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Credit risk measurement: Developments over the last 20 years

Citations

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Cited by:

  1. Giordani, Paolo & Jacobson, Tor & Schedvin, Erik von & Villani, Mattias, 2014. "Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(4), pages 1071-1099, August.
  2. Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
  3. Amélie Artis & Simon Cornée, 2013. "Transformation informationnelle, certification et intermédiation financière : le cas de la banque solidaire," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201326, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
  4. Simon Cornée, 2014. "Soft Information and Default Prediction in Cooperative and Social Banks," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 89-103, June.
  5. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
  6. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
  7. Geetesh Bhardwaj & Rajdeep Sengupta, 2011. "Credit scoring and loan default," Working Papers 2011-040, Federal Reserve Bank of St. Louis.
  8. Patrick L. Brockett & Mulong Wang & Chuanhou Yang, 2005. "Weather Derivatives and Weather Risk Management," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 127-140, March.
  9. R. Alton Gilbert & Andrew P. Meyer & Mark D. Vaughan, 2006. "Can feedback from the jumbo CD market improve bank surveillance?," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 92(Spr), pages 135-175.
  10. Kasper Regenburg & Morten Nicklas Bigler Seitz, 2021. "Criminals, bankruptcy, and cost of debt," Review of Accounting Studies, Springer, vol. 26(3), pages 1004-1045, September.
  11. Paola Cerchiello & Paolo Giudici, 2013. "Bayesian Credit Ratings (new version)," DEM Working Papers Series 030, University of Pavia, Department of Economics and Management.
  12. Zhang, Xi & Li, Jian, 2018. "Credit and market risks measurement in carbon financing for Chinese banks," Energy Economics, Elsevier, vol. 76(C), pages 549-557.
  13. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
  14. Asish Saha & Nor Hayati Ahmad & Lim Hick Eam & Siew Goh Yeok, 2019. "Assessing Bank Stability in Malaysia in the Framework of Distance to Default," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(2), pages 1-27.
  15. Degryse, H.A. & Cerqueiro, G.M. & Ongena, S., 2007. "Distance, Bank Organizational Structure and Credit," Other publications TiSEM 34c2f607-3395-4fd9-9c52-4, Tilburg University, School of Economics and Management.
  16. Ji, Tingting, 2004. "Essays on consumer portfolio choice and credit risk," MPRA Paper 3161, University Library of Munich, Germany.
  17. Abuzayed, Bana & Al-Fayoumi, Nedal & Molyneux, Phil, 2018. "Diversification and bank stability in the GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 17-43.
  18. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2005. "Exploring interactions between real activity and the financial stance," Journal of Financial Stability, Elsevier, vol. 1(3), pages 308-341, April.
  19. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
  20. Maurice Peat & Stewart Jones, 2012. "Using Neural Nets To Combine Information Sets In Corporate Bankruptcy Prediction," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(2), pages 90-101, April.
  21. P. Hammer & A. Kogan & M. Lejeune, 2011. "Reverse-engineering country risk ratings: a combinatorial non-recursive model," Annals of Operations Research, Springer, vol. 188(1), pages 185-213, August.
  22. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
  23. Carling , Kenneth & Lundberg, Sofia, 2002. "Bank Lending, Geographical Distance, and Credit risk: An Empirical Assessment of the Church Tower Principle," Working Paper Series 144, Sveriges Riksbank (Central Bank of Sweden).
  24. Nijskens, Rob & Mokas, Dimitris, 2019. "Credit Risk in Commercial Real Estate Bank Loans : The Role of Idiosyncratic versus Macro-Economic Factors," Other publications TiSEM ea4f2f0e-dc50-4987-91d3-6, Tilburg University, School of Economics and Management.
  25. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
  26. Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel, 2022. "Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case," The Journal of Real Estate Finance and Economics, Springer, vol. 65(3), pages 419-450, October.
