Search Results - subject:"Probability of default"

International Monetary Fund (IMF); International … - 2011

This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies utilize high frequency financial data while the third uses bank balance sheet data to assess banks' bilateral exposures, systemically vulnerable banks, and systemically risky...

Persistent link: https://www.econbiz.de/10009293781

Updating the Option Implied Probability of Default Methodology

Vilsmeier, Johannes - Wirtschaftswissenschaftliche Fakultät, Universität … - 2011

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the …

Persistent link: https://www.econbiz.de/10009318408

Improvements in rating models for the German corporate sector

Förstemann, Till - Deutsche Bundesbank - 2011

Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...

Persistent link: https://www.econbiz.de/10009323134

Incorporating Financial Sector Risk Into Monetary Policy Models; Application to Chile

Luna, Leonardo; Gray, Dale F.; Restrepo, Jorge; Garcia, … - International Monetary Fund (IMF) - 2011

This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial...

Persistent link: https://www.econbiz.de/10009327873

TROUBLESHOOTING BASEL II: THE ISSUE OF PROCYCLICALITY

Annamaria, Benyovszki; Eszter, Bordas; Adam, Kurti Laszlo - - In: Annals of Faculty of Economics 1 (2011) 1, pp. 461-468

requirements are increasing functions of the probability of default (PD), loss given default (LGD) and exposure at default (EAD …

Persistent link: https://www.econbiz.de/10009366111

EMPIRICAL STUDY OF THE PROBABILITY OF DEFAULT IN CASE OF ROMANIAN COMPANIES LISTED ON STOCK EXCHANGE

Petra, Petru Tunde; Zsuzsa, Farkas Dalma -; Marton, … - In: Annals of Faculty of Economics 1 (2011) 1, pp. 515-523

The importance of estimation of a firm's probability of default increased significantly during the economic and … in this period. The probability of default can be estimated with structural models, which have on base the methodology … estimate the probability of default of companies listed on Bucharest Stock Exchange using this methodology. This approach was …

Persistent link: https://www.econbiz.de/10009366165

Bank Competition and Financial Stability; A General Equilibrium Exposition

Lucchetta, Marcella; Nicoló, Gianni De - International Monetary Fund (IMF) - 2011

We study versions of a general equilibrium banking model with moral hazard under either constant or increasing returns to scale of the intermediation technology used by banks to screen and/or monitor borrowers. If the intermediation technology exhibits increasing returns to scale, or it is...

Persistent link: https://www.econbiz.de/10009401196

Ratingverfahren: Diskriminanzanalyse versus Logistische Regression

Braun, Daniel; Allgeier, Burkhard; Cremers, Heinz - Frankfurt School of Finance and Management - 2011

The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...

Persistent link: https://www.econbiz.de/10009416989

The Impact of Legislationon Credit Risk; Comparative Evidence From the United States, the United Kingdom and Germany

Schmieder, Philipp; Schmieder, Christian - International Monetary Fund (IMF) - 2011

This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks based on a cross-country study for the United States (US), the United Kingdom (UK) and Germany. Focusing on corporate credit, we find that legislation produces the highest...

Persistent link: https://www.econbiz.de/10008876595

Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework

Sun, Tao - International Monetary Fund (IMF) - 2011

This paper attempts to identify the indicators that can demonstrate the vulnerabilities in systemically important financial institutions. The paper finds that (i) indicators on leverage, liquidity, and business scope can help identify the differences between the intervened and non-intervened...

Persistent link: https://www.econbiz.de/10009147321