Systematic Credit Cycle Risk of Financial Collaterals: Modelling and Evidence

According to the new capital adequacy framework (Basel II) finally adopted by the BaselCommittee in June 2004 the eligibility of collaterals, especially financial collaterals, is extended incomparison to the existing rules. However, financial assets are valued conservatively in the creditcontext which suggests a strong correlation between collaterals and credit default rates. This paperdiscusses the impact of the dependency of financial collaterals...

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Year of publication:	2005-02-21
Authors:	Gürtler, Marc ; Heithecker, Dirk
Institutions:	Institut für Wirtschaftswissenschaften <Braunschweig> / Lehrstuhl BWL, insbes. Finanzwirtschaft
Subject:	Capital-Asset-Pricing-Modell \| Value at Risk \| Basler Eigenkapitalvereinbarung <2001> \| Basel II

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Extent:	1950351.36 bytes 60 p. application/pdf
Series:	TU-Braunschweig - Institut für Wirtschaftswissenschaften - Lehrstuhl BWL, insbes. Finanzwirtschaft - Publikationen Working Paper Series ; FW15V2
Type of publication:	Book / Working Paper
Language:	English
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; Annual financial statements. General ; Individual Working Papers, Preprints ; Germany. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869335