Warianty tytułu
Models for Measuring and Assessing Credit Risk
Języki publikacji
Abstrakty
W opracowaniu zaprezentowano różne modele matematyczne wykorzystywane przez banki w celu zmniejszania ryzyka związanego z udzielaniem kredytów. W zakończeniu zwrócono uwagę na fakt, że żaden model nie gwarantuje odzyskania przez bank pożyczonych kwot. Zabezpieczeniem stosowanym przez banki jest łączenie modeli jakościowych i ilościowych, które daje oczekiwane rezultaty.
Credit risk is an inseparable feature of the credit operations of banks. Although it cannot be completely eliminated, it can be significantly reduced. In this article, the author discusses those factors which have an impact on credit risk. She looks at a number of models used to measure and assess the risk involved in providing credit. These include both qualitative and quantitative models, i.e., those based on mathematical relationships. The aim of the article is to present the various instruments employed to assess credit risk, taking into particular account their strengths and weaknesses. (original abstract)
Rocznik
Numer
Strony
107--116
Opis fizyczny
Twórcy
autor
Bibliografia
- Amemiya T. [1991], Qualitative Response Models: A Survey, "Journal of Economic Literature", nr 4.
- Commercial Bank Financial Management - In the Financial Services Industry [1992], Macmillian Publ., New York.
- Sinkey F.J. [1992], Commercial Services Industry, New York, Macmilian Publ.
- Sinkey F.J. [1994], Credit Risk in Commercial Banks: A Survey of Theory, Practice and Empirical Evidence, "Banking Review", Bank of Samael.
- Slater Jr. J. [1994], New Tools to Make Commercial Loan Pricing More Effective, "The Journal of Commercial Bank Lending".
- Smith S., Smithson W., Wilford S.D. [1994], Managing Financial Risk, Cambridge, Ballinger Publ.
- Stimm M. [1994], The Money Market, Home wood, Don Jones Irwin.
- Survey A. [1992], Qualitative Response Models, "Journal of Economic Literature", nr 2.
- Turvey C.G. [1993], Credit for Agricultural Loans, A Review with Applications, "Agricultural Finance Review".
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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