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Articles 1 - 3 of 3
Full-Text Articles in Law
Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu
Stochastic Modeling Of Retail Mortgage Loans Based On Past Due, Prepaid, And Default States, Chang Liu
Doctoral Dissertations
Stochastic models were developed that provide important measures related to retail mortgages and credit cards for the management of a bank. Based on Markov theory, two models were developed that predict mortgage portfolio size and expected duration of stay in each of the states, which are defined according to the criteria of Basel Accord II and the Federal Reserve Bank. Also, to facilitate comparisons among different types of credit products and different time periods, a model was developed to generate a health index for a retail mortgage. This model could be easily extended, using multivariate regression or multivariate time series …
The Evolving And Challenging Roles Of Certain International Financial Institutions In Developing Countries Under International Law With Particular Reference To Nigeria, South Korea, And Brazil, Sunday C. Ogbodo
Theses and Dissertations
It is no secret that the developing countries and their fragile economies have been struggling all the way from the twentieth (20th) century into the twenty first (21 st) century. It is equally known that the roles of the International Financial Institutions (IFIs) have been evolving partly as a result of their internal developments, and partly as a result of external developments occurring in the international environment that they operate in. It is the realization of the foregoing, and with hopes of finding ways that the IFIs can positively impact the developing countries in their quest for sustained development, that …
Industry Value At Risk In Australia, Robert Powell
Industry Value At Risk In Australia, Robert Powell
Theses: Doctorates and Masters
Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value at Risk (CVaR) measures …