Suchergebnisse

Purpose: This study is intended to find the credit risks in Asset based Sukuk. The risk of default of Sukuk is called a credit risk. Various risks regarding the Sukuk have been identified. Limitations/Implications: The study focuses on the Sukuk issuances of Pakistan. In the current scenario of Pakistan and the need to finance the Diameer Bahasha Dam and Naya Pakistan Housing Program Sukuk is an attractive option. Pakistan has yet not overcome the energy shortfall, and the environment of Pakistan has been effected by the global changes so for the adoption of cleantech green Sukuk is a most appropriate option. Originality/ Value: There has been a significant contribution of Pakistan in the issuance of Sukuk activity and there are Sukuk defaults too. Yet, in Pakistan the research on Sukuk has not been done. So this study shall add to the literature in Pakistan.

Firms exporting their goods and services abroad face risks that are different from the risks faced by firms who do not engage in international trade. It is common practice to allow the receiving party to pay in instalments. The exporting firm faces credit risk, but as in most countries, Dutch firms can insure such risks. To some extent, such export credit risks can be insured on the private market. There are private insurance companies that insure short-term risks. On the Dutch market, Gerling NCM, Coface, and Euler-Cobac operate as insurers. The Dutch government acts as reinsurer of long-term export credit risks (three years or more). A reinsurance agreement exists with Gerling NCM for this purpose. Short-term and medium-term contracts can be reinsured in the private reinsurance market. In almost all OECD countries export credits are officially supported. This can take the form of direct finance (e.g. US, Canada) or the government can insure the export credit risks (directly as for example in the United Kingdom or indirectly by reinsuring a private insurer such as in the Netherlands). The role of this government-backed insurance on exports to certain countries is important as experience has shown that the private market is very reluctant to cover long term export risks to non-OECD countries. Considering the government involvement in this market, one can raise the following questions: 1. What are the key determinants of export credit risk insurability by the private market? 2. Which export credit risks can be covered by the private market? In the report, an answer to these questions is provided by means of a literature review and an extensive field study, with special emphasis on the role of the Dutch government as a reinsurer of export credit risks. The main conclusions are as follows. Economic theory predicts that firms that operate risk averse are willing to pay an insurance premium. Large (say listed) firms operate at a relative low degree of risk aversion. These firms can use internal risk hedging as a useful alternative to private export credit risk insurance. Medium-sized firms are more likely to apply for export credit risk insurance, while small firms probably face problems (since for this group there is only one supplier of insurance active in the Dutch market). Small firms do not have the knowledge to hedge export risks differently than by export credit insurance in the Netherlands. They lack the resources and knowledge to have access to the international insurance markets. Moreover, the duration of the coverage is often not as long as exporting companies would like (this is experienced by both large and small companies). This is partly due to reinsurance restrictions faced by the insurance companies. A related problem to insurability is the high market concentration of supply. Market dominance leads to monopolistic rent extraction. In the case of the Netherlands this might apply to Gerling NCM. On the other hand relationship insurance seems to be a popular model. In our field study, firms point at a preference for long-lasting relations. Most exporters seem to have low price elasticity of insurance demand. Economic theory predicts moral hazard to be an important determinant of insurability. The issue of moral hazard, though recognized by insurance companies, does not dominate the perception of insurability. The price of export credit insurance is largely determined by macroeconomic risk factors, such as political risk. This leads us to the second main issue: what role should the government play on the market for export credit risk insurance and which risks should be covered by the governement? We argue the following: ? In markets with asymmetric information it is likely that profitable projects will be denied insurance. If the government considers export growth as one of its main goals, it should interfere in the market by lowering relative prices; ? The government is equipped to hedge intertemporal risks due to a low social cost of capital. In our field study some market participants point at the responsibility the government should take, especially in the case of small exporting companies; ? The government should offer opportunities to hedge macroeconomic risks, such as political/country risk. These risk types are seen as the main drivers of export insurance premium contracts; ? Moral hazard of public (re-)insurance might be a problem, but is not perceived as such in our field study by (re)insurance companies operating in the private market. The relation between the Dutch government and Gerling NCM is different, though. Gerling NCM retains no risk on its public account, and the government cannot end its relation with Gerling NCM. Therefore, moral hazard could be a problem in this insurer/reinsurer relation; ? Besides direct interference, the government should take care of prudential regulation of the insurance sector. Monopolistic behaviour should be avoided by appropriate regulation. Especially contracts that have a large geographical nature are subject to at least monopolistic competition. Clients who are not satisfied with the monopoly supplier should be able to meet other suppliers (at home or abroad). This holds especially for long-term contracts. In all cases the government should operate in a prudential way. No involvement may prevent profitable projects from being insured, too much involvement may crowd out the market for private export credit risk insurance. Finally, based on the research, we recommend the following. ? It seems that the industrial organization of the market for export credit risks insurance is an important issue. Some firms that were interviewed mentioned the large number of alternatives in the London market. This reinforces the idea of increasing competition in the Netherlands. ? There is a large barrier to entry on the Dutch market: an insurance company needs extensive datasets to go into business. Old firms have a competitive advantage by controlling such databases. Perhaps public data collection (at EU level) could mitigate this problem. ? Especially smaller firms are not aware of possibilities on the international market for export credit risk insurance. A national campaign explaining and informing about alternative risk products (not necessarily insurance products) will help exporters to find a better solution for reducing the risks they are exposed to. Keywords: export credit risk, insurance, moral hazard, rating

