Article
Economics
Pedro Jesus Cuadros-Solas, Carlos Salvador Munoz
Summary: The global financial crisis and European sovereign debt crisis have highlighted the connection between the banking sector and sovereign risk. This paper uses random forest regression to study whether sovereign ratings take into account potential spillovers from the banking sector to sovereign risk. The results show that the soundness of the banking system plays a significant role in determining sovereign ratings.
APPLIED ECONOMICS LETTERS
(2021)
Article
Business, Finance
Magnus Blomkvist, Anders Loflund, Hitesh Vyas
Summary: Credit ratings exhibit an inverse U-shaped relationship over the corporate life-cycle, with the likelihood of obtaining a rating increasing initially as reputation grows and asymmetric information decreases. However, as investment opportunities diminish, the benefits of a rating decrease as well. From the introduction to the growth phase, the probability of obtaining a rating increases significantly from 6.7% to 30%.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Iftekhar Hasan, Gazi Hassan, Suk-Joong Kim, Eliza Wu
Summary: The study found that ratings-based capital regulation had different impacts on recipient countries of different ratings, stimulating short-term economic growth in investment grade recipients while weakening growth in non-investment grade recipients. Additionally, risk weight increases due to rating downgrades had a consistent and lasting negative impact on all recipient countries. The adverse effects of ratings-based capital regulation were more severe in countries with higher corruption levels and less competitive banking sectors, but were mitigated in countries with greater political stability.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2021)
Article
Social Sciences, Interdisciplinary
Haitham Nobanee, Mehroz Nida Dilshad, Mona Al Dhanhani, Maitha Al Neyadi, Sultan Al Qubaisi, Saeed Al Shamsi
Summary: This study reviewed existing literature on big data applications in banking using a bibliometric analysis approach, finding limited research output despite rapid growth in applications. Several themes were extracted for analysis, covering topics such as investment, profit, competition, credit risk analysis, banking crime, and fintech.
Article
Business, Finance
Yixiao Jiang
Summary: This paper applies regression methods to analyze the variation in corporate bond ratings within and between credit rating agencies. The findings suggest that equity risk has become increasingly important over time, while the importance of financial ratio has declined. The difference between Fitch's ratings and Moodys'/S&P's ratings is primarily due to companies' endogenous shopping for ratings.
FINANCE RESEARCH LETTERS
(2022)
Article
Management
Stavroula Yfanti, Menelaos Karanasos, Constantin Zopounidis, Apostolos Christopoulos
Summary: This study reveals the impact of macroeconomic factors on the dynamic correlations between European and US sectoral Credit Default Swaps (CDS) markets. The results demonstrate the counter-cyclical behavior of sectoral credit risk correlations, which are influenced by economic policy and financial uncertainty, news impact, credit conditions, economic activity, and sentiment. Crisis events and economic policy uncertainty amplify the effects of these macro factors on credit risk correlations, leading to credit risk contagion and threatening financial stability.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2023)
Article
Business
Mascia Bedendo, Giacomo Nocera, Linus Siming
Summary: This study analyzes the characteristics of banks that issue green bonds and finds that larger banks and those publicly supporting green transition are more likely to issue green bonds. Furthermore, only banks that issue green bonds more intensively improve their emissions and reduce lending to polluting sectors, contributing to the decarbonization of the financial sector.
JOURNAL OF BUSINESS ETHICS
(2023)
Article
Environmental Sciences
Anas Ali Al-Qudah, Allam Hamdan, Manaf Al-Okaily, Lara Alhaddad
Summary: This study investigates the impact of UAE's Green Credit Policy on the non-performing loan. The results reveal that the green loan ratio has a negative impact on the non-performing loan ratio, as does the return on equity, while credit quality, inefficiency, and bank size have a positive impact on the non-performing loan ratio. Surprisingly, the solvency ratio has a negative significant impact on the non-performing loan ratio.
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH
(2023)
Article
Psychology, Multidisciplinary
Kaiwei Jia, Ying He, Mohammad Mohsin
Summary: The rapid development of digital finance has led to fierce competition in the banking industry. This study measures interbank competition based on a social network model using bank-corporate credit data, and transforms the regional digital finance index into a bank-level digital finance index. The findings show that digital finance reshapes the banking competition structure, intensifies inter-bank involution, and increases evolution.
