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1.
农村小额信贷违约风险分析 总被引:1,自引:0,他引:1
随着近几年来建设社会主义新农村方针的进一步落实,我国农村信用社得到了长足的发展,其支持农村经济发展的地位日益重要。由于农户和农村信用社之间信息不对称,致使贷款偿还率不尽如人意,小额信贷的可持续发展也面临挑战。从我国农村小额信贷的实践经历与发展现状入手,分析了我国农村小额信贷业务的风险。根据小额信贷借贷双方的客观情况,运用博弈方法进行分析,得出结论,为我国农村小额信贷发展提出建议。 相似文献
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The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans 总被引:1,自引:0,他引:1
Stefano Caselli Stefano Gatti Francesca Querci 《Journal of Financial Services Research》2008,34(1):1-34
We verify the existence of a relation between loss given default rate (LGDR) and macroeconomic conditions by examining 11,649
bank loans concerning the Italian market. Using both the univariate and multivariate analyses, we pinpoint diverse macroeconomic
explanatory variables for LGDR on loans to households and SMEs. For households, LGDR is more sensitive to the default-to-loan
ratio, the unemployment rate, and household consumption. For SMEs, LGDR is influenced by the total number of employed people
and the GDP growth rate. These findings corroborate the Basel Committee’s provision that LGDR quantification process must
identify distinct downturn conditions for each supervisory asset class.
相似文献
Francesca Querci (Corresponding author)Email: |
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个人股票质押贷款刍议 总被引:2,自引:0,他引:2
在现有法律构架下,如果不能在认识和相应的政策上有所突破,开办个人股票质押贷款的银行将陷入两难的境地:业务需要创新,但质押登记环节无法回避,业务的合法性受到挑战,银行潜在的法律纠纷会很多,甚至在集中爆发时影响到整个金融体系的稳定。 相似文献
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Ren-Raw Chen Brian A. Maris & Tyler T. Yang 《Journal of Business Finance & Accounting》1999,26(1-2):33-55
To value mortgage-backed securities and options on fixed-income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi-factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage-backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single-factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single-factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered. 相似文献
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This paper develops a valuation model for fixed-rate mortgages, mortgage pools, and residential mortgage-backed securities (RMBS's) using an intensity-based approach. This model incorporates full prepayment, partial prepayment, and default in valuing a mortgage. Full prepayment is further classified into “refinancing” and “sale of a house” depending on the reason. The time of occurrence of each of these three types of prepayment and default is modeled as the first jump time of a Cox process. Under these conditions, the valuation formula for a mortgage as well as a partial differential equation (PDE) that the mortgage value satisfies is provided. As for implementation of the model, the short-term riskless interest rate and the house price are adopted as state variables. Each intensity process is specified in a manner that allows a jump in intensity depending on the state variables and the borrower's incentive for prepayment or default. Through such specifications, it is shown that our model has characteristics similar to some structural models in previous literature. As for the numerical method for valuation, we propose a simple backward induction technique on a tree instead of the commonly used Monte Carlo method. Additionally, the method for estimating the model is discussed, and the results of numerical simulations are reported.This paper represents the view of the author and does note necessarily the views of the Mitsubishi UFJ Securities Co., Ltd. or members of its staff. 相似文献
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Ambrose Brent W. Sanders Anthony B. 《The Journal of Real Estate Finance and Economics》2003,26(2-3):179-196
One of the major developments in real estate finance during the 1990s was the emergence of a viable market for commercial mortgage backed securities. The growth in this market has spurred greater interest in empirical and theoretical research on commercial mortgage default and prepayment. We employ a competing risks model to examine the default and prepayment behavior of commercial loans underlying CMBS deals. We find that changes in the yield curve have a direct impact on the probability of mortgage termination. Furthermore, we do not find any statistical relationship between LTV and prepayment or default. 相似文献
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This paper uses novel data on the performance of loan pools underlying asset-backed securities to estimate a competing risks model of default and prepayment on subprime automobile loans. We find that prepayment rates increase rapidly with loan age but are not affected by prevailing market interest rates. Default rates are much more sensitive to aggregate shocks than are prepayment rates. Increases in unemployment precede increases in default rates, suggesting that defaults on subprime automobile loans are driven largely by shocks to household liquidity. There are significant differences in the default and prepayment rates faced by different subprime lenders. Those lenders that charge the highest interest rates experience the highest default rates, but also experience somewhat lower prepayment rates. We conjecture that there is substantial heterogeneity among subprime borrowers, and that different lenders target different segments of the subprime market. Because of their higher default rates, loans that carry the highest interest rates do not appear to yield the highest expected returns. 相似文献
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Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results
As a measure of systematic risk, the lower partial moment measure requires fewer restrictive assumptions than does the variance measure. However, the latter enjoys far wider usage than the former, perhaps because of its familiarity and the fact that two measures of systematic risk are equivalent when return distributions are normal. This paper shows analytically that there are systematic differences in the two risk measures when return distributions are lognormal. Results of empirical tests show that there are indeed systematic differences in measured values of the two risk measures for securities with above average and with below average systematic risk. 相似文献
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近几年,我国农林牧渔业短期贷款企业的违约严重程度一直居所有行业之首,从跨行业的角度评估该行业短期贷款企业的违约具有重要意义。本文基于全国跨银行的贷款企业海量数据库样本,针对农林牧渔业的短期贷款企业进行了分规模和分地区样本的多元判别分析模型、Logistic模型与神经网络模型等的构建与实证探索,进而找出了影响我国农林牧渔业企业违约的关键变量,构建了最佳违约判别模型。这些关键变量和判别模型对中国人民银行和各商业银行监测该行业企业的信用风险具有重要的参考价值。 相似文献
11.
