In this paper a modified version of Bernanke and Blinder�s (1988) model of the bank lending channel of monetary policy under asymmetric information is presented. If, aside from reserve requirements, banks have to meet capital adequacy requirements as well, then the results suggested by...

In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, recentlythe use of other copulas has been proposed in the area of credit risk for modeling loss distributions,particularly T copulas which lead to fatter tails ceteris paribus. As an amendment to...

Among the most crucial input parameters for credit portfolio risk models are the co-movements ofdefault risks. Due to limited empirical evidence about the magnitude of correlations the New BaselCapital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in...

Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...