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Estimating bilateral exposures in the German interbank market : is there a danger of contagion?

Upper, Christian; Worms, Andreas - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

Persistent link: https://www.econbiz.de/10011431377

Forecasting credit portfolio risk

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002133168

Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010

Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...

Persistent link: https://www.econbiz.de/10008701994

Empirical risk analysis of pension insurance : the case of Germany

Gerke, Wolfgang; Mager, Ferdinand; Reinschmidt, Timo; … - 2006

occupational pension insurance (PSVaG) plan in Germany. The study is based on a Merton-type one-factor model, in which we determine …

Persistent link: https://www.econbiz.de/10003366048

Sector concentration in loan portfolios and economic capital

Düllmann, Klaus (contributor); … - 2006

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...

Persistent link: https://www.econbiz.de/10003391659

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …

Persistent link: https://www.econbiz.de/10003209701

Time series properties of a rating system based on financial ratios

Krüger, Ulrich (contributor); Stötzel, Martin (contributor) - 2005

In this paper, we show the importance of accounting for heterogeneity among sample firms in stochastic frontier analysis. For a fairly homogenous sample of German savings and cooperative banks, we analyze how alternative theoretical assumptions regarding the nature of heterogeneity can be...

Persistent link: https://www.econbiz.de/10003210588

Do banks diversify loan portfolios? : A tentative answer based on individual bank loan portfolios

Kamp, Andreas (contributor); Pfingsten, Andreas (contributor) - 2005

Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus their loan portfolios. Our aim is to find out which of the two strategies is predominant in the German banking market. To this end we measure diversification for all German...

Persistent link: https://www.econbiz.de/10002946577

Measuring business sector concentration by an infection model

Düllmann, Klaus (contributor) - 2006

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable infection modelʺ can provide a meaningful estimate of the impact of...

Persistent link: https://www.econbiz.de/10003326735

Credit risk factor modeling and the Basel II IRB approach

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2003

Persistent link: https://www.econbiz.de/10002133114