Andreas Milidonis 《North American actuarial journal : NAAJ》2016,20(3):252-275
Default risk in equity returns can be measured by structural models of default. In this article we propose a credit warning signal (CWS) based on the Merton Default Risk (MDR) model and a Regime-Switching Default Risk (RSDR) model. The RSDR model is a generalization of the MDR model, comprises regime-switching asset distribution dynamics, and thus produces more realistic default probability estimates in cases of deteriorating credit quality. Alternatively, it reduces to the MDR model. Using a dataset of U.S. credit default swap (CDS) contracts around the 2007-8 crisis we construct rating-based indices to investigate the MDR and RSDR implied probabilities of default in relation to the market-observed CDS spreads. The proposed CWS measure indicates an increase in implied default probabilities several months ahead of notable increases in CDS spreads. 相似文献
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Based on the Black and Scholes (Black, F., and M. Scholes. (1973). The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637–659) and Merton (Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29, 449–470) (BSM) contingent claims model, and KMV Corporation framework, we estimate the distance to default and the “risk
neutral” default probabilities for a sample of 112 real estate companies over the period 1980 to 2001. Our empirical results
classifies failed and non-failed companies into Type I error, cases that the BSM-type model fails to predict default when
it did occur, and Type II error where BSM-type model predicts default when it did not occur. We find that none of the companies
belong to the category of Type I error. Type II error is observed in 12 out of 112 companies. These results support the theoretical
underpinnings of the BSM-type structural model in that the two driving forces of default are high leverage and high asset
volatility. 相似文献
13.
我国证券市场的飞速发展已对商业银行的信贷业务产生了深远的影响。必须采取对策,加快金融创新,发展消费信贷,开拓新的优质客户,开辟新的利润来源。 相似文献
14.
Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(2):93-111
This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage
backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience
the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to
disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical
area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation
within and between clusters.
相似文献
Yildiray YildirimEmail: |
15.
违约风险模型对违约定义的敏感性研究 总被引:1,自引:0,他引:1
本文根据贷款信用风险四级分类和五级分类定义三种违约,运用商业银行的贷款企业会计数据分析了Logistic违约风险模型对违约定义的敏感性。实证研究表明,在三种违约定义下,违约模型的结构相似,但模型选择的变量和变量的显著水平存在差异,违约模型对违约定义具有敏感性。 相似文献
16.
MICHAEL SCHWERT 《The Journal of Finance》2017,72(4):1683-1722
This paper examines the pricing of municipal bonds. I use three distinct, complementary approaches to decompose municipal bond spreads into default and liquidity components, and find that default risk accounts for 74% to 84% of the average spread after adjusting for tax‐exempt status. The first approach estimates the liquidity component using transaction data, the second measures the default component with credit default swap data, and the third is a quasi‐natural experiment that estimates changes in default risk around pre‐refunding events. The price of default risk is high given the rare incidence of municipal default and implies a high risk premium. 相似文献
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本文对小额贷款风险的国内外研究综述,主要包括小额贷款的内涵,小额贷款的风险因素,小额贷款的风险评价,小额贷款的风险管理.在此基础上探讨目前研究中存在的不足及未来的研究趋势. 相似文献