  27. Andreas Hoegen & Dennis M. Steininger & Daniel Veit, 2018. "How do investors decide? An interdisciplinary review of decision-making in crowdfunding," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 339-365, August.
  28. Alberto Tron & Maurizio Dallocchio & Salvatore Ferri & Federico Colantoni, 2023. "Corporate governance and financial distress: lessons learned from an unconventional approach," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 27(2), pages 425-456, June.
  29. Caruso, G. & Gattone, S.A. & Fortuna, F. & Di Battista, T., 2021. "Cluster Analysis for mixed data: An application to credit risk evaluation," Socio-Economic Planning Sciences, Elsevier, vol. 73(C).
  30. Francisco Ascui & Theodor F. Cojoianu, 2019. "Implementing natural capital credit risk assessment in agricultural lending," Business Strategy and the Environment, Wiley Blackwell, vol. 28(6), pages 1234-1249, September.
  31. Kabir, Md. Nurul & Worthington, Andrew & Gupta, Rakesh, 2015. "Comparative credit risk in Islamic and conventional bank," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 327-353.
  32. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
  33. Ruby P. Kishan & Timothy P. Opiela, 2012. "Monetary Policy, Bank Lending, and the Risk‐Pricing Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 573-602, June.
  34. Anas Yassine & Abdelmadjid Ibenrissoul, 2018. "The macroeconomics determinants of default of the borrowers: The case of Moroccan bank," Papers 1801.05770, arXiv.org, revised Mar 2018.
  35. Lehmann, Erik & Neuberger, Doris, 1998. "SME Loan Pricing and Lending Relationships in Germany: A New Look," Thuenen-Series of Applied Economic Theory 18, University of Rostock, Institute of Economics.
  36. Liu, Chang & Sun, Xiaolei & Chen, Jianming & Li, Jianping, 2016. "Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries," Energy Policy, Elsevier, vol. 92(C), pages 234-245.
  37. Altman, Edward I. & Saunders, Anthony, 2001. "An analysis and critique of the BIS proposal on capital adequacy and ratings," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 25-46, January.
  38. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
  39. Zhiyong Li & Chen Feng & Ying Tang, 2022. "Bank efficiency and failure prediction: a nonparametric and dynamic model based on data envelopment analysis," Annals of Operations Research, Springer, vol. 315(1), pages 279-315, August.
  40. Ruth Ben‐Yashar & Miriam Krausz & Shmuel Nitzan, 2018. "Government loan guarantees and the credit decision‐making structure," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(2), pages 607-625, May.
  41. Udo Broll & Gerhard Schweimayer & Peter Welzel, 2004. "Managing Credit Risk With Credit And Macro Derivatives," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 56(4), pages 360-378, October.
  42. Annathurai, Anusha, 2019. "Corporate Governance Analysis on Risk Exposure and Performance of AIA Bhd," MPRA Paper 97259, University Library of Munich, Germany, revised 27 Nov 2019.
  43. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 3-23, January.
  44. Eriksson, Kent & Jonsson, Sara & Lindbergh, Jessica & Lindstrand, Angelika, 2014. "Modeling firm specific internationalization risk: An application to banks’ risk assessment in lending to firms that do international business," International Business Review, Elsevier, vol. 23(6), pages 1074-1085.
  45. Francesco Ciampi, 2018. "Using Prior Payment Behavior Variables for Small Enterprise Default Prediction Modelling," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(4), pages 1-57, March.
  46. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2013. "Firm Default And Aggregate Fluctuations," Journal of the European Economic Association, European Economic Association, vol. 11(4), pages 945-972, August.
  47. Bhattacharjee Arnab & Higson Christopher & Holly Sean & Kattuman Paul, 2009. "Macroeconomic Instability and Corporate Failure: The Role of the Legal System," Review of Law & Economics, De Gruyter, vol. 5(1), pages 1-32, January.
  48. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  49. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
  50. Lopez, Jose A. & Saidenberg, Marc R., 2000. "Evaluating credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 151-165, January.
