The Assessment of the Default Risk for the Banks of the Romanian Banking System
International Journal of Economics, Finance and Management Sciences
Volume 3, Issue 1, February 2015, Pages: 1-9
Received: Dec. 25, 2014; Accepted: Jan. 10, 2015; Published: Jan. 21, 2015
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Authors
Sorin Mădălin Vlad, The Doctoral School – Economic Cybernetics and Statistics, Bucharest Academy of Economic Studies, Bucharest, Romania
Gheorghe Ruxanda, Department of Economic Cybernetics, Bucharest Academy of Economic Studies, Bucharest, Romania
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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.
Keywords
Default, Information Asymmetry, Default Probability, Default Intensity, Banks’ Assessment
To cite this article
Sorin Mădălin Vlad, Gheorghe Ruxanda, The Assessment of the Default Risk for the Banks of the Romanian Banking System, International Journal of Economics, Finance and Management Sciences. Vol. 3, No. 1, 2015, pp. 1-9. doi: 10.11648/j.ijefm.20150301.11
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