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FUNCTIONALITY OF THE SCORING AND RATING MODELS IN THE LIGHT OF IMPLEMENTATION OF NEW REGULATIONS (Funkcjonalnosc modeli scoringowych i ratingowych w swietle implementacji nowych uregulowan)

100%
Pawlowska B.
Ekonomia. Rynek, Gospodarka, Społeczeństwo
|
2008
|
issue 21
96-119
EN
The paper's intention is to present the functionality of the scoring and rating models approved by the New Capital Agreement (NCA) and the Capital Requirements Directive (CRD) in the context of credit risk management. The know-how transfers initiated the process of superseding the traditional credit risk assessment methods by new methods. The scoring and rating models are being successfully used by foreign banking institutions. A synthesis of views on credit risk assessment methods (credit scoring and credit rating) also results from many advantages that occur as well on the side of the banking institutions as on the side of their clients. The credit scoring and credit rating models automatize the banking credit procedures by providing an objective assessment of all the credit applications. In addition, standardized scoring and rating models reduce the costs related to the credit applications analysis. The existing interest in modem methods of credit risk quantification in the period of implementing the NCA/CRD inspired the authoress to formulate the thesis that the scoring and rating models would continue to enjoy interest on the part of the domestic banking institutions (i.e. co-operative banks). The complicated procedures of determining the capital adequacy prescribed by the CRD will make a stimulus to implementation of the models in question by the financial institutions that have hitherto been using traditional creditworthiness assessment methods, because the new methods simplify and accelerate the analysis of credit applications and have been included in the framework of admitted credit risk quantification methods for internal ratings. The universal functionality of scoring and rating makes the models more and more popular and demanded. In the long run, automation of processes and an elastic offer adapted to the client's profile will decide on the financial institution's competitive position. Wherever there is need for automatism and maximum objectiveness, the scoring- and rating-based assessment win most probably find new advocates.
2

Współczynnik wypłacalności jako miara adekwatności kapitałowej banków w Polsce

80%
Kochaniak K.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2012
|
issue 889
17-48
EN
The paper presents one of the most important measures in the Polish banking sector, the Capital Adequacy Ratio, which since 1990 has been an indicator of the safety and financial stability at particular banks and throughout the banking system. At the beginning, the measure originally provided information about the equity coverage of credit risk. Over the last 20 years it has been systematically modified, as further risks were identified in the banking industry. All those changes were accompanied by variations of the definition of bank equity. The modifications of legal regulations led to inconsistency in CAR values in groups of commercial and cooperative banks. The aim of this paper is to present those legislative changes which had a significant impact on the metric’s formula in the years 1990–2009, and to answer the following questions: Were there any significant differences between the values of CAR in groups of commercial and cooperative banks in the years 2002–2009? Were groups of banks threatened with an inappropriate CAR value? Did the changes in legal acts affect changes in the value of the measure analysed? Was the growth of risk accompanied by a sufficient increase in the groups’ equity? Empirical analysis was conducted on financial data published by the Polish Financial Supervision Authority.
3

THE USE OF FUZZY LOGIC IN ESTIMATING THE RISK OF GRANTING OF A RENEWABLE CREDIT LIMIT (Zastosowanie logiki rozmytej do oceny ryzyka przyznania limitu odnawialnego)

80%
Konopka P.
Optimum. Studia Ekonomiczne
|
2010
|
issue 2 (46)
169-182
EN
In his article the author presents the model of risk assessment concerning granting of a renewable credit limit. For this purpose the notions of fuzzy set theory and fuzzy logic have been utilized. The presented model is based on two linguistic input variables being risk factors, and one linguistic variable describing the risk itself. Based on expert knowledge and assumptions concerning the credit policy of the bank, the analyst assigned relevant fuzzy sets to each variable and determined their limits. Having obtained in this way risk factors, one can construct the fuzzy rules base. In order to determine the fuzzy value describing the risk, defuzzyfication is used by means of the centre of gravity method. The final part of the paper presents a proposal to generalize the model utilizing a bigger number of risk factors and it indicates further possible research trends.
4

