Managementul riscului de creditare: realizari actuale, analiza critica, sugestii

NUCU, Anca Elena (2011): Managementul riscului de creditare: realizari actuale, analiza critica, sugestii.

Abstract

In the context of macroeconomic uncertainty and liquidity problems existing on international markets, expanding the banking system leads to amplification interferences of a broad spectrum of risks. This article delineates the recent area of researchers’ interest in the domain of credit risk management in banking and highlights the issues of relevant studies, both theoretical and empirical, in the area of credit-scoring, models for credit risk assessment and regulatory framework, on the background mutations caused by the international financial crisis.

• Item Type: MPRA Paper
• English Title: Credit risk management: current achievements, critical analysis, suggestions
• Language: Romanian
• Keywords: credit risk; model evaluation; credit scoring; retail banking; financial crisis
• Subjects: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply ; Credit ; Money Multipliers; G - Financial Economics > G0 - General > G01 - Financial Crises

References

Allen, L., De Long, G., Saunders, A. (2008), “Probleme în modelarea riscului de credit pe pieţele de retail”, http://www.melbournecentre.com. au/ResearchGrants /18.Scheule Discussi on% 20 Paper.pdf

Amundsen, E., Kalsone, D. (2009), “Retail banking in Europe-The Way Forward” , Danmarks Nationalbank Working Paper, http://www.esbg.eu/uploadedFiles /Publicationsand Research(ESBG_ only)/ Research/DOCESBGREPORT.pdf

Capgemini, European Financial Management and Marketing Association, UniCredit (2009)- World Retail Banking Report, http://www.capgemini.com/insights-and-resources/by-publication/world-retail-banking-report/

Castrén, O., Fitzpatrick, T., Sydow, M. (2009), “ Assessing portfolio credit risk changes in a sample of eu large and complex banking groups in reaction to macroeconomic shocks”, Working Paper Series no 1002, European Central Bank, http://www.ecb.int/ pub/pdf /scpwps/ ecbwp1002.pdf

Centre for the Study of Financial Innovation, Pricewaterhouse Coopers- “Banking Banana Skins 2010 after the quake”, http://www.pwc.com/gx/en/banking-capital-markets/banana skins/assets/ banking-banana-skins-2010.pdf

European Central Bank (2007), “The Use Of Portfolio Credit Risk Models In Central Banks”, Occasional Paper Series No 64 / July 2007, http://www.ecb.int/pub/pdf/scpops/ecbocp64.pdf

European Central Bank (2009), The challenges of credit risk management: lessons learned from the crisis,http://www.ecb.int/press/key/date/2010/html/sp100526.en.html

Hull, J.C. (2009), “Rethinking Risk Management”,PRMIA Presentation, http://www.prmia.or g/Chapter_Pages/Data/Files/3048_3377_Session%203%201%20-%20 John%20Hull%20-%20Presentation_2009_04_presentation.pdf

International Monetary Fund (2009), “Lessons of the Financial Crisis for Future Regulation of Financial Institutions and Markets and for Liquidity Management”, http://www.imf.org /external/np/pp/eng/2009/020409.pdf

Kocenda, E., Vojtek, M. (2009), “Default Predictors and Credit Scoring Models for Retail Banking”, Cesifo Working Paper No. 2862, http://papers.ssrn.com/sol3/papers. cfm?abstract_id=1519792

Pykhtin, M., Zhu, S. (2007), “A Guide to Modelling Counterparty Credit Risk”, Global Association of Risk Professionals, http://ssrn.com/abstract=1032522

Rösch, D., Scheule, H. (2007), “ Stress-Testing Credit Risk Parameters-An Application toRetail Loan Portfolios”, http://www.melbournecentre.com.au/workingpapers/Stress Testing_Credit_ Risk_ Parameters_MCFS.pdf

Stulz, R. (2008), “Risk Management Failures: What Are They and When Do They Happen?”, Dice Center for Research in Financial Economics, Fisher College of Business WP 2008-03-017, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1278073

Voinea, Gh., Anton, S., G. (2009), “Lessons From The Current Financial Crisis. A Risk Management Approach”, Review of Economic & Business Studies, 03/2009, http://www.rebs.ro/article-lessons_from_the_current_financial_crisis._a_risk_management_ approach-37.html

Wendel, C., Harvey, M. (2007), ”SME Credit Scoring : Key Initiatives, Opportunities, and Issues, Access to Finance Thematic Group”, Issue No. 10, The World Bank Group, p.5. http://siteresources.worlbank.org/INTACCESSFINANCE/Resources/AF10-Wendel-article.pdf

Zhou, H., Huang, J. (2008), “Specification Analysis of Structural Credit Risk Models”, Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board,Washington,D.C.