Similar Search Results

Modellierung des Kreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - 2009

valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These … ; structural models ; intensity-based models ; reduced-form models ; credit derivatives ; credit default swap ; pricing ; valuation … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised …

Persistent link: https://www.econbiz.de/10003874932

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - 2007

derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …

Persistent link: https://www.econbiz.de/10003750300

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

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

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

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

Risk Management of Risk Under the Basel Accord : Forecasting Value-at-Risk of VIX Futures

Chang, Chia-Lin - 2011

The Basel II 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 or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10013129947

International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord

McAleer, Michael - 2011

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...

Persistent link: https://www.econbiz.de/10013131430

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Persistent link: https://www.econbiz.de/10013137384

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

McAleer, Michael - 2009

In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for five stock indexes before, during, and after the...

Persistent link: https://www.econbiz.de/10013156379