FRONTIERS IN PSYCHOLOGY
(2023)
Article
Energy & Fuels
Patrycja Chodnicka-Jaworska
Summary: This study analyzes the impact of ESG measures on energy sector credit ratings and finds that these measures have a more significant effect on credit ratings during the COVID-19 crisis. The study also suggests that while credit rating agencies consider ESG factors initially, they lose importance in subsequent evaluations. Additionally, companies in the coal and oil and gas sectors often receive financial support from governments, which lowers their default risk.
FRONTIERS IN ENERGY RESEARCH
(2022)
Article
Economics
Xiaoting Wang, Siyuan Hou, Khine Kyaw, Xupeng Xue, Xueqin Liu
Summary: In recent years, there has been significant growth in the FinTech credit market. Previous studies have explored some factors that drive FinTech credit, but a comprehensive evaluation of the determinants from the supply/demand side and risk perspective has been lacking. Therefore, we analyzed a large collection of economic variables from 41 countries between 2013 and 2020 to examine the determinants of FinTech credit. The findings show that FinTech credit plays a crucial role in addressing the issue of insufficient bank credit supply.
ECONOMIC MODELLING
(2023)
Article
Business
Juan Camilo Galvis-Ciro, Claudio Oliveira de Moraes, Jaime Garcia-Lopera
Summary: This paper explores the determinants of credit risk for the Colombian economy, a small emerging economy in Latin America. The study finds that the deterioration of the macroeconomic environment affects the credit risk perception of banks, while a better political environment brought about by peace accords mitigates such impact. Different types of loans also show different reactions to macroeconomic variables.
EMERGING MARKETS FINANCE AND TRADE
(2023)
Article
Computer Science, Information Systems
Vadipina Amarnadh, Nageswara Rao Moparthi
Summary: The rapid advancement of technologies has led to the need for additional improvements in banking and credit platforms. This paper proposes a new method for credit risk assessment in the banking sector using an Adaptive Binarized Spiking Marine Predators Neural Network, which achieves high accuracy and a short evaluation period.
MULTIMEDIA TOOLS AND APPLICATIONS
(2023)
Article
Physics, Multidisciplinary
Emanuele Dri, Antonello Aita, Edoardo Giusto, Davide Ricossa, Davide Corbelletto, Bartolomeo Montrucchio, Roberto Ugoccioni
Summary: Credit risk analysis (CRA) quantum algorithms aim to provide a quadratic speedup over classical methods, but existing approaches have significant limitations. To address these limitations, we propose a new variant of the CRA quantum algorithm. Our variant improves the risk model by considering multiple systemic risk factors and allows the use of real data for fair benchmarking. The proposed enhancements are tested using both classical simulation and QPUs from IBM Quantum Experience.
Article
Business, Finance
Ed deHaan, Jiacui Li, Edward M. Watts
Summary: Using comprehensive data on U.S. corporate bond trades, the study finds that retail bond investors rely too heavily on outdated credit ratings, resulting in financial harm. They tend to select bonds based on credit ratings and then sort by yield, buying the highest-yielding bonds within each rating category. This approach leads them to trade against changing fundamentals, leading to underperformance compared to a diversified portfolio.
