Keywords: ریسک اعتباری; Momentum; Performance persistence; Government bonds; International investments; Return predictability; Factor investing; Sovereign bonds; Value; Credit risk; Volatility; G12; G14; G15;
مقالات ISI ریسک اعتباری (ترجمه نشده)
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Keywords: ریسک اعتباری; Analytical Hiyerarchy Proses; banking; multiple criteria decison making; credit risk; risk management
Keywords: ریسک اعتباری; Contingent claims; Credit risk; Sovereign credit risk
Keywords: ریسک اعتباری; C52; G21; G33; M41Credit default swaps; European banks; Credit risk; Bank risk; Financial crisis
Keywords: ریسک اعتباری; Stock returns; Financial institutions; Financial crisis; Adverse selection; Credit risk; Fair value option; SFAS 159G14; G30; G32
Keywords: ریسک اعتباری; G01Money market mutual fund; Credit risk; Copula; Default probability; Break-the-buck
Keywords: ریسک اعتباری; G01; G15; G21; Credit risk; Banks; Sovereign risk;
Keywords: ریسک اعتباری; Stress Testing; Turkish Banking Sector; Credit risk; Interest Rate Risk; Exchange Rate Risk; GMM
Keywords: ریسک اعتباری; G1; G10; G14; G15; G21Credit spreads; LIBOR; News sentiment; TRNA; Credit risk
Keywords: ریسک اعتباری; Credit risk; Default prediction; Merton model; Bankruptcy prediction; Default threshold; Assets volatilityG17; G33; G13
Keywords: ریسک اعتباری; Fair value measurement; Risk modeling; Market risk; Credit risk; Value relevanceG14; G21; G32; M41
Risk determinants in the hotel sector: Risk credit in MSMEs
Keywords: ریسک اعتباری; Hotel; Credit risk; Financial stability; Location; Z-score;
Impact of market-based finance on SMEs failure
Keywords: ریسک اعتباری; G12; G32; G33; Financial distress; Small and medium-sized enterprises; SMEs; Bankruptcy; Credit risk;
What moves benchmark money market rates? Evidence from the BBSW market
Keywords: ریسک اعتباری; Benchmark interest rates; BBSW; Credit risk; Liquidity risk; Risk Premia; Economic uncertainty; Government guarantee; G01; G12; G32;
Stationary Mahalanobis kernel SVM for credit risk evaluation
Keywords: ریسک اعتباری; Mahalanobis distance; Support Vector Machine (SVM); Indefinite; Stationary kernel; Credit risk;
The housing market and the credit default swap premium in the UK banking sector: A VAR approach
Keywords: ریسک اعتباری; G1; G2; CDS premium; House prices; UK banking sector; Credit risk; Financial crisis;
The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region
Keywords: ریسک اعتباری; Credit risk; Liquidity risk; Bank stability; MENA region; F3; G21; O16; 053;
The effect of SME reporting framework and credit risk on lenders' judgments and decisions
Keywords: ریسک اعتباری; Financial reporting framework; Qualitative characteristics; Credit risk; Lenders; Loan approval;
Political uncertainty and a firm's credit risk: Evidence from the international CDS market
Keywords: ریسک اعتباری; E44; E63; G18; G32; G33; Political uncertainty; National elections; Credit risk; Idiosyncratic volatility; Rollover risk;
A comparison study of pricing credit default swap index tranches with convex combination of copulae
Keywords: ریسک اعتباری; Copula; Convex Combination of Copulae; CDS Index; Credit Risk;
An approximate multi-period Vasicek credit risk model
Keywords: ریسک اعتباری; Finance; Credit risk; Approximate methods; Multi-period models; C15; C63; G21;
Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Keywords: ریسک اعتباری; Credit risk; Credit Default Swap; Counterparty risk; Credit Value Adjustment; Premium; Copula;
Quantitative easing and the pricing of EMU sovereign debt
Keywords: ریسک اعتباری; C23; G01; Credit risk; Sovereign yield spreads; Monetary policy; European sovereign debt crisis; Unobservable factors;
The composition of CMBS risk
Keywords: ریسک اعتباری; CMBS; Credit risk; Credit spread puzzle; Financial crisis; Liquidity premia; Market efficiency; Put-option; G12; G13;
Is there a credit risk anomaly in FX markets?
Keywords: ریسک اعتباری; Credit risk; FX markets; Currency markets; Carry trade; Anomaly; G12; G14;
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Keywords: ریسک اعتباری; Uncertainty modeling; Credit risk; Conditional Value at Risk; Conditional probability of default; Capital buffers
Measuring systemic risk using vine-copula
Keywords: ریسک اعتباری; Partial correlation; Vine copula; Credit risk;
Forecasting distress in European SME portfolios
Keywords: ریسک اعتباری; C13; C41; C53; G33; Credit risk; Distress; Forecasting; SMEs; Logit;
Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?
