Search
Search results for: CREDIT DEFAULT SWAPS
-
Credit default swaps and banks
PublicationThis chapter aims to explore the evolving role of credit default swaps (CDS) in managing and transferring default risk from the perspective of banks from a holistic perspective. This chapter examines credit default swaps (CDSs) as derivative financial instruments that transfer credit risk on debt securities. While CDSs offer benefits such as risk management and risk trading, they also introduce potential systemic risks, as evidenced...
-
Maturity Mismatch in the Polish Banking System and its Impact on the Economy
PublicationIn the article maturity mismatch in the Polish banking system is estimated based on the publicly available data. Then the impact on the economy is discussed. Based on Polish central bank’s data it may be estimated that between 1996 and 2012 the maturity gap increased significantly – average residual maturity of assets exceeds 6 years in 2012 (less than 2 years in 1996), while that of liabilities remains below 1 year. The gap...
-
Economics of credit scoring management
PublicationCredit scoring models constitute an inevitable element of modern risk and profitability management in retail financial lending institutions. Quality,or separation power of a credit scoring model is usually assessed with the Gini coefficient. Generally, the higher Gini coefficient the better, as in this way a bank can increase number of good customers and/or reject more bad applicants. In...
-
Corporate social responsibility and forward default risk mediated by financial performance and goodwill
PublicationIn today’s business environment, corporate social responsibility (CSR) has become an increasingly significant factor for firms. This study is driven by the motivation to add to the current literature by investigating the mediating elements that explain the relationship between CSR and forward default risk. In this paper, we attempt to identify the important mediators and give a more comprehensive explanation of this connection...
-
Merton-type default risk and financial performance: the dynamic panel moderation of firm size
PublicationPurpose – The main purpose of this study is to evaluate the probability of default and examine the relationship between default risk and financial performance, with dynamic panel moderation of firm size. Design/methodology/approach – This study utilizes a total of 1,500 firm-year observations from 2013 to 2018 using dynamic panel data approach of generalized method of moments to test the relationship between default risk and financial...
-
How to model ROC curves - a credit scoring perspective
PublicationROC curves, which derive from signal detection theory, are widely used to assess binary classifiers in various domains. The AUROC (area under the ROC curve) ratio or its transformations (the Gini coefficient) belong to the most widely used synthetic measures of the separation power of classification models, such as medical diagnostic tests or credit scoring. Frequently a need arises to model an ROC curve. In the biostatistical...
-
The shape of an ROC curve in the evaluation of credit scoring models
PublicationThe AUC, i.e. the area under the receiver operating characteristic (ROC) curve, or its scaled version, the Gini coefficient, are the standard measures of the discriminatory power of credit scoring. Using binormal ROC curve models, we show how the shape of the curves affects the economic benefits of using scoring models with the same AUC. Based on the results, we propose that the shape parameter of the fitted ROC curve is reported...
-
Which Curve Fits Best: Fitting ROC Curve Models to Empirical Credit-Scoring Data
PublicationIn the practice of credit-risk management, the models for receiver operating characteristic (ROC) curves are helpful in describing the shape of an ROC curve, estimating the discriminatory power of a scorecard, and generating ROC curves without underlying data. The primary purpose of this study is to review the ROC curve models proposed in the literature, primarily in biostatistics, and to fit them to actual credit-scoring ROC data...
-
Number of active credit cards issued to individual customers (2017)
Open Research DataPolish banks serviced 6.04 million credit cards in 2017. This is a decrease by 121,000 year on year (comparing 2017 and 2016). The largest issuer of credit cards in the country is Bank PKO BP. In the third quarter of 2017, this institution had 847,000 credit cards. Bank Zachodni WBK is second (803,000) and CITI Handlowy is third (697,000).
-
Społeczne koszty niealimentacji. The Social Costs of Default on Child Maintenance Payment.
Publication"Niniejszy artykuł opisuje historię kryminalizacji przestępstwa niealimentacji w polskich kodeksach karnych. We wszystkich polskich kodeksach karnych: kodeksie karnym z 1932 r., kodeksie karnym z 1969 r. oraz w kodeksie karnym z 1997 r. ujęto przestępstwo niealimentacji. Aktualna maksymalna sankcja z tytułu przestępstwa niealimentacji jest niższa niż w kodeksie karnym z 1932 r. Sankcje karne zawsze powinny być ostatecznością...
-
Corporate social responsibility and forward default risk under firm and industry heterogeneity
PublicationObjective: This study aims to evaluate the impact of corporate social responsibility on forward default risk (FDR) under the setting of firm and industry heterogeneity. Research Design & Methods: This study evaluated the impact of corporate social responsibility (CSR) on FDR using the data of 497 companies from 2007-2021 in the S&P 500 index, taking into account firm and industry heterogeneity aspects. This study utilized instrumental...
-
Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts
PublicationThis paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data. Credit scoring practitioners know that the Gini coefficient usually drops if it is only calculated on cases above the cutoff. This fact is not a mathematical necessity, however, as it is theoretically possible to get an ROC curve that keeps the same Gini coefficient no matter how big a share of lowest...