JOURNAL OF ACCOUNTING & ECONOMICS
(2023)
Review
Management
Vinicius N. Motta, Miguel F. Anjos, Michel Gendreau
Summary: This survey presents a review of optimization approaches for the integration of demand response in power systems planning and highlights important future research directions.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Philipp Schulze, Armin Scholl, Rico Walter
Summary: This paper proposes an improved branch-and-bound algorithm, R-SALSA, for solving the simple assembly line balancing problem, which performs well in balancing workloads and providing initial solutions.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Roshan Mahes, Michel Mandjes, Marko Boon, Peter Taylor
Summary: This paper discusses appointment scheduling and presents a phase-type-based approach to handle variations in service times. Numerical experiments with dynamic scheduling demonstrate the benefits of rescheduling.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Oleg S. Pianykh, Sebastian Perez, Chengzhao Richard Zhang
Summary: Efficient scheduling is crucial for optimizing resource allocation and system performance. This study focuses on critical utilization and efficient scheduling in discrete scheduling systems, and compares the results with classical queueing theory.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Review
Management
Hamed Jahani, Babak Abbasi, Jiuh-Biing Sheu, Walid Klibi
Summary: Supply chain network design is a large and growing area of research. This study comprehensively surveys and analyzes articles published from 2008 to 2021 to detect and report financial perspectives in SCND models. The study also identifies research gaps and offers future research directions.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Patrick Healy, Nicolas Jozefowiez, Pierre Laroche, Franc Marchetti, Sebastien Martin, Zsuzsanna Roka
Summary: The Connected Max-k-Cut Problem is an extension of the well-known Max-Cut Problem, where the objective is to partition a graph into k connected subgraphs by maximizing the cost of inter-partition edges. The researchers propose a new integer linear program and a branch-and-cut algorithm for this problem, and also use graph isomorphism to structure the instances and facilitate their resolution. Extensive computational experiments show that, if k > 2, their approach outperforms existing algorithms in terms of quality.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Victor J. Espana, Juan Aparicio, Xavier Barber, Miriam Esteve
Summary: This paper introduces a new methodology based on the machine learning technique MARS for estimating production functions that satisfy classical production theory axioms. The new approach overcomes the overfitting problem of DEA through generalized cross-validation and demonstrates better performance in reducing mean squared error and bias compared to DEA and C2NLS methods.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Stefano Nasini, Rabia Nessah
Summary: In this paper, the authors investigate the impact of time flexibility in job scheduling, showing that it can significantly affect operators' ability to solve the problem efficiently. They propose a new methodology based on convex quadratic programming approaches that allows for optimal solutions in large-scale instances.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Zhiqiang Liao, Sheng Dai, Timo Kuosmanen
Summary: Nonparametric regression subject to convexity or concavity constraints is gaining popularity in various fields. The conventional convex regression method often suffers from overfitting and outliers. This paper proposes the convex support vector regression method to address these issues and demonstrates its advantages in prediction accuracy and robustness through numerical experiments.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Kuo-Hao Chang, Ying-Zheng Wu, Wen-Ray Su, Lee-Yaw Lin
Summary: The damage and destruction caused by earthquakes necessitates the evacuation of affected populations. Simulation models, such as the Stochastic Pedestrian Cell Transmission Model (SPCTM), can be utilized to enhance disaster and evacuation management. The analysis of SPCTM provides insights for government officials to formulate effective evacuation strategies.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Qinghua Wu, Mu He, Jin-Kao Hao, Yongliang Lu
Summary: This paper studies a variant of the orienteering problem known as the clustered orienteering problem. In this problem, customers are grouped into clusters and a profit is associated with each cluster, collected only when all customers in the cluster are served. The proposed evolutionary algorithm, incorporating a backbone-based crossover operator and a destroy-and-repair mutation operator, outperforms existing algorithms on benchmark instances and sets new records on some instances. It also demonstrates scalability on large instances and has shown superiority over three state-of-the-art COP algorithms. The algorithm is also successfully applied to a dynamic version of the COP considering stochastic travel time.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Bjorn Bokelmann, Stefan Lessmann
Summary: Estimating treatment effects is an important task for data analysts, and uplift models provide support for efficient allocation of treatments. However, evaluating uplift models is challenging due to variance issues. This paper theoretically analyzes the variance of uplift evaluation metrics, proposes variance reduction methods based on statistical adjustment, and demonstrates their benefits on simulated and real-world data.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Congzheng Liu, Wenqi Zhu
Summary: This paper proposes a feature-based non-parametric approach to minimizing the conditional value-at-risk in the newsvendor problem. The method is able to handle both linear and nonlinear profits without prior knowledge of the demand distribution. Results from numerical and real-life experiments demonstrate the robustness and effectiveness of the approach.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Laszlo Csato
Summary: This paper compares the performance of the eigenvalue method and the row geometric mean as two weighting procedures. Through numerical experiments, it is found that the priorities derived from the two eigenvectors in the eigenvalue method do not always agree, while the row geometric mean serves as a compromise between them.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Management
Guowei Dou, Tsan-Ming Choi
Summary: This study investigates the impact of channel relationships between manufacturers on government policies and explores the effectiveness of positive incentives versus taxes in increasing social welfare. The findings suggest that competition may be more effective in improving sustainability and social welfare. Additionally, government incentives for green technology may not necessarily enhance sustainability.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)