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Credit rating a ryzyko kredytowe emitenta

100%
Chodnicka-Jaworska P., Jaworski P.
Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace
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2018
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issue 2
171-182
EN
The purpose of this paper is to analyse the impact of country's credit rating on issuers' credit risk measured by the difference between bond yields and IRS spreads. Based on literature review, the following hypothesis has been proposed: the decrease and increase of credit ratings have a statistically significant impact on the issuers' credit risk. The study was conducted using event study methodology, Thomson Reuters Database data for the period 1990-2016 and S&P, Fitch and Moody foreign long-term issuer credit ratings. Ten-year treasury bonds and IRS spreads were used to verify the hypothesis.
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Uwagi na temat zastosowania metody DEA do ustalania zdolności kredytowej

63%
Guzik B.
Przegląd Statystyczny
|
2009
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vol. 56
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issue 2
3-24
EN
The article points out some disadvantages of traditional (based on DEA methodology) procedure of estimating credit capacity which consists in solving CCR and BCC models and estimating a discriminant function where efficiency indicator is a dependent variable and inputs and outputs used in DEA models are independent variables. Since the main problems with this procedure are connected with discriminant function, the author suggests a procedure of credit capacity estimation which uses no discriminant function. The new method is based on DEA methodology, particularly on super-efficiency DEA models (SE-DEA models) with permitted benchmarks. Comparing the credit capacity indicator (here: ranking indicator) with cut-off points enables objects classification.
PL
W artykule wskazano, że tradycyjna dla DEA procedura określania zdolności kredytowej poprzez rozwiązanie zadania CCR lub BCC oraz oszacowanie funkcji dyskryminacyjnej jako funkcji regresji, w której zmienną zależną jest wskaźnik efektywności, a zmiennymi niezależnym są użyte w zadaniu DEA zmienne charakteryzujące nakłady oraz rezultaty ma wiele wad. Głównie dotyczą one funkcji dyskryminacyjnej. W związku z tym zaproponowano procedurę określania zdolności kredytowej w ogóle bez funkcji dyskryminacyjnej. Procedura cały czas opiera się na pojęciach i metodach DEA. W szczególności proponuje się wykorzystanie modelu nadefektywności DEA, a zamiast funkcji dyskryminacyjne proponuje się użyć modeli SE-DEA z dozwolonymi wzorcami. Typowanie obiektów do grup odbywa się tradycyjnie, poprzez porównanie miernika zdolności kredytowej (tu: wskaźnika rankingowego) z punktami odcięcia.
3
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Analiza, szacowanie poziomu i zarządzanie ryzykiem kredytowym

51%
Borawska A.
Roczniki Nauk Społecznych
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2006
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vol. 34
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issue 3
169-186
EN
Credit risk is an indispensable factor for banks. It means that there is a danger for the borrower not to fulfil his or her liabilities and the conditions of the credit contract, facts that would expose a bank to financial losses. Therefore the constant tendency is to minimise the level of the credit risk. The most important mechanism to reduce the individual risk is to examine the credit capacity of a potential borrower. Now as regards the wallet risk, one most often diversifies the overall credit engagement of the bank. Giving a loan is dependent on the credit capacity of the borrowers, which is understood as the capacity to pay back the loan together with interest in due term. Credit-scoring is a continuous process, thus it is extremely important to monitor borrowers as one of the tools to ensure a proper structure and quality of the credit wallet of the bank. The measurement of credit risk is indispensable during the whole process of crediting, hence also while the credit contract is valid. The grounds of the management of credit risk is the credit policy of the bank. This policy together with the instruments of risk management allow us to effectively manage the risk, a fact that contributes to the bank’s success.
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