Öz
-
Anahtar Kelimeler
Kaynakça
- BERARDI, Andrea – CİRAOLO, Stefania ve TROVA, Michele. (2004), “The Term Structure of Credit Spreads on Sovereign Bonds”, Katholike Universiteit Leuven, Faculty of Business and Economics Papers (http://www.econ.kuleuven.be/ew/academic/intecon/Stefania/term%20 structure.pdf).
- BERARDI, Andrea ve TROVA, Michele. (2005), “Credit Spreads and Default Probabilities in Emerging Market Bond Prices”, University of Verona, Department of Economics Papers, (http://dse.univr.it/berardi/csdp.pdf).
- BOHN, R. Jeffrey ve STEİN, Roger M. (2009), Active Credit Portfolio Management in Practice, New Jersey: Wiley.
- DUFFEE, Gregory R. (1998), “The Relation between Treasury Yields and Corporate Bond Yield Spreads”, Journal of Finance, 53(6), 2225-2241.
- DUFFEE, Gregory R. (1999), “Estimating the Price of Default Risk”, Review of Financial Studies, 12(1), 197-226.
- DUFFIE, Darrell ve SINGLETON, Kenneth. (1999), “Modeling Term Structures of Defaultable Bonds”, Review of Financial Studies, 12(4), 687-720.
- DUFFIE, Darrell. (1996), Dynamic Asset Pricing Theory, Second Edition, Princeton: Princeton University Press.
- DUFFIE, Darrell - PEDERSEN, Lasse H. ve SINGLETON, Kenneth J. (2002), “Modeling Sovereign Yield Spreads: Acase Study of Russian Debt”, Journal of Finance, 58(1), 119-159.
- MERTON, Robert C. (1974). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, 29(2), 449-470.
BANKA KREDİ PORTFÖYLERİNİN YÖNETİMİNDE ÖDEMEME RİSKİ ANALİZİ: KALMAN FİLTRESİNE DAYANAN ALTERNATİF BİR YÖNTEM ÖNERİSİ
Öz
Ödememe riski banka kredilerini ve bankaların kredi portföylerini etkiler. Bundan ötürü analiz edilmesine ve ölçülmesine, hem banka yöneticileri hem de yasal otoriteler büyük önem vermektedirler. Bu çalışmada, Duffee (1999) ve Bohn ve Stein’ın (2009) çalışmaları temel alınarak ödememe riski analiz edilmektedir. Gözlenemeyen bir değişken olarak durum-uzay anlayışında modellenen ödememe riski, kredi spread’i kullanılarak Kalman filtresi yöntemiyle tahmin edilmiştir. Yapılan tahminlerin sonuçları oldukça başarılıdır.
Anahtar Kelimeler: Portföy yönetimi, kredi portföyü, ödememe riski, durum-uzay modelleri, Kalman filtresi
JEL Kodları: C13, C22, G11, G17, G21
Anahtar Kelimeler
Portföy yönetimi kredi portföyü ödememe riski durum-uzay modelleri Kalman filtresi
Kaynakça
- BERARDI, Andrea – CİRAOLO, Stefania ve TROVA, Michele. (2004), “The Term Structure of Credit Spreads on Sovereign Bonds”, Katholike Universiteit Leuven, Faculty of Business and Economics Papers (http://www.econ.kuleuven.be/ew/academic/intecon/Stefania/term%20 structure.pdf).
- BERARDI, Andrea ve TROVA, Michele. (2005), “Credit Spreads and Default Probabilities in Emerging Market Bond Prices”, University of Verona, Department of Economics Papers, (http://dse.univr.it/berardi/csdp.pdf).
- BOHN, R. Jeffrey ve STEİN, Roger M. (2009), Active Credit Portfolio Management in Practice, New Jersey: Wiley.
- DUFFEE, Gregory R. (1998), “The Relation between Treasury Yields and Corporate Bond Yield Spreads”, Journal of Finance, 53(6), 2225-2241.
- DUFFEE, Gregory R. (1999), “Estimating the Price of Default Risk”, Review of Financial Studies, 12(1), 197-226.
- DUFFIE, Darrell ve SINGLETON, Kenneth. (1999), “Modeling Term Structures of Defaultable Bonds”, Review of Financial Studies, 12(4), 687-720.
- DUFFIE, Darrell. (1996), Dynamic Asset Pricing Theory, Second Edition, Princeton: Princeton University Press.
- DUFFIE, Darrell - PEDERSEN, Lasse H. ve SINGLETON, Kenneth J. (2002), “Modeling Sovereign Yield Spreads: Acase Study of Russian Debt”, Journal of Finance, 58(1), 119-159.
- MERTON, Robert C. (1974). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, 29(2), 449-470.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 12 Şubat 2014 |
| Gönderilme Tarihi | 12 Şubat 2014 |
| Yayımlandığı Sayı | Yıl 2012 Cilt: 3 Sayı: 6 |