the consumer credit market allowing borrowers to be more discriminating in their choice of which loans, mortgages and credit cards to use, and the Basel Accord banking regulations raising the profile of credit scoring within banks there are a number of challenges that require new models that use credit scores as inputs and extensions of the ideas in credit scoring. This book reviews the current methodology and measures used in credit scoring and then looks at the models that can be used to address these new challenges. The first chapter describes what a credit score is and how a scorecard is built which gives credit scores and models how the score is used in the lending decision. The second chapter describes the different ways the quality of a scorecard can be measured and points out how some of these measure the discrimination of the score, some the probability prediction of the score, and some the categorical predictions that are made using the score. The remaining three chapters address how to use risk and response scoring to model the new problems in consumer lending. Chapter three looks at models that assist in deciding how to vary the loan terms made to different potential borrowers depending on their individual characteristics. Risk based pricing is the most common approach being introduced. Chapter four describes how one can use Markov chains and survival analysis to model the dynamics of a borrower's repayment and ordering behaviour . These models allow one to make decisions that maximise the profitability of the borrower to the lender and can be considered as part of a customer relationship management strategy. The last chapter looks at how the new banking regulations in the Basel Accord apply to consumer lending. It develops models that show how they will change the operating decisions used in consumer lending and how their need for stress testing requires the development of new models to assess the credit risk of portfolios of consumer loans rather than a models of the credit risks of individual loans.
Three Essays In Portfolio Management And Credit Risk
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Author : Andriy Demchuk
language : en
Publisher:
Release Date : 2003
Three Essays In Portfolio Management And Credit Risk written by Andriy Demchuk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Essays On Credit Risk And Portfolio Choice
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Author : Oussama Chakroun
language : en
Publisher:
Release Date : 2008
Essays On Credit Risk And Portfolio Choice written by Oussama Chakroun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Credit Portfolio Management
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Author : Michael Hünseler
language : en
Publisher: Springer
Release Date : 2013-07-30
Credit Portfolio Management written by Michael Hünseler and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-30 with Business & Economics categories.
Credit Portfolio Management is a topical text on approaches to the active management of credit risks. The book is a valuable, up to date guide for portfolio management practitioners. Its content comprises of three main parts: The framework for managing credit risks, Active Credit Portfolio Management in practice and Hedging techniques and toolkits.
Consumer Credit Models
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Author : L. C. Thomas
language : en
Publisher:
Release Date : 2009
Consumer Credit Models written by L. C. Thomas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Consumer credit categories.
This text reviews the current methodology and measures used in credit scoring and then looks at the models that can be used to address new challenges.
Essays In Credit Portfolio Management
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Author : Vikrant Tyagi
language : en
Publisher:
Release Date : 2010
Essays In Credit Portfolio Management written by Vikrant Tyagi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The current financial crisis has lessons for three areas of credit portfolio management. First, the credit crisis has highlighted the need to manage the funding risk of a bank. Second, it has highlighted the need to manage the underwriting risk of debt syndications. Finally, it has suggested the need to understand the drivers of relationship banking. The first paper in this dissertation develops an empirically grounded model to manage the funding risk of a bank. The second paper develops an option pricing framework to manage the underwriting risk in debt syndications. The last paper in this dissertation uses a proprietary dataset to study the empirical determinants of relationship banking benefits.
Managing Credit Risk In Corporate Bond Portfolios
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Author : Srichander Ramaswamy
language : en
Publisher: John Wiley & Sons
Release Date : 2003-12-01
Managing Credit Risk In Corporate Bond Portfolios written by Srichander Ramaswamy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-01 with Business & Economics categories.
Expert guidance on managing credit risk in bond portfolios Managing Credit Risk in Corporate Bond Portfolios shows readers how to measure and manage the risks of a corporate bond portfolio against its benchmark. This comprehensive guide explores a wide range of topics surrounding credit risk and bond portfolios, including the similarities and differences between corporate and government bond portfolios, yield curve risk, default and credit migration risk, Monte Carlo simulation techniques, and portfolio selection methods. Srichander Ramaswamy, PhD (Basel, Switzerland), is Head of Investment Analysis at the Bank for International Settlements (BIS) in Basel, Switzerland, and Adjunct Professor of Banking and Finance, University of Lausanne.
Essays On Credit Risk
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Author :
language : en
Publisher:
Release Date : 2007
Essays On Credit Risk written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Credit categories.