Showing 1 - 10 of 13,488
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …
Persistent link: https://www.econbiz.de/10010409363
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates exhibit information about …
Persistent link: https://www.econbiz.de/10010378295
2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected …
Persistent link: https://www.econbiz.de/10010294714
2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected …
Persistent link: https://www.econbiz.de/10010310949
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks and the Danish financial sector as a whole for the period 2005-15. The systemic risk contribution for a bank is measured as its propensity to be undercapitalized...
Persistent link: https://www.econbiz.de/10011754962
Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the Zumwinkel-Affair (data of thousands of tax evaders were sold to several...
Persistent link: https://www.econbiz.de/10010281963
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011506710
We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10011605153
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...
Persistent link: https://www.econbiz.de/10010322310
This paper employs the methodology of Wilson (1997) on Hungarian data to conduct a macro stress test in relation to banks' corporate loan portfolio. First, sector specific models of bankruptcy are estimated, where the bankruptcy frequency is linked to the general health of the economy. Data on...
Persistent link: https://www.econbiz.de/10010322432