-
Risk Scoring Models for Trade Credit in Small and Medium Enterprises
Publication -
Journal of Credit Risk
Journals -
Global Credit Review
Journals -
Credit and Capital Markets
Journals -
JOURNAL OF MONEY CREDIT AND BANKING
Journals -
Financial performance under influence of credit risk in non-financial firms: evidence from Pakistan
Publication -
Karol Flisikowski dr inż.
PeopleKarol Flisikowski works as Associate Professor at the Department of Statistics and Econometrics, Faculty of Management and Economics, Gdansk University of Technology. He is responsible for teaching descriptive and mathematical statistics (in Polish and English), as well as scientific research in the field of social statistics. He has been a participant in many national and international conferences, where he has presented the results...
-
QUANTITATIVE EASING POLICY AND ITS IMPACT ON THE GLOBAL ECONOMY
PublicationBased on the analysis of the impact of quantitative easing policies on the global economy, there was concluded that the world’s largest central banks and widespread debt stimulation have created the model of economic growth. This model was based on the productivity growth. The lack of productivity growth in the developed world, the active integration of developing countries (first of all China and India) in the global economy have...
-
Financial and Credit Activity-Problems of Theory and Practice
Journals -
Does being socially good save firms from bankruptcy? A systematic literature review and bibliometric analysis
PublicationThe purpose of the review was to find out, does being responsible saves firms from bank-ruptcy? What is the relationship between corporate social responsibility and default risk? What meth-ods and measures are used in the literature to evaluate this relationship? And what is the theoretical underpinning of the studies? Moreover, to explore what are the gaps for future work, Web of Science and Scopus databases were utilised to obtain...
-
Performance and Energy Aware Training of a Deep Neural Network in a Multi-GPU Environment with Power Capping
PublicationIn this paper we demonstrate that it is possible to obtain considerable improvement of performance and energy aware metrics for training of deep neural networks using a modern parallel multi-GPU system, by enforcing selected, non-default power caps on the GPUs. We measure the power and energy consumption of the whole node using a professional, certified hardware power meter. For a high performance workstation with 8 GPUs, we were...
-
A Simulation Model for Risk and Pricing Competition in the Retail Lending Market
PublicationWe propose a simulation model of the retail lending market with two types of agents: borrowers searching for low interest rates and lenders competing through risk-based pricing. We show that individual banks observe adverse selection, even if every lender applies the same pricing strategy and a credit scoring model of comparable discrimination power. Additionally, the model justifies the reverse-S shape of the response rate curve....
-
Distribution of population by tenure status, 2015 (% of population)
Open Research DataFactor affecting the attractiveness of property market in terms of investment, especially of housing, is the ratio of the number of dwellings owned by the population .In 2015, more than a quarter (26.9%) of the EU population lived in their own housing with credit or mortgages, while over 42% occupied their own residential units without credit or mortgages....
-
Analyzing energy/performance trade-offs with power capping for parallel applications on modern multi and many core processors
PublicationIn the paper we present extensive results from analyzing energy/performance trade-offs with power capping observed on four different modern CPUs, for three different parallel applications such as 2D heat distribution, numerical integration and Fast Fourier Transform. The CPU tested represent both multi-core type CPUs such as Intel⃝R Xeon⃝R E5, desktop and mobile i7 as well as many-core Intel⃝R Xeon PhiTM x200 but also server, desktop...
-
Błażej Kochański dr
PeopleBłażej Kochański is an assistant professor at the Department of Statistics and Econometrics at the Faculty of Management and Economics of Gdańsk University of Technology, banking risk expert. He worked for banks in Poland and Europe, as a risk specialist, planning and analysis manager, chief risk officer, supervisory board member and management consultant. He built numerous credit risk management models, successfully managed credit...
-
Personal bankruptcy prediction using machine learning techniques
PublicationIt has become crucial to have an early prediction model that provides accurate assurance for users about the financial situation of consumers. Recent studies have focused on predicting corporate bankruptcies and credit defaults, not personal bankruptcies. Due to this situation, the present study fills the literature gap by comparing different machine learning algorithms to predict personal bankruptcy. The main objective of the...
-
JamesBot - an intelligent agent playing StarCraft II
PublicationThe most popular method for optimizing a certain strategy based on a reward is Reinforcement Learning (RL). Lately, a big challenge for this technique are computer games such as StarCraft II which is a real-time strategy game, created by Blizzard. The main idea of this game is to fight between agents and control objects on the battlefield in order to defeat the enemy. This work concerns creating an autonomous bot using reinforced...
-
state aid for export activities
Open Research DataThe dataset encompassed a choice of the most important legal acts, a list of selected Polish and foreign bibliography, together with a list of important individual EC decisions issued on the topic of state aid for export credits in Poland and some UE countries in the period 2001-2019. Thanks to that the reader gets the possibility do acquire basic...