Das Management von Kreditrisken war lange Zeit ein Thema, welches von Unternehmen nur zögerlich angenommen wurde. Dies hat sich mit der Finanzkrise drastisch geändert. Es ist heutzutage schwer das Risiko eines Staatsbankrott in Europa oder die Insolvenz einer traditionsreichen U.S. Bank zu ignorieren. Durch die Ereignisse der letzten Jahre ist das Kreditrisiko stärker in den Fokus vieler Geschäftsführer gerückt. Nichtsdestotrotz fehlt es vielen Risikomanagern an Werkzeugen, um diese Risiken effektiv zu steuern. Der in dieser Arbeit beschriebene Prozess basiert auf drei Teilprozessen, welche mit der Definition einer Kreditrisikostrategie und der Identifikation der Risiken beginnt. Diese Masterarbeit richtet sich an Großunternehmen und daher werden in diesem Kapitel auch Argumente diskutiert, welche die Einführung des Kreditrisikomanagements in solchen verteidigt. In der zweiten Phase werden Modelle betrachtet, die den Versuch anstellen Kreditrisiken mittelsKennzahlen wie der Ausfallswahrscheinlichkeit zu quantifizieren. Diese werden anhand von praxisrelevanten Beispielen diskutiert. Einer der Schwerpunkte liegt auf der kritischen Auseinandersetzung mit den zugrundeliegenden Theorien, da das blinde Vertrauen in quantitative Modelle bereits in vielen Fällen zu Fehleinschätzungen geführt hat. Im letzten Teil des Kapitels werden Manahmen wie Limits oder Kreditvereinbarungsklauseln zur Risikominderung diskutiert. Anschlieend soll ein kurzer Exkurs zeigen, wie auch Kreditderivate zum Transfer von unerwünschten Risiken beitragen können. Im letzten Kapitel werden die Überwachung der tatsächlichen Risikoposition und der Audit des dargestellten Prozesses erörtert. Viele der Methoden stammen aus dem Finanzsektor, da in Banken und Versicherungen das Management von Kreditrisiken eine lange Tradition hat. Obwohl die Branche momentan stark in der Kritik steht, so kann man doch vieles von den grundlegenden Prinzipien lernen. ; Credit risk management has traditionally been a topic that corporates took not much notice of. This changed dramatically with the financial crisis as it became dificult to ignore the possibility of government defaults in Europe or the collapse of established U.S. banks. Credit risks moved closer to the spotlight of corporate executives but still many risk managers lack the expertise and tools in order to manage this kind of risks. This thesis serves as a useful guide that helps to make the rst step towards integrating credit risks in the corporate risk management framework. The three step credit risk cycle presented in this document starts with the creation of a credit risk strategy and the identification of potentials risks. This part provides the reader with arguments that can help to justify the introduction of credit risk management in a non financial organization. The second phase focuses on models that try to quantify the identified risks. Indicators like the probability of default or the credit value at risk will be discussed based on simple but realistic examples. However, the presented theories will be challenged so that the reader can acquire an understanding that goes beyond application. Blind faith in quantitative models hasreportedly led to serious misjudgments of the underlying risks and therefore their critical analysis is a key point. The quantification of credit risks forms the base for the mitigation strategy. Next to organizational mitigation tools like limits or collaterals a brief overview on credit derivatives demonstrates how unwanted risks can be transferred. The last chapter covers the topics of monitoring the risk position and the auditing of the credit risk process. Most of the presented ideas and tools are well established methods from the financial industry. Although praise is hard to find for banks these days, there is yet a lot of value in their core credit risk management principles. ; Angelos Efthimiou ; Abweichender Titel laut Übersetzung der Verfasserin/des Verfassers ; Zsfassung in dt. und engl. Sprache ; Graz, Univ., Masterarb., 2013 ; (VLID)226998

