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How will Basel II affect bank lending to emerging markets? : An analysis based on German bank level data /Thilo Liebig ...

Liebig, Thilo; Porath, Daniel; Weder, Beatrice; Wedow, … - 2004

This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a comprehensive new data set on German banks` foreign exposure. We test two interlinked hypotheses on the conditions under which the change in the regulatory capital would leave...

Persistent link: https://www.econbiz.de/10002398646

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

Persistent link: https://www.econbiz.de/10003891104

Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...

Persistent link: https://www.econbiz.de/10011419407

Credit risk factor modeling and the Basel II IRB approach

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2003

Persistent link: https://www.econbiz.de/10002133114

Forecasting credit portfolio risk

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002133168

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …

Persistent link: https://www.econbiz.de/10003209701