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Managementul riscului de creditare: realizari actuale, analiza critica, sugestii
[Credit risk management: current achievements, critical analysis, suggestions]

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  • NUCU, Anca Elena

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.

Suggested Citation

  • NUCU, Anca Elena, 2011. "Managementul riscului de creditare: realizari actuale, analiza critica, sugestii [Credit risk management: current achievements, critical analysis, suggestions]," MPRA Paper 27932, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:27932
    as

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    File URL: https://mpra.ub.uni-muenchen.de/27932/1/MPRA_paper_27932.pdf
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    References listed on IDEAS

    as
    1. Evžen Kocenda & Martin Vojtek, 2011. "Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(6), pages 80-98, November.
    2. Daniel Roesch & Harald Scheule, 2007. "Stress-testing credit risk parameters: An application to retail loan portfolios," Published Paper Series 2007-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. René M. Stulz, 2008. "Risk Management Failures: What Are They and When Do They Happen?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(4), pages 39-48, September.
    4. Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020. "Specification Analysis of Structural Credit Risk Models [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, vol. 24(1), pages 45-98.
    5. Gheorghe VOINEA & Sorin Gabriel ANTON, 2009. "Lessons from the Current Financial Crisis. A Risk Management Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 3, pages 139-147, May.
    6. Castrén, Olli & Fitzpatrick, Trevor & Sydow, Matthias, 2009. "Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks," Working Paper Series 1002, European Central Bank.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    credit risk; model evaluation; credit scoring; retail banking; financial crisis;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G01 - Financial Economics - - General - - - Financial Crises

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