scholarly journals Credit Risk and Business Cycles

2010 ◽  
Author(s):  
Pengfei Wang ◽  
Jianjun Miao
Keyword(s):  
Business Cycles ◽  
Credit Risk

Momentum, Credit Risk and Business Cycles

2010 ◽  
Author(s):  
Sirajum Munira ◽  
Yaz Gulnur Muradoglu
Keyword(s):  
Business Cycles ◽  
Credit Risk

scholarly journals Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Shou Chen ◽  
Xiangqian Jiang
Keyword(s):  
Business Cycles ◽  
Markov Model ◽  
Credit Risk ◽  
Realistic Model ◽  
Model Parameters ◽  
Behavior Model ◽  
Loan Portfolio ◽  
Monte Carlo Algorithms ◽  
Credit Risk Analysis ◽  
Model Approach

With a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio. A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers. The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers. The corresponding Markov chain Monte Carlo algorithms of the particular TMM are also developed for estimating the model parameters. We show how the transition of consumers’ repayment states and systematic credit risk of a loan portfolio are affected by the phases of business cycles through simulations.

scholarly journals Global Business Cycles and Credit Risk

2005 ◽  
Author(s):  
M. Hashem Pesaran ◽  
Björn-Jakob Treutler ◽  
Til Schuermann
Keyword(s):  
Business Cycles ◽  
Credit Risk ◽  
Global Business

scholarly journals Global Business Cycles and Credit Risk

2013 ◽  
pp. 419-469 ◽  
Author(s):  
M. Hashem Pesaran ◽  
Til Schuermann ◽  
Björn-Jakob Treutler
Keyword(s):  
Business Cycles ◽  
Credit Risk ◽  
Global Business

scholarly journals Global Business Cycles and Credit Risk

2005 ◽  
Author(s):  
M. Hashem Pesaran ◽  
Til Schuermann ◽  
Björn-Jakob Treutler
Keyword(s):  
Business Cycles ◽  
Credit Risk ◽  
Global Business

Validation of an integrity-based selection measure for credit risk potential

2009 ◽  
Author(s):  
Kelly D. Dages ◽  
John W. Jones ◽  
Bailey Klinger
Keyword(s):  
Credit Risk ◽  
Risk Potential
Sign in / Sign up

Export Citation Format

Share Document