Renegotiation of financial contracts: Evidence from private credit agreements

Using a large sample of private credit agreements between U.S. publicly traded firms and financial institutions, we show that over 90% of long-term debt contracts are renegotiated prior to their stated maturity. Renegotiations result in large changes to the amount, maturity, and pricing of the contract, occur relatively early in the life of the contract, and are rarely a consequence of distress or default. The accrual of new information concerning the credit quality, investment opportunities, and collateral of the borrower, as well as macroeconomic fluctuations in credit and equity market conditions, are the primary determinants of renegotiation and its outcomes. The terms of the initial contract (e.g., contingencies) also play an important role in renegotiations; by altering the structure of the contract in a state contingent manner, renegotiation is partially controlled by the contractual assignment of bargaining power.     

Ratings-based credit risk modelling: An empirical analysis

Banks have recently developed new techniques for gauging the credit risk associated with portfolios of illiquid and defaultable instruments. These techniques could revolutionise banks' management of credit risk and could in the longer term serve as a more risk-sensitive basis for calculating regulatory capital on banks' loan books than in Basel 2, the new regulatory capital framework. In this paper we implement a popular credit risk model that exploits the information in credit ratings to determine a portfolio's value-at-risk. Using price data on large eurobond portfolios, we assess, on an out-of-sample basis, how well the model tracks the risks it is supposed to measure.     

An analysis of credit risk spreads for high yield bonds

The overall growth and volatility in the high yield (HY) bond market has provided a viable source of capital and an interesting investment asset class. The result has been strong interest in the HY bond credit risk spread (CRS) because this series is very volatile and has a significant impact on the availability of capital to issuers and the rates of return and risk results for investors. Given these trends in the HY bond market, our study has two purposes. The first is to examine statistical properties of the CRS series for the aggregate HY bond market and the three rated components. The second purpose is to interpret the influence that a set of variables are expected to have on future CRSs and, therefore, HY bond performance. In summary, the statistical analysis indicates a significant business cycle effect, but does not show a monetary policy impact. Additionally, the study finds significant differences in characteristics among bonds with alternative ratings. The analysis of specific variables highlights the strong influence of direct and indirect measures of default risk, capital market risk factors, a specific measure of monetary policy, and an impact from liquidity within the HY bond market. There was also evidence of segmentation within the HY bond market because the empirical results indicate that we should consider separate models across rating classes that employed different variables as well as coefficients that were significantly different for the same variables.     

An investigation of credit borrower concentration

Credit borrower concentration arises when a bank or financial institution lends a large amount of its funds to a few large borrowers. We find that borrower concentration is positively related to non-performing loans and negatively related to financial performance. We also find that the voting power of bank’s controlling shareholder is positively related to the borrower concentration. The evidence is consistent with the view that controlling shareholders divert resources away from banks by extending a high volume of loans to a few related parties, which leads to high borrower concentration. Further evidence indicates that some seemingly unrelated large borrowers, as reported in the financial disclosure, are actually related to the controlling shareholders. We also provide evidence that going public mitigates the tunneling activities of controlling shareholders.     

银行惜贷现象的博弈分析

惜贷又称存差，是指相对于银行部门日趋庞大的负债规模而言，银行贷款的存量或增量规模并没有得到同步发展。其表现为：一方面，银行负债方的存款总额在不断增加(我国居民储蓄已经超过8万亿元)；另一方面，资产方的构成比例在不断变化，其趋势是贷款资产(尤其是企业贷款)的比重不断下降，而国有资产和外汇资产的比重却在不断上升。本拟从我国目前的投融资体制入手，在适当假设条件下，利用博弈论的分析方法，找出我国银行惜贷现象的成因，并提出相应的对策。     

平安信用卡:不一样的精彩——深圳平安银行常务副行长陈伟访谈

2007年5月21日,国内首张具有"保险血统"的信用卡--平安"万里通"信用卡在深圳面市.尽管发行机构深圳商业银行(后更名为深圳平安银行)名不见经传,但该卡背后那支堪称豪华的信用卡业务团队,还是引起了业内外的广泛关注.     

An approximate multi-period Vasicek credit risk model

Financial institutions and regulators usually measure credit risk only over a one-year time horizon. Hence, current statistical models can generate closed-form expressions for the one-year loss distribution. Losses over longer horizons are considered using scenario analysis or Monte Carlo simulation. This paper proposes a simple multi-period credit risk model and uses Taylor expansion approximations to estimate the multi-period loss distribution. In this paper we extend the currently available second-order Taylor expansion approximations to credit risk with a third-order term and we use this new approximation to obtain the loss distribution in the multi-period framework. Our results show that the approximation is more accurate under recessions or for portfolios with high probability of default. We also show that, in general, the effect of this third-order adjustment is quite small.     

Copula-based factor model for credit risk analysis

A standard quantitative method to assess credit risk employs a factor model based on joint multivariate normal distribution properties. By extending the one-factor Gaussian copula model to produce a more accurate default forecast, this paper proposes the incorporation of a state-dependent recovery rate into the conditional factor loading and to model them sharing a unique common factor. The common factor governs the default rate and recovery rate simultaneously, implicitly creating their association. In accordance with Basel III, this paper shows that the tendency toward default during a hectic period is governed more by systematic risk than by idiosyncratic risk. Among those considered, the model with random factor loading and a state-dependent recovery rate is shown to be superior in terms of default prediction.     