ANALÝZA INTEGROVANÉHO TRHOVÉHO A KREDITNÉHO RIZIKA NA PRÍKLADE BANKOVÉHO SEKTORA NA SLOVENSKU

80%
Barnhill T., Gertler Ľ., Sivák R.
Ekonomický časopis (Journal of Economics)
|
2006
|
vol. 54
|
issue 6
539-554
EN
The research uses a portfolio simulation approach (PSA) to analyze an integrated market and credit risk of the Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the potential losses faced by the financial institutions operating in Slovakia due to the correlated market and to the credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explicitly links changes in the interest rates, the foreign exchange rates and the sector of GDP in Slovakia, with the distribution of the possible future capital ratios of the Slovak hypothetical banks. The model discussed in the article does not aim at evaluating the current state of the financial risk measurement methods in the banking sector in Slovakia, thus it proposes a methodology of how to solve the relations between the market risk and the credit risk measurements in the specific bank portfolio.
5

A NEURAL NETWORK APPROACH FOR BANK CREDIT DECISIONS (Podejmowanie decyzji kredytowych w oparciu o sztuczne sieci neuronowe)

80%
Rubin B.
Optimum. Studia Ekonomiczne
|
2010
|
issue 1(45)
138-152
EN
To grant a bank credit or not is very important for effective bank management. A standard approach of computer decision support systems is based on spread sheets. The artificial neural network approach gives more possibilities to analyze credit decisions, to classify entities applying for credits according to their credibility, including different groups of risk. In this work, the authoress presents a review of various neural network topologies appliance and net trained using various algorithms for dichotomous and polytomic classification. Classification errors were compared and the most effective net was determined. Advantages and disadvantages of described method were shown, which indicate the right appliance of artificial neural networks for the analysis of loan debtors. The usage of artificial networks can rationalize and speed up the process of granting credits, as well as provide a basis for a secondary verification of refused applications.
6

The economic and mathematical background to the Basel II internal ratings-based method and the theory of granularity correction

80%
Janecsko B.
Kozgazdasagi Szemle (Economic Review)
|
2004
|
vol. 51
|
issue 3
218-234
EN
The article presents the economic model used to quantify credit risks under the Basel II capital accord, which is likely to come into force in 2007, and the mathematical background to this. It employs simplified assumptions to model insolvency courses (the probability of insolvency being proxied by a single common macroeconomic factor) and the size distribution of portfolio receivables (each negligible in size compared with the whole portfolio). Thus the risk contributions by parts of the portfolio (or even a single receivable) can be gauged simply from knowing their risk characteristics. Lending banks have to cover the risk contributions with regulated amounts of capital, which in this model stand for the economic capital requirement of the transactions. The big advantage of the Basel II model, therefore, is that the capital requirement of a specific transaction by a specific debtor rests only on the risk features of the debtor and the transaction. Determining capital requirement does not require detailed knowledge of the transaction's portfolio, and a basically portfolio-oriented economic model can generate general, portfolio-independent rules for capital creation. The paper also considers in what cases rejection of the criterion of infinitely fine granularity causes a significant increase in risk and how a prudent capital requirement can be determined by simple means in such cases. This increase in capital requirement independent of portfolio concentration and relatively easy to calculate is called the granularity adjustment. The adjustment values for homogenous portfolios of insolvency risk of different granularities are also givenin table form.
7

The Application of DEA Method in Evaluating Credit Risk of Companies

80%
Ferus A.
Contemporary Economics
|
2010
|
issue 4(16)
107-114
EN
The subject of the present article is a new procedure forecasting credit risk of companies in Polish economy environment. What favors the suggested approach is the fact that in Poland, unlike in western countries, DEA method has not yet been implemented in order to assess credit risk that companies face. The research described in the article has been conducted on the basis of comparison of suggested DEA method with currently used procedures, namely point method, discriminative analysis and linear regression. Considering the research, it can be concluded that DEA method facilitates forecasting financial problems, including bankruptcy of companies in Polish economic conditions, and its effectiveness is comparable or even greater than approaches implemented so far.
8

TRANSACTIONS SECURITY TOOLS IN ACCOUNT RECEIVABLES MANAGEMENT (Zabezpieczenie naleznosci jako element polityki kredytowe przedsiebiorstwa)

80%
Wodynska A.
Contemporary Economics
|
2008
|
issue 1(5)
11-24
EN
Large competition among goods and services suppliers caused that granting clients deferred term of payment became a standard, so in other word granting clients commercial credit is a standard. Companies try to limit credit risk by securing their trade transactions in accordance with their credit policy that determines in some way the choice of trade transaction security tools. This article presents a full range of trade transaction security tools according to the general division into personal and property securities. The author pays attention to the fact that while conducting a proper credit policy in relation to clients, a company has chances to monitor efficiently the receivables and insist on their payment as well as use, as needed, the earlier prepared trade transaction security tools. The author convinces that regardless of the choice of trade transaction security tools, or reasons leading the receivables managing person, the basic criterion of security evaluation shall be its real, checked and verified value. The pledge on an object that does not exist is not worth much. The same applies to security granted by an insolvent person.
9

