Determination of credit losses can be provided by banks through the use of an analysis of
the actual loan defaults. The quantification of expected losses should be based on an …

The purpose of this paper is to analyse the loss given default (LGD) determinants in case of
a typical loan portfolio consisting of SME loans in a commercial bank operating in one of the …

According to Bank of Russia Regulation No. 590-P dated June 28, 2017, Russian banks
assess credit risk and make loss provisions for potential loans. Since 01.01. 2018, credit …

Lending to the corporate sector represents a significant part of the activities of the Russian
banking sector. At the beginning of 2014 the volume of lending to non-financial …

The paper has developed a set of evaluation models of the probability of corporate
borrowers' default, taking into account the macroeconomic and institutional factors on the …

Modern credit risk measurement and management systems depend to a great extend on
three key risk parameters: probability of default (PD), exposure at default (EAD), and loss …

Abstract [eng] This article presents several approaches to estimating the probabilities of
default for low default portfolios, their advantages and disadvantages, and provides …

Within bank activities, which is normally defined as the joint exercise of savings collection
and credit supply, risk-taking is natural, as in many human activities. Among risks related to …

Under the Basel II accord, improving probability of default models is a key risk-management
priority. There are four main aspects of this research: suggesting the bank default …

Abstract Evaluation of the probability of default of the company is one of the fundamental
issues of credit risk analysis. The probability of default is an important inputs into many types …