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Stability of a "through-the-cycle" rating system during a financial crisis : FSI Award 2006 winning paper
Vallés, Verónica - 2006
Persistent link: https://www.econbiz.de/10009382755
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Stress testing of real credit portfolios
Mager, Ferdinand; Schmieder, Christian - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
-sectional representation of the German economyand subsequently compose three bank portfolios corresponding to a small, medium and largebank. We …
Persistent link: https://www.econbiz.de/10005866200
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The impact of downward rating momentum on credit portfolio risk
Güttler, Andre; Raupach, Peter - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
Rating downgrades are known to make subsequent downgrades more likely. We analyze theimpact of this ‘downward momentum’ on credit portfolio risk. Using S&P ratings from 1996to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitiveto previous...
Persistent link: https://www.econbiz.de/10005866201
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Regulatory capital for marketand credit risk interaction:is current regulation always conservative?
Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...
Persistent link: https://www.econbiz.de/10005866203
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Systemic bank risk in Brazil:an assessment of correlated market,credit, sovereign and inter-bank riskin an environment with stochasticvolatilities and correlations
Barnhill, Theodore M.; Rietti Souto, Marcos - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
assessing the correlated impacts of market risk, and privatesector, sovereign and inter-bank default risk on both individual … methodologyimportantly accounts for bank asset and liability maturity and currency mismatches and loanportfolio credit quality and sector and … probabilities, simulated and historical bank rates of return, andsimulated versus actual bank credit ratings. When omitting …
Persistent link: https://www.econbiz.de/10005866204
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A value at risk analysis of credit default swaps
Raunig, Burkhard; Scheicher, Martin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, wecompare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respectivefirm’s equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms overthe period...
Persistent link: https://www.econbiz.de/10005866205
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Interaction of market and credit risk:an analysis of inter-risk correlationand risk aggregation
Böcker, Klaus; Hillebrand, Martin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In this paper we investigate the interaction between a credit portfolio and another risktype, which can be thought of as market risk. Combining Merton-like factor models forcredit risk with linear factor models for market risk, we analytically calculate their interriskcorrelation and show how...
Persistent link: https://www.econbiz.de/10005866354
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Determinants of European banks‘ engagement in loan securitization
Bannier, Christina E.; Hänsel, Dennis N. - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
We analyze collateralized loan obligation (CLO) transactions by European banks(1997 - 2004), trying to identify firm-specific and macroeconomic factors influencing aninstitution’s securitization decision. CLO issuance seems to be an appropriate fundingtool for large banks with high risk and...
Persistent link: https://www.econbiz.de/10005866356
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The pricing of correlated default risk:evidence from the credit derivatives market
Tarashev, Nikola; Zhu, Haibin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreadsof a popular credit default swap (CDS) index – we extract risk-neutral probabilities ofdefault (PDs) and physical asset return correlations from single-name CDS spreads. Thetime profile and overall level...
Persistent link: https://www.econbiz.de/10005866358