Search Results - subject:"Default Probability"

Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004

the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the …

Persistent link: https://www.econbiz.de/10005082801

Estimation of Credit and Default Spreads: An Application to CDO Valuation

Noh, Jaesun - Econometric Society - 2004

Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing...

Persistent link: https://www.econbiz.de/10005342295

From fault tree to credit risk assessment : a case study

Gatfaoui, Hayette - 2004 - This draft: September 2004

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event. Looking for the minimal paths leading to any system’s fault allows...

Persistent link: https://www.econbiz.de/10011513074

The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons

Byström, Hans - Finance Discipline Group, Business School - 2003

Considering the increasingly international banks of today, the health of a country's banking sector is crucial not only to the country's growth and prosperity but also to the rest of the international financial community. Early warning signals of a banking sector in trouble or a pending banking...

Persistent link: https://www.econbiz.de/10005112866

On a Statistical Analysis of Implied Data

Takahashi, Hajime - In: Asia-Pacific Financial Markets 18 (2011) 3, pp. 231-266

Persistent link: https://www.econbiz.de/10009327798

STRUCTURAL MODEL FOR DETERMINING ENTERPRISE GROUP'S INTEGRATED LINES OF CREDIT

CHEN, LIN; ZHOU, ZONGFANG; PENG, YI; KOU, GANG - In: International Journal of Information Technology & … 10 (2011) 02, pp. 269-285

A line of credit is one of the most flexible financing tools for companies. Banks give companies lines of credit to strengthen their profitability and competitive ability. On the other hand, companies draw the lines of credit that will increase banks' credit risk. It is very difficult for banks...

Persistent link: https://www.econbiz.de/10008914812

Credit ratings and credit risk

Hilscher, Jens; Wilson, Mungo - Department of Economics, International Business School, … - 2011

available financial information (`failure score'), indicating that ratings are poor measures of raw default probability. However …, ratings are strongly related to a straightforward measure of systematic default risk: the sensitivity of firm default … probability to its common component (`failure beta'). Furthermore, this systematic risk measure is strongly related to credit …

Persistent link: https://www.econbiz.de/10009003889

Single and joint default in a structural model with purely discontinuous asset prices

Fiorani, Filippo; Luciano, Elisa; Semeraro, Patrizia - In: Quantitative Finance 10 (2010) 3, pp. 249-263

Structural models of credit risk are known to present both vanishing spreads at very short maturities and a poor spread fit over longer maturities. The former shortcoming, which is due to the diffusive behaviour assumed for asset values, can be circumvented by considering discontinuous asset...

Persistent link: https://www.econbiz.de/10008503058

Countdown for the New Basle Capital Accord: Are German banks ready for the internal ratings-based approach?

Ewert, Ralf; Szczesny, Andrea - 2001

default probability determining factors respectively. …

Persistent link: https://www.econbiz.de/10010317411

Countdown for the New Basle Capital Accord: Are German banks ready for the internal ratings-based approach?

Ewert, Ralf; Szczesny, Andrea - Center for Financial Studies - 2001

default probability determining factors respectively. …

Persistent link: https://www.econbiz.de/10010958658