  51. Aali-Bujari, Ali & Venegas-Martínez, Francisco & Gómez-Rodríguez, Tomás, 2023. "On the relationship between the real sector and the derivatives markets in major Latin American countries (2002-2016)," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 19(39), pages 27-40, Segundo s.
  52. Alain Devalle & Simona Fiandrino & Valter Cantino, 2017. "The Linkage between ESG Performance and Credit Ratings: A Firm-Level Perspective Analysis," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(9), pages 1-53, August.
  53. Brunner, Antje & Pieter, Jan & Weber, Martin, 2000. "Information production in credit relationship: On the role of internal ratings in commercial banking," CFS Working Paper Series 2000/10, Center for Financial Studies (CFS).
  54. Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2022. "Creditworthiness and buildings' energy efficiency in the Italian mortgage market," SAFE Working Paper Series 352, Leibniz Institute for Financial Research SAFE.
  55. Lassoued, Mongi, 2018. "Comparative study on credit risk in Islamic banking institutions: The case of Malaysia," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 267-278.
  56. Alain Capiez, 2000. "Evaluation du crédit-bail et risque de crédit," Post-Print halshs-00587435, HAL.
  57. Ioana Benea & Florin Duma, 2013. "Financing with Receivables: Factoring, Securitization and Collateral," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(15), pages 79-86, December.
  58. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
  59. Dong, Yi & Hou, Qiannan & Ni, Chenkai, 2021. "Implicit government guarantees and credit ratings," Journal of Corporate Finance, Elsevier, vol. 69(C).
  60. Stefano Olgiati & Alessandro Danovi, 2013. "Contraction or steady state? An analysis of credit risk management in Italy in the period 2008-2012," Papers 1307.2465, arXiv.org.
  61. Peresetsky, Anatoly, 2009. "Models for the External Support Component of Moody's Bank Ratings," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 3-23.
  62. Imes, Matthew & Anderson, Ronald, 2021. "Executive risk-taking and the agency cost of debt," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 78-94.
  63. Lohmann, Christian & Möllenhoff, Steffen, 2023. "Dark premonitions: Pre-bankruptcy investor attention and behavior," Journal of Banking & Finance, Elsevier, vol. 151(C).
  64. Shi Yanjing & Wang Haiyan, 2018. "Game Analysis of Risk Factors under Export Credit Insurance Finance," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(2), pages 1-17, July.
  65. Christian Lohmann & Thorsten Ohliger, 2017. "Nonlinear Relationships and Their Effect on the Bankruptcy Prediction," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 18(3), pages 261-287, August.
  66. Simon Cornée, 2012. "The Relevance of Soft Information for Predicting Small Business Credit Default: Evidence from a Social Bank," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201226, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS, revised Sep 2015.
  67. Sajad Ebrahimi, 2022. "The Effects of Ownership Structure on Borrowing Rate: The Case of Listed Iranian Companies," Millennial Asia, , vol. 13(1), pages 35-59, April.
  68. Duchin, R. & Sosyura, D., 2012. "Safer Rations, Riskier Portfolios : Banks’ responses to Government Aid," Other publications TiSEM e67533e7-f388-4860-b65e-0, Tilburg University, School of Economics and Management.
  69. Ji, Tingting, 2004. "Consumer Credit Delinquency And Bankruptcy Forecasting Using Advanced Econometrc Modeling," MPRA Paper 3187, University Library of Munich, Germany.
  70. Róbert Štefko & Jarmila Horváthová & Martina Mokrišová, 2020. "Bankruptcy Prediction with the Use of Data Envelopment Analysis: An Empirical Study of Slovak Businesses," JRFM, MDPI, vol. 13(9), pages 1-15, September.
  71. Mr. Matthew T Jones, 2005. "Estimating Markov Transition Matrices Using Proportions Data: An Application to Credit Risk," IMF Working Papers 2005/219, International Monetary Fund.
