IDEAS home Printed from https://ideas.repec.org/a/spr/trstrv/v18y2011i2p271-285.html
   My bibliography  Save this article

Estimating the Probability of Default with Applications in Provisioning the Portfolio of Clients of a Credit Institution

Author

Listed:
  • Dragoş Bolocan
  • Cristian Litan

Abstract

No abstract is available for this item.

Suggested Citation

  • Dragoş Bolocan & Cristian Litan, 2011. "Estimating the Probability of Default with Applications in Provisioning the Portfolio of Clients of a Credit Institution," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 271-285, December.
    • Handle: RePEc:spr:trstrv:v:18:y:2011:i:2:p:271-285
    DOI: 10.1007/s11300-011-0209-z
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11300-011-0209-z
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11300-011-0209-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Blum, Jürg M., 2008. "Why 'Basel II' may need a leverage ratio restriction," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1699-1707, August.
    2. Medema, Lydian & Koning, Ruud H. & Lensink, Robert, 2009. "A practical approach to validating a PD model," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 701-708, April.
    3. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
    4. Dwyer, Douglas W. & Stein, Roger M., 2006. "Inferring the default rate in a population by comparing two incomplete default databases," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 797-810, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Medema, Lydian & Koning, Ruud H. & Lensink, Robert, 2009. "A practical approach to validating a PD model," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 701-708, April.
    2. Kroot, Jan & Giouvris, Evangelos, 2016. "Dutch mortgages: Impact of the crisis on probability of default," Finance Research Letters, Elsevier, vol. 18(C), pages 205-217.
    3. Kavussanos, Manolis G. & Tsouknidis, Dimitris A., 2016. "Default risk drivers in shipping bank loans," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 94(C), pages 71-94.
    4. Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Statistics Norway, Research Department.
    5. Grigori Fainstein & Igor Novikov, 2011. "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 20-45, June.
    6. Bofinger, Peter & Franz, Wolfgang & Schmidt, Christoph M. & Weder di Mauro, Beatrice & Wiegard, Wolfgang, 2010. "Chancen für einen stabilen Aufschwung. Jahresgutachten 2010/11 [Chances for a stable upturn. Annual Report 2010/11]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201011.
    7. Fougère, D. & Golfier, C. & Horny, G. & Kremp, E., 2013. "What has been the impact of the 2008 crisis on firms’ default? (in French)," Working papers 463, Banque de France.
    8. Corbet, Shaen & Larkin, Charles, 2017. "Has the uniformity of banking regulation within the European Union restricted rather than encouraged sectoral development?," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 48-65.
    9. Bakkar, Yassine & De Jonghe, Olivier & Tarazi, Amine, 2023. "Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?," Journal of Banking & Finance, Elsevier, vol. 151(C).
    10. Catalán, Mario & Hoffmaister, Alexander W., 2022. "When banks punch back: Macrofinancial feedback loops in stress tests," Journal of International Money and Finance, Elsevier, vol. 124(C).
    11. Jean-Pierre Gueyié & Alaa Guidara & Van Son Lai, 2018. "Banks? Non-Traditional Activities Under Regulatory Changes: Impact on Risk, Performance and Capital Adequacy," Working Papers 2018-003, Department of Research, Ipag Business School.
    12. Filipe, Sara Ferreira & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Forecasting distress in European SME portfolios," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 112-135.
    13. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 87-105.
    14. Enrique Batiz‐Zuk & Fabrizio López‐Gallo & Abdulkadir Mohamed & Fátima Sánchez‐Cajal, 2022. "Determinants of loan survival rates for small and medium‐sized enterprises: Evidence from an emerging economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4741-4755, October.
    15. Bednarek, Peter & Dinger, Valeriya & Kaat, Daniel Marcel te & Westernhagen, Natalja von, 2021. "To whom do banks channel central bank funds?," Journal of Banking & Finance, Elsevier, vol. 128(C).
    16. Kritzinger, Nico & van Vuuren, Gary Wayne, 2021. "Non-capital calibration of bureau scorecards," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 260-271.
    17. Cardone-Riportella, Clara & Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio, 2010. "What drives bank securitisation? The Spanish experience," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2639-2651, November.
    18. Marco Migueis, 2017. "Forward-looking and Incentive-compatible Operational Risk Capital Framework," Finance and Economics Discussion Series 2017-087, Board of Governors of the Federal Reserve System (U.S.).
    19. Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi, 2016. "Validation of default probability models: A stress testing approach," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 70-85.
    20. Christian Hott, 2022. "Leverage and Risk Taking under Moral Hazard," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(2), pages 167-185, April.

    More about this item

    Keywords

    Credit risk; Probability of default; Provisioning a credit portfolio of a bank; G21; C58;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:trstrv:v:18:y:2011:i:2:p:271-285. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.