Search Results - subject:"Probability of default"

Fiordelisi, Franco; Monferrà, Stefano; Sampagnaro, Gabriele - In: Journal of financial services research : JFSR 46 (2014) 3, pp. 295-315

Persistent link: https://www.econbiz.de/10011507763

Schätzunsicherheit oder Korrelation, Welche Risikokomponente sollten Unternehmen bei der Bewertung von Kreditportfoliorisiken wann berücksichtigen?

Dannenberg, Henry - 2007

The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation …

Persistent link: https://www.econbiz.de/10010269918

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - 2007

Moody’s publicly available rating histories to construct confidence intervals for the level of probability of default to be … second aim is to review various existing validation models for the probability of default which enable the analyst to check … fixed probability of default (PD) value. Given the general characteristics of the problem considered, we consider this …

Persistent link: https://www.econbiz.de/10011506639

Modelling the distribution of credit losses with observable and latent factors

Jiménez Zambrano, Gabriel; Mencía González, Javier - 2007

This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...

Persistent link: https://www.econbiz.de/10012530162

Schätzunsicherheit oder Korrelation, Welche Risikokomponente sollten Unternehmen bei der Bewertung von Kreditportfoliorisiken wann berücksichtigen?

Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2007

The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation … probability of default estimates to assess the risks of a credit portfolio should not ignore estimation uncertainty. The latter … underlying probability distributions of these intervals. Keywords: Probability of Default, Estimation Uncertainty, Risk …

Persistent link: https://www.econbiz.de/10005398677

Analytical solutions for expected and unexpected losses with an additional loan

Yamashita, Satoshi; Yoshiba, Toshinao - Institute for Monetary and Economic Studies, Bank of Japan - 2007

We evaluate expected and unexpected losses of a bank loan, taking into account the bankfs strategic control of the expected return on the loan. Assuming that the bank supplies an additional loan to minimize the expected loss of the total loan, we provide analytical formulations for expected and...

Persistent link: https://www.econbiz.de/10004975774

The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations

Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - Nationale Bank van België/Banque national de Belqique (BNB) - 2007

Persistent link: https://www.econbiz.de/10005001396

Modeling the distribution of credit losses with observable and latent factors

Jiménez, Gabriel; Mencía, Javier - Banco de España - 2007

Persistent link: https://www.econbiz.de/10005155254

Introduction to Applied Stress Testing

Cihák, Martin - International Monetary Fund (IMF) - 2007

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with...

Persistent link: https://www.econbiz.de/10005248151

External Linkages and Contagion Risk in Irish Banks

Mitra, Srobona; Duggar, Elena - International Monetary Fund (IMF) - 2007

The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and in periods of large shocks or extreme events-using an existing methodology with...

Persistent link: https://www.econbiz.de/10005264207