Blog Archives

Debt sustainability ratio in retail banking

A heuristic approach to assessing default risk in debt repayment of retail exposures is a rather straightforward debt sustainability ratio. Read on as a HTML independent file.

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Posted in Economics, R-stats
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Gauging credit losses

Loss rates on loans are explained by a number of drivers that for a single loan can be summarized as read it as an independent html file (with R code).

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Posted in Economics, R-stats
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Old interview about mutual funds, diversification and returns

Video about mutual funds, diversification and returns (Italian only)

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Posted in Economics
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Gambling on bad loans

View it as an independent HTML file with R code. Quotes in gambling are driven by the probability of an outcome to occur and in a football match like Premier League’s Arsenal vs. Chelsea on Saturday, January 19th 2019 —at the time of writing this short essay about gambling on bad loans—

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Posted in Economics
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Corporate and investment banking: a summary

A concise summary of an investment bank’s core services: underwriting and advisory services. View (independent html). Corporate and investment banking Rodolfo Vanzini 10/30/2018 Commercial and corporate & investment banking What is commercial banking? And how can we define it in an as concise way as possible? Commercial banking is basically deposits

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Posted in Economics
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Assorbimenti patrimoniali e peggioramento delle condizioni economiche nel credito

L’aumento degli assorbimenti patrimoniali in uno scenario di peggioramento delle condizioni economiche Rodolfo Vanzini 1 giugno 2018 La regolamentazione sul rischio di credito richiede che le banche nel cosiddetto approccio standard detengano patrimonio di vigilanza in ragione della quantità e della qualità del credito erogato associando ogni esposizione creditizia ad

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Posted in Economics
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Credit selection with FFTrees in R

Alberi decisionali fast-and-frugal e credit selection con il modello Unico (draft version) Rodolfo Vanzini 4 febbraio 2018 Introduzione La selezione delle imprese a cui riconoscere affidabilità creditizia, da parte di un intermediario finanziario come una banca, è essenzialmente riconducibile – dal punto di vista metodologico – ad un esercizio di

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Posted in Economics
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Predicting duration before credit default of borrowers based on loan-installment-to-income ratio

This post is a short demonstration of a simple regression analysis based on a mock data set (dat) that consists of loan-installment-to-income ratios of 28 borrowers (LIIR) and the number of months before default (Months). I want to revise the basic steps for regression analysis in R and would like to show practitioners

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Posted in Economics, R-stats
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