Keywords: ریسک اعتباری; Liquidity; Credit risk; Eurozone sovereign bonds; Financial crisis; MTS bond market; G01; G12; G14;
Financial innovation: Credit default hybrid model for SME lending
Keywords: ریسک اعتباری; G32; G33; Credit default; Credit risk; Bankruptcy; Credit scoring hybrid model; Small and medium-sized firm (SME);
Volatility spillovers in the European bank CDS market
Keywords: ریسک اعتباری; G01; G15; C58; C32; CDS spreads; Credit risk; Volatility spillovers; Financial crisis;
A free boundary problem for corporate bond with credit rating migration
Keywords: ریسک اعتباری; Credit rating migration; Free boundary; Corporate bond pricing; Structure model; Credit risk; Firm asset value;
Loan default correlation using an Archimedean copula approach: A case for recalibration
Keywords: ریسک اعتباری; Default correlation; Credit risk; Archimedean copulas;
Performance and determinants of the Merton structural model: Evidence from hedging coefficients
Keywords: ریسک اعتباری; G12; G13; Credit risk; Hedge ratios; Corporate bond spreads; Spread sensitivity; Distress; Variance Gamma; Normal Inverse Gaussian;
Basel III leverage ratio requirement and the probability of bank runs
Keywords: ریسک اعتباری; G21; G28; Bank regulation; Basel capital; Leverage ratio; Credit risk;
On the single name CDS price under structural modeling
Keywords: ریسک اعتباری; Credit risk; Credit crisis; Credit derivatives; Structural models; Credit default swap;
Close form pricing formulas for Coupon Cancellable CoCos
Keywords: ریسک اعتباری; G11; G12; G13; G18; G21; G32; Contingent convertibles; Credit risk; Structural approach; First passage times;
Leverage-induced systemic risk under Basle II and other credit risk policies
Keywords: ریسک اعتباری; Leverage; Basle II; Systemic risk; Credit risk; Agent based model; Banking regulation;
The network structure of the CDS market and its determinants
Keywords: ریسک اعتباری; G15; G20; D40Credit default swap (CDS); Financial networks; Network topology; Credit risk
Does high-quality auditing decrease the use of collateral? Analysis from the perspective of lenders’ self-protection
Keywords: ریسک اعتباری; Credit risk; Loan collateral; Audit quality; Ownership structure
The cost of deviating from the optimal monetary policy: A panel VAR analysis
Keywords: ریسک اعتباری; E51; E52; G21; Risk taking channel; Taylor gap; Monetary policy; Credit risk; Panel VAR;
Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach
Keywords: ریسک اعتباری; Financial stability; Procyclicality; Macroprudential policy; Credit risk; Early warning indicators; Default probability; Non-linearities; Generalized dynamic factor model; Dynamic copulas; GARCH
How did the financial crisis alter the correlations of U.S. yield spreads?
Keywords: ریسک اعتباری; Yield spreads; Correlations; Breakpoint tests; Nonparametric bootstrap; Credit risk; Liquidity riskE40; E52; C23
Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings
Keywords: ریسک اعتباری; G1; G2; G3; Credit risk; Sovereign risk; Credit ratings; Sovereign ceiling;
Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
Keywords: ریسک اعتباری; C23; G21; F41; Credit risk; Macroeconomic factors; Banking system; GIPSI; Panel data;
Credit and liquidity components of corporate CDS spreads
Keywords: ریسک اعتباری; G01; G11; G15; G32; CDS; Liquidity; Credit risk; Financial crisis; Informed trading; Trade impact;
The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”
Keywords: ریسک اعتباری; E43; E44; E58; G21; Interbank markets; Credit risk; Liquidity risk; Financial crisis; Euribor spread;
Contractor financial prequalification using simulation method based on cash flow model
Keywords: ریسک اعتباری; Contractor prequalification; Simulation; Credit risk; Cash flow
Recent developments in financial economics and econometrics: An overview
Keywords: ریسک اعتباری; G11; G12; G13; G15; G18Dynamic price integration; Local covariates; Risk management; Global financial crisis; Credit risk; Liquidity shock; Micro-market noise; Corporate risk taking; Options; Volatility; Quantiles; News sentiment; Contingent capital; Valu
Balancing accuracy, complexity and interpretability in consumer credit decision making: A C-TOPSIS classification approach
Keywords: ریسک اعتباری; Credit scoring; TOPSIS; Credit classification; Credit risk; Support vector machine; Bank risk evaluation