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The Empirical Relation between Credit Quality, Recovery, and Correlation
Rösch, Daniel - 2009
empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation …
Persistent link: https://www.econbiz.de/10013156612
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Estimating Default and Recovery Rate Correlations
Witzany, Jiri - 2013
correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected …'s default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We …
Persistent link: https://www.econbiz.de/10013084106
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Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Rösch, Daniel - 2013
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …
Persistent link: https://www.econbiz.de/10003846062
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Wrong-Way Risk – Correlation Coefficient Calibration
Cerny, Jakub - 2015
represented by a Gaussian copula with a constant correlation coefficient, the WWR is expressed by this correlation coefficient …. Because the observation of the default time means bankruptcy of the company, the correlation cannot be simply estimated using … available daily Czech Republic government IRS and CDS rates we estimated the correlation using maximum likelihood method …
Persistent link: https://www.econbiz.de/10013023673
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Stress-Testing Credit Risk Parameters : An Application to Retail Loan Portfolios
Roesch, Daniel - 2012
correlation, loss given default or exposure at default. A simple portfolio model is also used in the Basel II framework for …
Persistent link: https://www.econbiz.de/10013113674
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A Note on the Vasicek’s Model with the Logistic Distribution
Witzany, Jiri - 2012
The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on...
Persistent link: https://www.econbiz.de/10013101704
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Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives
Roesch, Daniel - 2013
This paper analyzes the level and cyclicality of bank capital requirement in relation to (i) the model methodologies through-the-cycle and point-in-time, (ii) four distinct downturn loss rate given default concepts, and (iii) US corporate and mortgage loans. The major finding is that less...
Persistent link: https://www.econbiz.de/10013073289
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Estimating Credit Contagion in a Standard Factor Model
Roesch, Daniel - 2013
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among others. However, statistical estimation...
Persistent link: https://www.econbiz.de/10013073485
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Systemic Risk in Commercial Bank Lending
Roesch, Daniel - 2014
This paper develops a bank model for financial systemic risk in bank lending. The model analyzes the impact of a financial institution failure on the distribution of losses in the financial system. The fundamental idea is that bank loss rates may be decomposed into a level, momentum, systematic...
Persistent link: https://www.econbiz.de/10013058030