Name: The Banking Revolution: Navigating Finance in the 21st Century: Navigati (en Inglés)
Price: 42580.00 CLP
Availability: InStock
Author: Joey, Kevan
ISBN: 9781087970752

portada The Banking Revolution: Navigating Finance in the 21st Century: Navigati (en Inglés)

Formato

Libro Físico

Autor

Kevan Joey

Editorial

Indie Publisher

Idioma

Inglés

N° páginas

102

Encuadernación

Tapa Blanda

Dimensiones

22.9 x 15.2 x 0.6 cm

Peso

0.16 kg.

ISBN13

9781087970752

Categorías

Islámicos y musulmanes
Banca

The Banking Revolution: Navigating Finance in the 21st Century: Navigati (en Inglés)

Kevan Joey (Autor) · Indie Publisher · Tapa Blanda

Libro Físico

$ 42.580

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Origen: Estados Unidos (Costos de importación incluídos en el precio)

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Reseña del libro "The Banking Revolution: Navigating Finance in the 21st Century: Navigati (en Inglés)"

Banks accredited by their regulator to use the Advanced Internal Ratings Based (A-IRB)approach are required to provide their own estimates for calculating their minimum creditcapital; these estimates rely on statistical and analytical models to predict Probability ofDefault (PD), Loss Given Default (LGD) and Exposure at Default (EAD). This thesisfocusses on estimating EAD for banks granting revolving loans to large corporates andleverages the Global Credit Data (GCD) database.This thesis briefly discusses why risk management, particularly credit risk management, isimportant for banks and we survey the existing EAD modelling literature which to datehas had less focus than PD and LGD modelling.Our prosed methodology models both loan balance at default (EAD) and changes in loanlimit at default as random variables, modelling their joint dynamics via a two stage model- the first stage estimates the probability that limits decrease while the second stageestimates EAD conditional on changing limits. To the best of our knowledge, our approachis the first to estimate EAD and changes in loan limit directly for large corporate revolvingfacilities using the GCD database.Our model suggests that the key drivers of EAD include: limit; balance; utilisation; riskrating; and time to maturity. We also find evidence that banks actively manage limits inthe lead up to default, and that these changes in limits have substantial effects on theoutcomes of realised EAD.