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.

Share Button
Posted in Economics, R-stats
Tags:

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).

Share Button
Posted in Economics, R-stats
Tags: ,

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—

Read More…

Share Button
Posted in Economics
Tags: , ,

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

Read More…

Share Button
Posted in Economics
Tags: ,

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

Read More…

Share Button
Posted in Economics
Tags: , ,

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

Read More…

Share Button
Posted in Economics, R-stats
Tags: ,

16 years of volatility on the S&P 500

Lately, I was wondering how serious volatility has gotten so far and so decided to update my hall of volatility on the S&P 500. Check the following chart (drawn along a GARCH-estimated-1-day-99% VaR) In case you wonder, at 99% probability only 1% “exceedance” is theoretically expected (using the normal distribution

Read More…

Share Button
Posted in Economics
Tags: , ,

R code risk classification procedures: a tutorial

Fans of risk classification procedures will find this draft containing a basic – though A-to-Z complete – tutorial on how to use R for credit management useful at worst. This preliminary version of a fully fledged publication (article or book is still to be determined) contains all the relevant R

Read More…

Share Button
Posted in Economics, R-stats, Whitepapers
Tags: , ,