  72. Robert P. Gray & Frank L. Clarke, 2004. "A Methodology for Calculating the Allowance for Loan Losses in Commercial Banks," Abacus, Accounting Foundation, University of Sydney, vol. 40(3), pages 321-341, October.
  73. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
  74. Lardon, Andy & Deloof, Marc & Jorissen, Ann, 2017. "Outside CEOs, board control and the financing policy of small privately held family firms," Journal of Family Business Strategy, Elsevier, vol. 8(1), pages 29-41.
  75. Adriana Csikosova & Maria Janoskova & Katarina Culkova, 2019. "Limitation of Financial Health Prediction in Companies from Post-Communist Countries," JRFM, MDPI, vol. 12(1), pages 1-14, January.
  76. Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 5(1), pages 3-19.
  77. Anas Yassine & Abdelmadjid Ibenrissoul & Nawal Snoussi & Zakaria Benjouid, 2017. "The macroeconomics determinants of default of the borrowers: The case of Moroccan bank [Les déterminants macroéconomiques de la défaillance des emprunteurs : Le cas d'une banque marocaine]," Working Papers hal-01683225, HAL.
  78. Lehmann, Erik & Neuberger, Doris, 2001. "Do lending relationships matter?: Evidence from bank survey data in Germany," Journal of Economic Behavior & Organization, Elsevier, vol. 45(4), pages 339-359, August.
  79. Francesco Ciampi & Valentina Cillo & Fabio Fiano, 2020. "Combining Kohonen maps and prior payment behavior for small enterprise default prediction," Small Business Economics, Springer, vol. 54(4), pages 1007-1039, April.
  80. Tan, Yi Lin & Yusof, Mimi Syazwani & Mohd Ali, Nur Aqilah & Mohamed Azmi, Zahirah, 2018. "The Influence of Corporate Governance to the Firm Performance in Logistics Industry," MPRA Paper 86895, University Library of Munich, Germany.
  81. Hans Gersbach & Alexander Lipponer, 2003. "Firm Defaults and the Correlation Effect," European Financial Management, European Financial Management Association, vol. 9(3), pages 361-378, September.
  82. Jeffrey E. Stambaugh & John Martinez & G. T. Lumpkin & Niyati Kataria, 2017. "How well do EO measures and entrepreneurial behavior match?," International Entrepreneurship and Management Journal, Springer, vol. 13(3), pages 717-737, September.
  83. Treacy, William F. & Carey, Mark, 2000. "Credit risk rating systems at large US banks," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 167-201, January.
  84. Loretta J. Mester, 1997. "What's the point of credit scoring?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 3-16.
  85. Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
  86. Paola Cerchiello & Paolo Giudici, 2012. "Bayesian Credit Rating Assessment," DEM Working Papers Series 019, University of Pavia, Department of Economics and Management.
  87. Jeffrey E. Stambaugh & John Martinez & G. T. Lumpkin & Niyati Kataria, 0. "How well do EO measures and entrepreneurial behavior match?," International Entrepreneurship and Management Journal, Springer, vol. 0, pages 1-21.
  88. Abbas, Qaiser & Rashid, Abdul, 2011. "Modeling Bankruptcy Prediction for Non-Financial Firms: The Case of Pakistan," MPRA Paper 28161, University Library of Munich, Germany.
  89. Pranith K. Roy & Krishnendu Shaw, 2023. "A credit scoring model for SMEs using AHP and TOPSIS," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 372-391, January.
  90. Hu Mengze & Li Wei, 2015. "A Comparative Study on Environment Credit Risk Management of Commercial Banks in the Asia‐Pacific Region," Business Strategy and the Environment, Wiley Blackwell, vol. 24(3), pages 159-174, March.
  91. Nataliya Fedorenko & Dorothea Schäfer & Oleksandr Talavera, 2007. "The Effects of the Bank-Internal Ratings on the Loan Maturity," Discussion Papers of DIW Berlin 704, DIW Berlin, German Institute for Economic Research.
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