By the current study we analyze the performance and plausibility of the empirical results provided by the [5] Duffie and Lando (2001) credit risk structural model with asymmetric information. By construction, such a model can allow the endogenous understanding of the default event (typically for a structural model), the plausibility of the default intensity existence (typically for a reduced form model), as well as the tractability of analytical formulas to be used at the estimation of the credit risk parameters. Under this framework we analyze the empirical model results, by the quantitative creditworthiness assessment of the banks from the Romanian banking system, as financial institutions of a low default portfolio. For the model implementation we apply a special calibration approach for the accounting white noise parameter. The empirical study is being conducted by the use of the banks’ financial statement time series over the last Romanian economic cycle, during the period 2002 – 2012.
Published in | International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 1) |
DOI | 10.11648/j.ijefm.20150301.11 |
Page(s) | 1-9 |
Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
Copyright |
Copyright © The Author(s), 2015. Published by Science Publishing Group |
Default, Information Asymmetry, Default Probability, Default Intensity, Banks’ Assessment
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APA Style
Sorin Mădălin Vlad, Gheorghe Ruxanda. (2015). The Assessment of the Default Risk for the Banks of the Romanian Banking System. International Journal of Economics, Finance and Management Sciences, 3(1), 1-9. https://doi.org/10.11648/j.ijefm.20150301.11
ACS Style
Sorin Mădălin Vlad; Gheorghe Ruxanda. The Assessment of the Default Risk for the Banks of the Romanian Banking System. Int. J. Econ. Finance Manag. Sci. 2015, 3(1), 1-9. doi: 10.11648/j.ijefm.20150301.11
AMA Style
Sorin Mădălin Vlad, Gheorghe Ruxanda. The Assessment of the Default Risk for the Banks of the Romanian Banking System. Int J Econ Finance Manag Sci. 2015;3(1):1-9. doi: 10.11648/j.ijefm.20150301.11
@article{10.11648/j.ijefm.20150301.11, author = {Sorin Mădălin Vlad and Gheorghe Ruxanda}, title = {The Assessment of the Default Risk for the Banks of the Romanian Banking System}, journal = {International Journal of Economics, Finance and Management Sciences}, volume = {3}, number = {1}, pages = {1-9}, doi = {10.11648/j.ijefm.20150301.11}, url = {https://doi.org/10.11648/j.ijefm.20150301.11}, eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150301.11}, abstract = {By the current study we analyze the performance and plausibility of the empirical results provided by the [5] Duffie and Lando (2001) credit risk structural model with asymmetric information. By construction, such a model can allow the endogenous understanding of the default event (typically for a structural model), the plausibility of the default intensity existence (typically for a reduced form model), as well as the tractability of analytical formulas to be used at the estimation of the credit risk parameters. Under this framework we analyze the empirical model results, by the quantitative creditworthiness assessment of the banks from the Romanian banking system, as financial institutions of a low default portfolio. For the model implementation we apply a special calibration approach for the accounting white noise parameter. The empirical study is being conducted by the use of the banks’ financial statement time series over the last Romanian economic cycle, during the period 2002 – 2012.}, year = {2015} }
TY - JOUR T1 - The Assessment of the Default Risk for the Banks of the Romanian Banking System AU - Sorin Mădălin Vlad AU - Gheorghe Ruxanda Y1 - 2015/01/21 PY - 2015 N1 - https://doi.org/10.11648/j.ijefm.20150301.11 DO - 10.11648/j.ijefm.20150301.11 T2 - International Journal of Economics, Finance and Management Sciences JF - International Journal of Economics, Finance and Management Sciences JO - International Journal of Economics, Finance and Management Sciences SP - 1 EP - 9 PB - Science Publishing Group SN - 2326-9561 UR - https://doi.org/10.11648/j.ijefm.20150301.11 AB - By the current study we analyze the performance and plausibility of the empirical results provided by the [5] Duffie and Lando (2001) credit risk structural model with asymmetric information. By construction, such a model can allow the endogenous understanding of the default event (typically for a structural model), the plausibility of the default intensity existence (typically for a reduced form model), as well as the tractability of analytical formulas to be used at the estimation of the credit risk parameters. Under this framework we analyze the empirical model results, by the quantitative creditworthiness assessment of the banks from the Romanian banking system, as financial institutions of a low default portfolio. For the model implementation we apply a special calibration approach for the accounting white noise parameter. The empirical study is being conducted by the use of the banks’ financial statement time series over the last Romanian economic cycle, during the period 2002 – 2012. VL - 3 IS - 1 ER -