Search Results - subject:"ASRF model"

Simulating credit loss distributions : empirical versus the Vasicek model

Milonas, Natasa; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 2, pp. 77-88

Persistent link: https://www.econbiz.de/10014584054

Asymmetric asset correlation in credit portfolios

Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013478636

Stochastic loss given default and exposure at default in a structural model of portfolio credit risk

Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123

Persistent link: https://www.econbiz.de/10011670772

Assessing bank's default probability using the ASRF model

Radkov, Petar; Minkova, Leda - Volkswirtschaftliche Fakultät, … - 2011

In this paper it is shown how a Vasicek-model approach and the assumptions in Basel 2 regulatory framework can be used to develop measures of the probability of banks' failure. The Basel 2 framework is based on a Vasicek-model approach. The estimation of the propose measure of bank probability...

Persistent link: https://www.econbiz.de/10011112342

Assessing the Basel II internal ratings-based approach : empirical evidence from Australia

Tarca, Silvio; Rutkowski, Marek - In: Journal of financial regulation and compliance : an … 24 (2016) 2, pp. 106-139

Persistent link: https://www.econbiz.de/10011563824

Assessing the Basel II internal ratings-based approach : Empirical evidence from Australia

Tarca, Silvio; Rutkowski, Marek - In: Journal of Financial Regulation and Compliance 24 (2016) 2, pp. 106-139

, which implements an asymptotic single risk factor (ASRF) model, plays an important role in protecting the Australian banking … describing the prevailing state of the Australian economy, are recovered from the ASRF model and compared with macroeconomic … credit losses, are recovered from the ASRF model and compared with financial statistics and external credit ratings. With the …

Persistent link: https://www.econbiz.de/10014870732

Regulatory capital modeling for credit risk

Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44

Persistent link: https://www.econbiz.de/10011403880

Simulation based approach for measuring concentration risk

Kim, Joocheol; Lee, Duyeol - Volkswirtschaftliche Fakultät, … - 2007

Asymptotic Single Risk Factor (ASRF) model is used to derive the regulatory capital formula of Internal Ratings …-Based approach in the new Basel accord (Basel II). One of the important assumptions in ASRF model for credit risk is that the given …

Persistent link: https://www.econbiz.de/10005619956

Modelling and calibration errors in measures of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - 2007

reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually …

Persistent link: https://www.econbiz.de/10003512271