平安银行信用卡发展历程

2007年 4月16日,平安银行信用卡客户服务热线40088-24-365开通. 5月21日,平安银行信用卡发卡工作全面启动,中国平安万里通联名信用卡诞生,成为国内最具保障功能的联名信用卡之一,初步显示出中国平安集团整合旗下银行与保险资源的强大综合金融优势.     

信用卡业务数据优化分析

目前,国内信用卡业务利用数据分析技术支持转型已成普遍共识,数据分析方法论备受关注.从统计学的角度,数据分析方法论分为数据收集、数据加工和整理、数据分析等三个主要阶段.从IT公司实践角度,全球企业级数据仓库、分析型应用和数据仓库服务领域的领导厂商NCR将数据分析方法论分为5个阶段,包括定义业务问题范围、选取与抽样、探索型数据分析、建模和实施等;领先的数据分析软件供应商SAS公司也提出了数据分析的6步分析法.     

Determinants of international credit allocation: An analysis of US lending by Japanese banks, 1988 to 1994

The central issues addressed are the extent and causes of interdependency between Japanese banks' domestic and US lending. We examine hypotheses that domestic and US credit allocations by Japanese banks during the late 1980s and early 1990s are related through their mutual dependence on capital availability, and that the unique information role of banks as financial intermediaries leads to complementarity between their domestic and international lending. Both hypotheses receive support. Related conclusions are that economic and regulatory conditions in Japan strongly influence the extent of Japanese banks' US lending.     

临时调高信用额度的法律分析

每逢节假日,发卡银行往往会主动给持卡人按一定比例临时调高信用额度(不包含经客户申请后调整信用额度),以备持卡人节假日便利消费之需.临时调高信用额度,一般只针对部分信用良好、近期频繁使用信用卡的优质客户.作为一项贴心服务,银行将之视为为优质客户提供的福利,并不是每个持卡人均可享受.然而,从媒体反映的情况看,持卡人并不领情,临时调高信用额度招致抱怨声一片.     

An integrated multi-model credit rating system for private firms

This paper presents a integrated credit risk modelling approach for private firms which fulfil 2001 Basel Accord requirements in the case of the adoption of the foundation approach. Our model comprises: (a) a bottom-up technique to initially assess the through-the-cycle one-year Probability of Default (PD) and (b) a top-down approach to refine and calibrate this historical PD in a forward-looking credit risk assessment based on next year’s economic outlook. We present findings from applying this model to a large sample of client firms of the Bank of Rome.     

Trade credit and credit rationing

Asymmetric information between banks and firms can precludefinancing of valuable projects. Trade credit can alleviate thisproblem by incorporating the lending relation the private informationheld by suppliers about their customers. Incentive compatibilityconditions prevent collusion between two of the agents (e.g.,the buyer and the seller) against the third (e.g., the bank).Consistent with the empirical findings of Petersen and Rajan(1995), firms without relationships with banks resort more totrade credit, and sellers with greater ability to generate cashflows provide more trade credit. Finally small firms react tomonetary contractions by using trade credit, consistent withthe empirical results of Nilsen (1994).     

数据分析在信用卡业务中的定位与价值

数据分析在成熟的信用卡市场已成为促进业务发展的普适方法,国内同业正加快引进和积极实践.如何利用数据分析技术、工具和方法,挖掘市场机会、提升业务效益渐成大家共同关注的课题.本文结合实践,从战略、功能、流程三个维度,探讨数据分析在国内信用卡业务中的定位,以有效发挥数据分析的作用.     

Problems in applying discriminant analysis in credit scoring models

Since the mid-1960s financial institutions and other creditors with increasing frequency have applied credit scoring and related loan review procedures to appraise the creditworthiness of loan applicants. The passage of the Equal Credit Opportunity Act and promulgation of the Federal Reserve's Regulation B to implement this act place an important burden on institutions that are subject to the regulation and that employ screening models to ensure that their procedures are statistically and methodologically sound.This paper reviews the types of credit scoring models that have been described in various journals. It gives particular attention to the methodological approaches that have been employed and the statistical problems associated with those models using discriminant analysis techniques. The paper points out that the statistical scoring models discussed in the literature have focused primarily on the minimization of default rates, which is in fact only one dimension of the more general problem of granting credit. To the extent that for the lender profit maximization or cost minimization is, or should be, the objective of a scoring model, then most of the applied literature seems incomplete. The paper also shows that, even ignoring these shortcomings, the models used typically suffer from statistical deficiencies. And it finds that some of the problems of these models seem to be inherent in the discriminant analysis techniques employed or seem to be hard to remedy, given the state of the art concerning estimation and sampling procedures.     

农户信用评价体系设计探析

农户信用体系是指以农户、村组、乡镇为工作对象以其借贷关系及其他社会往来所形成的资信状况为标准以特定的原则和程序开展的信用评定、管理以及相应的信贷服务等活动的社会化体系.     

造纸业风险分析与商业银行授信政策

信用风险仍是中国商业银行面临的主要风险,授信政策对于商业银行控制风险至关重要,本文对中国造纸业的运行态势和面临风险进行了全面分析,并对商业银行的授信政策提出了建议,为中国银行业在造纸行业信贷的发放提供了重要参考建议。     

On the nature of credit demand and credit rationing in competitive credit markets

Conventional analyses of the credit rationing problem seek to explain that problem within the context of classic demand analysis. In this paper we demonstrate that it is generally inappropriate to apply the notion of classic demand to credit markets, consequently, conventional notions of credit rationing must be rejected. In providing a new definition of credit rationing we also establish the previously rejected characterized by credit rationing.