Customers and Markets: Both Are Essential to Credit Risk Measurement in Australian Banks
2011
- 8Usage
Metric Options: CountsSelecting the 1-year or 3-year option will change the metrics count to percentiles, illustrating how an article or review compares to other articles or reviews within the selected time period in the same journal. Selecting the 1-year option compares the metrics against other articles/reviews that were also published in the same calendar year. Selecting the 3-year option compares the metrics against other articles/reviews that were also published in the same calendar year plus the two years prior.
Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Metrics Details
- Usage8
- Abstract Views8
Article Description
This paper compares credit models that incorporate a market component to those that are solely customer based. We found that customer-only models understated credit risk during the Global Financial Crisis (GFC) and do not adequately differentiate between industries. Models that focus too heavily on the market can overstate credit risk in times of high volatility. We recommend a two-factor modelling approach that incorporates both customer and market risk to improve the accuracy of credit-risk measurement as well as assist lenders with early risk detection.
Bibliographic Details
Provide Feedback
Have ideas for a new metric? Would you like to see something else here?Let us know