NOTE ON THE VASICEK’S MODEL WITH THE LOGISTIC DISTRIBUTION

80%
Witzany J.
Ekonomický časopis (Journal of Economics)
|
2013
|
vol. 61
|
issue 10
1053 – 1066
EN
The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek’s) formula. In fact, such a model would be consistent with the standard logistic regression probability of default modelling approach. An empirical study based on the US commercial bank’s loan historical delinquency rates from the period 1985 – 2012 re-estimates the default correlations and unexpected losses for the normal and logistic distribution models. The results indicate that the capital requirements could be up to 100% higher if the normal Vasicek’s model was replaced by the logistic one.
10

MODELING A DISTRIBUTION OF MORTGAGE CREDIT LOSSES

70%
Gapko P., Šmíd M.
Ekonomický časopis (Journal of Economics)
|
2012
|
vol. 60
|
issue 10
1005 – 1023
EN
In our paper, we focus on the credit risk quantification methodology. We demonstrate that the current regulatory standards for credit risk management are at least not perfect. Generalizing the well-known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers’ assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage delinquency rates. We give statistical evidence that the non-normal model is much more suitable than the one which assumes the normal distribution of risk factors. We point out in what way the assumption that risk factors follow a normal distribution can be dangerous. Especially during volatile periods comparable to the current crisis, the normal-distribution-based methodology can underestimate the impact of changes in tail losses caused by underlying risk factors.
11
Content available remote

Wybrane czynniki ryzyka hipotecznych kredytow miesz­kaniowych i ich wplyw na stabilnosc gospodarstw domowych w Polsce

70%
Willmann M.
Nauki o Finansach
|
2011
|
issue 6
208-222
EN
The article provides a brief presentation of the residential mortgage loan portfolio structure with a special focus on the portfolio's quality and its potential fluctuations resulting from the materialization of the analyzed risk factors. The presentation will consider first and foremost to what extent selected risk factors related to residential mortgage loans influence stability and financial standing of households. For reasons of space, the following selected factors will be discussed in the paper: loan currency, LTV, FX rates fluctuations and the term of the loan. Theoretical discussion has been illustrated by several figures and tables.
12

ANALÝZA ŘÍZENÍ RIZIK SEKTORU STAVEBNÍCH SPOŘITELEN V ČESKÉ REPUBLICE

61%
Horváth R., Teplý P.
Ekonomický časopis (Journal of Economics)
|
2013
|
vol. 61
|
issue 1
24 – 46
EN
The article investigates risks of building societies in the Czech Republic, both theoretically and practically, focusing on the liquidity and interest rate risk. We show that these two risks are more theoretical and are not threatening the sector in an extensive manner recently. Nevertheless, the stability of this sector can be undermined by hasty government reforms. In addition, we use the vector auto regression model to examine the interest rate pass-through into bank and building society interest rates in 2004 – 2011. The results indicate that the building society interest rates are more stable and less responsive to interbank market rates as well as to government bond yields. This conclusion follows from the institutional setting of building societies.
13

GIVING AND USING BANK LOANS IN THE LIGHT OF CERTAIN ECONIMIC THEORIES (Udzielanie i korzystanie z kredytów bankowych w swietle wybranych teorii ekonomicznych)

61%
Palasz-Bockowska K. B.
Pieniądze i Więź
|
2010
|
vol. 13
|
issue 2(47)
EN
Economic theories explain the phenomena and processes occurring in the economy in different ways. However, the views of many historians of economic thought are converging in the role of credit in economic and social life. According to Keynes, the bank loan is a factor that stimulates domestic demand, increases the purchasing power of households. It enables producers to increase production, by increasing sales of manufactured goods. Schumpeter, for a change, in his deliberations dealt with the importance of lending for entrepreneurs and its impact on economic development. In his opinion, loans for economic purposes are creating new purchasing power and enable access to the stream of goods. The role of bank credits in the economy is significant due to the fact that they: - allow adjusting the financial needs of households to their incomes, - create an additional source of funding for the purchase of goods, - improve access to capital for financing business, - finance innovations, - contribute to the elimination of inefficient market traders and the reallocation of freed capital resources to more efficient spheres.
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