-
Number of active debit cards issued to individual customers (2017)
Open Research DataAt the end of the fourth quarter of 2017, financial institutions (including non-banking ones, e.g. SKOK) serviced 25.8 million debit cards (excluding credit card data) of individual clients. This means an increase by 1.3 million cards compared to the same period in 2016. The largest number of cards was issued and serviced by Bank PKO BP - 6.81 million,...
-
CURRENT SITUATION ON THE POLAND REAL ESTATE MARKET
PublicationIn recent years the polish real estate market has been characterised by a significant increase in supply and demand. This was facilitated by a number of macroeconomic factors. In recent years, housing has been commissioned as 30 years ago. Therefore, the depth analysis issue of the causes and consequences for the Polish economy of these trends is now relevant. Among the reasons are significant economic growth, low interest rates...
-
The structure of the Polish banking sector in 2004-2018
Open Research DataDynamic changes in the banking system in the 1990s contributed to the relative stability of the number of banks in all sectors (state-owned, private, cooperative) after 2004. The total number of banks (including credit institutions) has decreased since 2004 from 653 to 612 in 2018 - it should therefore be noted that in the analyzed period the Polish...
-
The level of Knowledge and use of tax exemptions for R&D activities
Open Research DataThe following research data contains the answers of 259 entrepreneurs to questions regarding tax reliefs and exemptions for research and development activities. As part of the study answers to the following questions were obtained:Have you ever used the tax relief for new technologies / R&D?Has your company acquired a license / software (intangible...
-
Consumer Bankruptcy Prediction Using Balanced and Imbalanced Data
PublicationThis paper examines the usefulness of logit regression in forecasting the consumer bankruptcy of households using an imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical models that can identify consumers in a difficult financial situation that may lead to consumer bankruptcy. In the face of the current global pandemic crisis, the future of household finances...
-
Technical Physics 22
e-Learning CoursesTechnical Physics, ćwiczenia (Inżynieria Danych, 3 semestr)
-
Technical Physics
e-Learning CoursesTechnical Physics, ćwiczenia grupa 1 (Inżynieria Danych, 3 semestr)
-
Technical Physics 24/25
e-Learning CoursesTechnical Physics, ćwiczenia grupa 1 (Inżynieria Danych, 3 semestr)
-
Fizyka przyrządów półprzewodnikowych - 2022/2023
e-Learning CoursesStacjonarne I stopnia Kurs "Fizyka przyrządów półprzewodnikowych - 2022/2023" Kierunek: Fizyka Techniczna Wydział FTiMS stopień I, semestr 5
-
Fizyka przyrządów półprzewodnikowych - 2021/2022
e-Learning CoursesStacjonarne I stopnia Kurs "Fizyka przyrządów półprzewodnikowych - 2021/2022" Kierunek: Fizyka Techniczna Wydział FTiMS stopień I, semestr 5
-
Wstęp do modelowania zjawisk fizycznych
e-Learning CoursesWstęp do modelowania zjawisk fizycznych 3 sem. I stopnia kierunek studiów: Fizyka Techniczna
-
Fizyka I - 2022/2023
e-Learning CoursesKurs "Fizyka I - 2022/2023" Kierunek: Zielone Technologie Wydział Chemiczny stopień I, semestr 1
-
Implied Tax Subsidy Rates for Research and Development Expenditure in European OECD Countries (2019)
Open Research DataThe implied rate of tax credits, developed by the OECD, is one way to measure the extent of R&D tax credits based on spending in different countries. Tax credit rates are measured as the difference between one R&D investment unit and the pre-tax income required to earn commission from that investment unit, assuming the firm is representative....
-
Physics I - 2021/2022
e-Learning CoursesLECTURE "Physics I - 2021/2022" Kierunek: Green Technology and Monitoring Wydział Chemiczny stopień I, semestr 1
-
Wstęp do teorii miary
e-Learning CoursesWstęp do teorii miary 3 semestr Matematyki Stosowanej
-
Funkcje zespolone wykład 2022/2023
e-Learning CoursesFunkcje zespolone (MAT1014) Kierunek: Matematyka (WFTiMS), I stopnia - licencjackie, stacjonarne,
-
Fizyka
e-Learning CoursesKierunek: Elektronika i telekomunikacja (WETI), I stopnia - inżynierskie, stacjonarne, 2019/2020 - zimowy (obecnie sem. 2)
-
Bifurkacje w równaniach mechaniki sprężystej
e-Learning Coursesgrupa zajęciowa: studenci I stopnia kierunku Matematyka, specjalności Matematyka Stosowana (MS), semestru 6 rok akademicki: 2022/2023
-
Mechanika klasyczna i optyka geometryczna
e-Learning CoursesMechanika klasyczna i optyka geometryczna 1 sem. II stopnia kierunek studiów: Matematyka, Specjalność: Geometria i grafika komputerowa
-
Podstawy Informatyki - 2021/2022 nst. inż.
e-Learning CoursesNiestacjonarne I st. Rok 1, Semestr II kier. Budownictwo BO+BKiS+GIiNM Opis: Celem przedmiotu jest wykształcenie u studentów umiejętności sprawnego posługiwania się programami inżynierskimi: AutoCad i MatLab.