scholarly journals Credit Risk Spillovers, Systemic Importance and Vulnerability in Financial Networks

2014 ◽  
Author(s):  
Inna Grinis
Keyword(s):  
Credit Risk ◽  
Financial Networks

scholarly journals Credit Risk Contagion and Systemic Risk on Networks

Mathematics ◽  
2019 ◽  
Vol 7 (8) ◽  
pp. 713 ◽  
Author(s):  
Marina Dolfin ◽  
Damian Knopoff ◽  
Michele Limosani ◽  
Maria Gabriella Xibilia
Keyword(s):  
Credit Risk ◽  
Systemic Risk ◽  
Small World ◽  
Financial Networks ◽  
Network Structures ◽  
Small World Networks ◽  
Underlying Network ◽  
Credit Risk Contagion ◽  
Long Term Behavior

This paper proposes a model of the dynamics of credit contagion through non-performing loans on financial networks. Credit risk contagion is modeled in the context of the classical SIS (Susceptibles-Infected-Susceptibles) epidemic processes on networks but with a fundamental novelty. In fact, we assume the presence of two different classes of infected agents, and then we differentiate the dynamics of assets subject to idiosyncratic risk from those affected by systemic risk by adopting a SIIS (Susceptible-Infected1-Infected2-Susceptible) model. In the recent literature in this field, the effect of systemic credit risk on the performance of the financial network is a hot topic. We perform numerical simulations intended to explore the roles played by two different network structures on the long-term behavior of assets affected by systemic risk in order to analyze the effect of the topology of the underlying network structure on the spreading of systemic risk on the structure. Random graphs, i.e., the Erdös–Rényi model, are considered “benchmark” network structures while core-periphery structures are often indicated in the literature as idealized structures, although they are able to capture interesting, specific features of real-world financial networks. Moreover, as a matter of comparison, we also perform numerical experiments on small-world networks.

scholarly journals Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework

Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-19 ◽  
Author(s):  
Mariya Gubareva
Keyword(s):  
Credit Risk ◽  
Financial Markets ◽  
Term Structure ◽  
Risk Premium ◽  
Default Risk ◽  
Balance Sheet ◽  
Financial Networks ◽  
Risk Modeling ◽  
Publicly Traded ◽  
Risk Managers

The current expected loss calculations have recently attracted considerable attention in the research on credit risk modeling, impairment provisioning, and financial networks’ stability. A new CDS-based approach to estimate current expected credit loss is proposed for low default portfolios, containing credit exposures to corporate issuers covered by publicly traded CDS contracts. First, a fraction of CDS spread related to a pure default compensation for different CDS maturities is assessed. Our results contrast with previous research. Second, based on the obtained historical weights of the default risk premium, a forward-looking term structure of the probabilities of default implied by the current CDS quotes is derived. The proposed approach covers both investment and noninvestment grade debt. The resulting framework is applied to a sample of corporate bonds. The developed methodology provides a useful tool, on one hand, for credit risk managers and balance-sheet preparers and, on the other hand, for regulators of financial markets as it sheds light on how procyclicality could be avoided in provisions.

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

Hidden “holes” in the capital of banks and the supply of credit to the real sector of economy

2018 ◽  
pp. 49-68 ◽  
Author(s):  
M. E. Mamonov
Keyword(s):  
Credit Risk ◽  
The Other ◽  
Real Sector ◽  
Capital Management ◽  
Loan Loss ◽  
Short Term ◽  
The Real ◽  
Ex Post ◽  
The One

Our analysis documents that the existence of hidden “holes” in the capital of not yet failed banks - while creating intertemporal pressure on the actual level of capital - leads to changing of maturity of loans supplied rather than to contracting of their volume. Long-term loans decrease, whereas short-term loans rise - and, what is most remarkably, by approximately the same amounts. Standardly, the higher the maturity of loans the higher the credit risk and, thus, the more loan loss reserves (LLP) banks are forced to create, increasing the pressure on capital. Banks that already hide “holes” in the capital, but have not yet faced with license withdrawal, must possess strong incentives to shorten the maturity of supplied loans. On the one hand, it raises the turnovers of LLP and facilitates the flexibility of capital management; on the other hand, it allows increasing the speed of shifting of attracted deposits to loans to related parties in domestic or foreign jurisdictions. This enlarges the potential size of ex post revealed “hole” in the capital and, therefore, allows us to assume that not every loan might be viewed as a good for the economy: excessive short-term and insufficient long-term loans can produce the source for future losses.

Retail Credit Risk Management in Indian Public Sector Banks

2012 ◽  
Vol 3 (8) ◽  
pp. 31-37
Author(s):  
Nayan J. Nayan J. ◽  
◽  
Dr. M. Kumaraswamy Dr. M. Kumaraswamy
Keyword(s):  
Risk Management ◽  
Public Sector ◽  
Credit Risk ◽  
Credit Risk Management ◽  
Public Sector Banks ◽  
Retail Credit
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