"Preface Second Edition The first edition of this book appeared eight years ago. Since then the banking industry experienced a lot of change and challenges. The most recent financial crisis which started around May 2007 and lasted in its core period until early 2009 gave rise for a lot of scepticism whether credit risk models are appropriate to capture the true nature of risks inherent in credit portfolios in general and structured credit products in particular. In a recent article two of us discuss common credit risk modeling approaches in the light of the most recent crisis and invite readers to participate in the discussion; see [25]. A key observation in a discussion like the one in [25] is that the universe of available models and tools is sufficiently rich for doing a good job even in a severe crisis scenario as banks recently experienced it. What seems to be more critical is an appropriate model choice, parameterization of models, dealing with uncertainties, e.g., based on insufficient data, and communication of model outcomes to decision makers and executive senior management. These are the four main areas of challenge where we think that a lot of work and rethinking needs to be done in a p︠ost-crisis ̕reflection of credit risk models. In the first edition of this book we focussed on the description of common mathematical approaches to model credit portfolios. We did not change this philosophy for the second edition. Therefore, we left large parts of the book unchanged in its core message but supplemented the exposition with new model developments and with details we omitted in the first edition"--

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models. It also di

"Intuition suggests that firms with higher cash holdings are safer and should have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive and higher for lower credit ratings. This puzzling finding can be explained by the precautionary motive for saving cash. In our model endogenously determined optimal cash reserves are positively related to credit risk, resulting in a positive correlation between cash and spreads. In contrast, spreads are negatively related to the "exogenous'' component of cash holdings that is independent of credit risk factors. Similarly, although firms with higher cash reserves are less likely to default over short horizons, endogenously determined liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions, suggesting that precautionary savings are central to understanding the effects of cash on credit risk"--National Bureau of Economic Research web site

In this article the results of an extensive research on the credit risk of Icelandic municipalities are presented. The methodology named after Altman was applied and the credit risk of Icelandic municipalities was assessed according to his model. In addition the relationship between financial health and the size of municipalities was examined. Finally a small study was conducted where the financial health of municipalities around the capital area was different from other. The results are that this methodology is useful when evaluating the credit risk of Icelandic municipalities. The findings indicate that Icelandic municipalities have been able to continue functioning financially even though being very weak financially. Smaller municipalities were on average much financially stronger than the larger ones. But there was not a statistical significant difference in the financial strength of municipalities around the capital to other municipalities around the country.