Model interpretability may be defined as the degree to which a human can understand the cause of its outputs. In statistical modeling there is a trade-off between interpretability and prediction accuracy: interpretable models are usually less accurate, whereas complex models hav…
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Banking failures and systemic banking problems are reasonably frequent and very costly events around the world. The measuring of the risk exposure of a bank is one the main hurdles for bank managers as well as for bank regulators. Thus, a large amount of work is ongoing to devel…
The main objectives of the study are to describe the development of the credit cards worldwide, in the Arab countries and in Egypt as well as to show that the credit cards business for Egyptian banks has high profitability and low risk. This is important for banking policy maker…
The objective of this study is to investigate credit risk mitigating techniques adopted by Bank Perkreditan Rakyats (People Credit Banks) in Indonesia. The study found that BPRs in general use the basic and simple banking practices in order to minimize the administrative cost, a…
The Saudi Government’s 2030 Vision directs local banks to increase and improve credit for the Small and Medium Enterprises (SMEs) of the economy (Jadwa, 2017). Banks are, however, still finding it difficult to provide credit for small businesses that meet Basel’s capital require…
The recent U.S. subprime mortgage crisis rapidly spread throughout the world and put the global financial system under extraordinary pressure. The main implication of the recent crisis is that complex banking regulations failed to adequately identify and limit riskiness of banki…
Credit Default Swaps (CDS) instruments - as an indicator of credit risk - were one of the most prominent innovations in financial engineering. Very limited literature existed on the drivers of CDS spreads before the financial crisis due to the opacity of this market and its lack…
This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge…
This thesis studies the Chinese banks’ credit risk assessment using the Post Keynesian approach. We argue that bank loans are the major financial sources in emerging economies and it is uncertainty, an unquantifiable risk, rather than asymmetric information about quantifiable ri…
To leverage Africa's growth trajectory the continent's large infrastructure deficit needs to be addressed, which is likely to be funded through raising debt. Sub-Saharan African sovereigns have often looked to international markets to raise debt which exposes them to exchange ra…
O objetivo deste trabalho final de mestrado é identificar e analisar quais as variáveis que têm maior impacto na evolução de Empréstimos não produtivos em Portugal (Non-Performing Loans). O período de análise será entre 2009 e 2019, tendo início após a crise de "subprime" de 200…
This limited scope dissertation assesses whether banks registered in terms of the Banks Act no. 94 of South Africa (South Africa, 1990) are classifying financial instruments into their appropriate fair value hierarchy level, as well as the extent to which they are complying with…
This thesis consists of two self-contained studies in Debt Valuation Adjustments (DVAs). The first study is motivated by the debate about the introduction of the Fair Value Option for financial Liabilities (FVOL) and the requirement to recognize and separately disclose DVAs in f…
Neste artigo, analiso os determinantes do rendimento dos títulos soberanos a 10 anos em relação à Alemanha para um painel de 10 países da área do euro para um período entre 1999 e 2019. Além das variáveis habituais, como o vix, taxa de câmbio efetiva real, saldo orçamental esper…
In recent times, credit risk analysis has grown to become one of the most important problems dealt with in the mathematical finance literature. Fundamentally, the problem deals with estimating the probability that an obligor defaults on their debt in a certain time. To obtain su…