WYKORZYSTANIE METODY ANALIZY OKRESOWEJ (DURAC JI) DO OCENY RYZYKA KREDYTOWEGO
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Date
2007
Authors
Wiśniewski, Marcin
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Publisher
Wydział Prawa i Administracji UAM
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Abstract
Duration analysis is a method applied in interest rate risk management, especially in risk
quantification. In the author’s opinion, this method may also be used to estimate credit risk.
Every bank who grants a credit or investor investing in securities wants to be ensured about
the credibility of the potential borrower or debtor, which may be impaired by already existing
debts. Therefore, when estimating credibility, one must measure the debt burden of the
potential borrower. The duration method may be considered as a tool to quantify that burden.
The duration ratio value may indicate the length of the average period in which the loan will be
repaid. The weights used in this ratio calculation would be the discounted values of the
principal and interest repayments expressed as a percentage of their total. With this ratio,
different potential borrowers could be compared in respect of selected factors. A concept of
a duration method and its current as well as potential application in credit risk management
has been presented.
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Citation
Ruch Prawniczy, Ekonomiczny i Socjologiczny 69, 2007, z. 2, s. 153-163.
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ISSN
0035-9629