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Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...
Persistent link: https://www.econbiz.de/10010305454
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …
Persistent link: https://www.econbiz.de/10010326135
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Regulation, credit risk transfer, and bank lending
Pausch, Thilo; Welzel, Peter - 2011
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze lending behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS) for hedging purposes. Regulation is found to induce...
Persistent link: https://www.econbiz.de/10010291748
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Financial market regulation in Germany under the special focus of capital requirements of financial institutions
Detzer, Daniel - 2014
This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...
Persistent link: https://www.econbiz.de/10010333713
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Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...
Persistent link: https://www.econbiz.de/10010325004
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Risk measurement and management in a crisis-prone world
Wong, Woon K.; Copeland, Laurence - 2008
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and...
Persistent link: https://www.econbiz.de/10010288831
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Endogenous credit derivatives and bank behavior
Pausch, Thilo - 2007
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...
Persistent link: https://www.econbiz.de/10010295935
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Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2
Zsámboki, Balázs - 2007
This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a model bank with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating...
Persistent link: https://www.econbiz.de/10010322384
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Regulatory capital for market and credit risk interaction: is current regulation always conservative?
Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - 2008
Unter der ersten Säule von Basel II wird das regulatorische Eigenkapital für Markt- und Kreditrisiko separat berechnet … Eigenkapitals, das für Markt- und Kreditrisiko zu hinterlegen ist. Diese Berechnung von Einzelkomponenten des regulatorischen … Kapitals folgt in groben Zügen der Aufteilung in Bank- und Handelsbuch. In der traditionellen Denkweise ist Kreditrisiko …
Persistent link: https://www.econbiz.de/10010295951
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Modeling a distribution of mortgage credit losses
Gapko, Petr; Šmíd, Martin - 2010
One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...
Persistent link: https://www.econbiz.de/10010322287