Articles liés à Risk Management Sophistication and Bank Profitability

Risk Management Sophistication and Bank Profitability - Couverture souple

Gurov, Andrey

 
9783659517310: Risk Management Sophistication and Bank Profitability
Couverture souple
ISBN 10 : 3659517313 ISBN 13 : 9783659517310
Editeur : LAP LAMBERT Academic Publishing, 2014

Synopsis

This work investigates the latest developments in commercial banking with regard to the measurement and management of risk and analyzes their effect on mid-market financial institutions. We look at how the implementation of advanced rating techniques influences the competitive position of market participants depending on their portfolio structure and competitive environment. To simulate rating sophistication we assume that in the process of credit assessment banks observe noisy signals about the creditworthiness of credit applicants. In the case of a competitive market then banks offer differing interest rates based on their loss estimates, whereas the customer chooses the credit with the lowest price. A simulation procedure is used in order to quantify the resulting profitability effects. The analysis reveals profitability differentials depending on the rating accuracy in different sections of the portfolio, the structure of the rating scale, and the specific competitive environment.

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Présentation de l'éditeur

This work investigates the latest developments in commercial banking with regard to the measurement and management of risk and analyzes their effect on mid-market financial institutions. We look at how the implementation of advanced rating techniques influences the competitive position of market participants depending on their portfolio structure and competitive environment. To simulate rating sophistication we assume that in the process of credit assessment banks observe noisy signals about the creditworthiness of credit applicants. In the case of a competitive market then banks offer differing interest rates based on their loss estimates, whereas the customer chooses the credit with the lowest price. A simulation procedure is used in order to quantify the resulting profitability effects. The analysis reveals profitability differentials depending on the rating accuracy in different sections of the portfolio, the structure of the rating scale, and the specific competitive environment.

Biographie de l'auteur

Andrey Gurov has 15 years of professional experience, holding consulting and management positions with US and Austrian banks. He has developed various credit rating models, which are used in more than 100 financial institutions throughout Europe. Currently, he is an Assistant Professor of Economics/Finance at the American University in Bulgaria.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2014
Langue
anglais
ISBN 10 
3659517313
ISBN 13 
9783659517310
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
non disponible
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