Super-App Behavioral Patterns in Credit Risk Models: Financial, Statistical and Regulatory Implications

商业银行贷款有哪些限制？

What are the limits on Commercial Bank Lending?

对2007- 2008年信贷危机的分析集中在放松的贷款标准问题上，以及人们对不动产和其他资产投机投资者非理性行为的看法。资产支持证券因在贷款发放中制造了道德风险并导致违约风险增加而受到广泛批评，因为它消除了直接贷款人确保基础贷款能够得到偿还的激励。然而，任何形式的商业银行贷款增加都可能伴随着重大的货币问题，而这些问题似乎被本分析所忽视。在本文中，我们提出了一个一般性的解释信贷危机的基础上审查的机制，银行系统，特别是其内部控制的信贷供应。我们认为，当前的信贷危机是巴塞尔监管框架多重失败的结果，包括取消银行体系内某些类别存款账户的央行准备金要求，允许代表债务的金融工具作为监管资本，特别是证券化贷款的引入，有效地消除了以前对贷款总量的隐性控制源自银行系统。我们进一步认为，这些问题的相互作用导致了货币总量和贷款供应量增长之间的不稳定失衡，因为来自商业银行部门的贷款总量增长速度快于货币供应量的增长。这不仅造成了几十年的宏观经济债务螺旋，而且通过增加货币体系内的债务与货币的比率，增加了贷款违约的风险，从而降低了银行体系的整体稳定性。

The Computational Complexity of Financial Networks with Credit Default Swaps

The 2008 financial crisis has been attributed to "excessive complexity" of the financial system due to financial innovation. We employ computational complexity theory to make this notion precise. Specifically, we consider the problem of clearing a financial network after a shock. Prior work has shown that when banks can only enter into simple debt contracts with each other, then this problem can be solved in polynomial time. In contrast, if they can also enter into credit default swaps (CDSs), i.e., financial derivative contracts that depend on the default of another bank, a solution may not e…

Applicability of Large Corporate Credit Models to Small Business Risk Assessment

There is a massive underserved market for small business lending in the US with the Federal Reserve estimating over \$650B in unmet annual financing needs. Assessing the credit risk of a small business is key to making good decisions whether to lend and at what terms. Large corporations have a well-established credit assessment ecosystem, but small businesses suffer from limited publicly available data and few (if any) credit analysts who cover them closely. We explore the applicability of (DL-based) large corporate credit risk models to small business credit rating.

A Survey: Credit Sentiment Score Prediction

Manual approvals are still used by banks and other NGOs to approve loans. It takes time and is prone to mistakes because it is controlled by a bank employee. Several fields of machine learning mining technologies have been utilized to enhance various areas of credit rating forecast. A major goal of this research is to look at current sentiment analysis techniques that are being used to generate creditworthiness.

日本银行与大企业间信贷网络的结构和时间变化

Structure and temporal change of the credit network between banks and large firms in Japan

我们提出了一种新的方法来理解商业银行和上市公司之间的信贷关系，并根据这种方法，研究了1980年至2005年日本信贷网络结构的时间变化。在每一年，信贷网络被视为一个加权的二分图，其中边对应于关系和权重是指贷款的金额。信贷供应的减少影响到作为债务人的公司，而公司的破产影响到作为债权人的银行。为了量化银行和企业之间的依赖性和影响力，我们提出了一组银行和企业的分数，这可以通过求解由信贷网络的权重确定的特征值问题来计算。通过随机二部图的零假设，我们发现几个最大的特征值和相应的特征向量是显著的，并且这些分数可以定量地描述25年来信贷网络的稳定性或脆弱性。

银行间网络拓扑崩溃的预警信号

Early-warning signals of topological collapse in interbank networks

金融危机清楚地说明了描述与整个信贷网络而不是单个机构相关的“系统性”风险水平的重要性。然而，财务困境和拓扑变化之间的相互作用仍然知之甚少。在这里，我们分析了1998-2008年期间荷兰银行的季度银行间风险敞口，以危机结束。在控制了链接密度之后，许多拓扑属性在2008年显示出突然的变化，提供了一个明确的-但不可预测的-危机信号。相比之下，如果银行连通性的异质性得到控制，同样的属性显示出从2005年开始逐渐过渡到危机，在此之前的一个更早的时期，异常债务循环可能导致低估对手方风险。如果像常规做法那样，根据部分银行特定数据重建网络，这些早期预警信号就无法检测到。我们讨论了银行监管政策的重要影响。