Saturday, February 20, 2010
We analyze the static and time-varying uncertainties of three key input factors in a latent factor credit risk model, i.e. the multivariate distribution (copula), the default correlation and the default probability. Results show that the importance of the factors strongly depends on the average default probability of the portfolio and the analyzed quantiles of the default distribution. The proposed technique also provides information about trade-offs between the factors, e.g. between the default correlation and the copula.
KEYWORDS: credit risk model, latent factor model, copula, global sensitivity analysis
Keywords: interst rate of deposit, capital adequacy ratio, return on assets, loan to deposit.
Monday, January 25, 2010
Financial Analysis Tools and Technique
Declining Profit Margin: When Volunteers Cost More Than They Return
The Internal Control System: Reference framework
STUDI PENINGKATAN PERAN BANK PERKREDITAN RAKYAT (BPR)DALAM PEMBIAYAAN USAHA MIKRO KECIL (UMK)DI SUMATERA BARAT
Effects of Banking
Non-performing loans and the real economy Japan’s experience
Journal of Financial and Quantitative Analysis
Default Probability for the Jordanian Companies