Showing 1 - 10 of 245
This report analyzes reduced-from credit risk models, and reviews the three main approaches to incorporate credit risk correlation among firms within the framework of reduced models. The first approach, conditionally independent defaults (CID) models, introduces credit risk dependence of the...
Persistent link: https://www.econbiz.de/10005611901
This paper analyzes the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The...
Persistent link: https://www.econbiz.de/10005168661
This paper presents a dynamic model of banking supervision to analyze the impact of each of Basell II three pillars on banks’ risk taking. We extend previous literature providing an analysis of ratings-based supervisory policies. In Pillar 2 (supervisory review) the supervisor audits more...
Persistent link: https://www.econbiz.de/10005264546
This report reviews the structural approach for credit risk modelling, both considering the case of a single firm and the case with default dependences between firms. In the single firm case, we review the Merton (1974) model and first passage models, examining their main characteristics and...
Persistent link: https://www.econbiz.de/10005264554
In recent years, some papers hav tried to bridge the gap between the two main approaches in credit risk modelling: structural and reduced form models. Based on incomplete information versions of standard structural models, they are able to obtain reduced form models in which the intensity of...
Persistent link: https://www.econbiz.de/10005264557
We analyze the determinants of regulatory capital (the minimum required by regulation), economic capital (that chosen by shareholders without regulation), and actual capital (that chosen with regulation) in a dynamic model of a bank with a loan-portfolio return described by the...
Persistent link: https://www.econbiz.de/10005766610
This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The...
Persistent link: https://www.econbiz.de/10005123827
It is well known from time series analysis that shocks to aggregate output have very persistent effects. This paper argues that the relation between the expected growth rate of a firm and its size\ provides a microfoundation for such aggregate persistence. The empirical evidence indicates that...
Persistent link: https://www.econbiz.de/10005475092
We explore the business-cycle implications of agency problems between firms and financiers. We show how these problems create liquidity shortages that can lead to corporate bankruptcy, and may generate aggregate, endogenous cycles in an economy that otherwise would have had a unique, stationary...
Persistent link: https://www.econbiz.de/10005475093
We study the properties of mimicking portfolios in an intertemporal APT model, in which the conditional mean and covariance matrix of returns vary in an interdependent manner. We use a signal extraction approach, and relate the efficiency of (possibly) dynamic basis portfolios to mean square...
Persistent link: https://www.econbiz.de/10005475094