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underlying rating system. It turns out thatdefault rates which are produced by rating systems using all information... …
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. The empirical analysis is based on US securitization rating and impairment data. The paper finds that regulatory capital … Crisis. In addition, the rating process of securitizations provides capital arbitrage incentives for financial institutions … rating agencies are correct and can be used to build a test for the ability of Basel capital regulations to cover downturn …
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The present paper shows how the parameters of three popular portfolio credit risk models can be empiricallyestimated by banks using a Maximum Likelihood framework. We apply the method to a database of Germanfirms provided by Deutsche Bundesbank and analyze the inclusion of macroeconomic and...
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In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, recentlythe use of other copulas has been proposed in the area of credit risk for modeling loss distributions,particularly T copulas which lead to fatter tails ceteris paribus. As an amendment to...
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