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Macroeconomic dynamics and credit risk : a global perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10011508097

Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002636144

Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10003120648

Confidence intervals for probabilities of default

Hanson, Samuel G. (contributor); Schuermann, Til (contributor) - 2005

Persistent link: https://www.econbiz.de/10002962298

Confidence intervals for probabilities of default

Hanson, Samuel G.; Schuermann, Til - In: Journal of banking & finance 30 (2006) 8, pp. 2281-2301

Persistent link: https://www.econbiz.de/10003355794

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612

Persistent link: https://www.econbiz.de/10003759687

Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates

Kuritzkes, Andrew; Schuermann, Til; Weiner, Scott M. - Financial Institutions Center, Wharton School of Business - 2002

Is there something special, with respect to risk and capital, about a financial conglomerate that combines banking, insurance and potentially other financial and non-financial activities? To what degree is the risk of the whole less than the sum of its parts? This paper seeks to address these...

Persistent link: https://www.econbiz.de/10005794287

How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998

Schuermann, Til; Strahan, Philip E.; Gatev, Evan - National Bureau of Economic Research (NBER) - 2004

We report evidence from the equity market that unused loan commitments expose banks to systematic liquidity risk … as they were needed -- when liquidity demanded by firms taking down funds from commercial paper backup lines of credit … peaked. Our evidence suggests that combining loan commitments with deposits mitigates liquidity risk, and that this deposit …

Persistent link: https://www.econbiz.de/10005037684

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

Schuermann, Til; Gatev, Evan; Strahan, Philip E. - National Bureau of Economic Research (NBER) - 2006

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous …

Persistent link: https://www.econbiz.de/10005085252

Managing Bank Liquidity Risk : How Deposit-Loan Synergies Vary with Market Conditions

Gatev, Evan - 2014

Unused loan commitments expose banks to systematic liquidity risk, but this exposure can be reduced by combining loan … during periods of tight liquidity, when nervous investors move funds into their banks. Thus, the simultaneous taking of … deposits and lending may be thought of as a liquidity hedge …

Persistent link: https://www.econbiz.de/10012709880

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