Narrow search
Showing 1 - 10 of 144,232
Cover Image
Modellierung des Kreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance and Management - 2009
valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised … credit derivatives no longer seems to be an appropriate alternative. However, correct valuation of these derivatives is still …
Persistent link: https://www.econbiz.de/10005049671
Cover Image
Modellierung des Kreditrisikos im Einwertpapierfall
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance and Management - 2009
valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised … credit derivatives, no longer seems to be an appropriate alternative. However, correct valuation of these derivatives is …
Persistent link: https://www.econbiz.de/10005049673
Cover Image
Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
Cover Image
Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010301737
Cover Image
Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - Deutsche Bank Research - 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10008677274
Cover Image
Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010503718
Cover Image
Credit securitization and credit derivatives : financial instruments and the credit risk management of middle market commercial loan portfolios
Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd - 1998
Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and...
Persistent link: https://www.econbiz.de/10009768847
Cover Image
What Happened to Risk Management During the 2008-09 Financial Crisis?
Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the...
Persistent link: https://www.econbiz.de/10008520479
Cover Image
A Stochastic Dominance Approach to Financial Risk Management Strategies
Chang, Chia-Lin - 2015
The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR)....
Persistent link: https://www.econbiz.de/10013024752
Cover Image
It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?
Da Veiga, Bernardo - 2010
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10013149149