Similar Search Results

Credit securitization and credit derivatives : financial instruments and the credit risk management of middle market commercial loan portfolios

Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd - 1998

Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and...

Persistent link: https://www.econbiz.de/10009768847

Bank Loans Pricing and Basel II : A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints

Curcio, Domenico - 2011

Under the new Basel II regulatory framework, the need for an effective risk-adjusted pricing mechanism has become even … Internal Ratings-Based approach affects the bank loan pricing mechanism, by developing a multiperiod risk-adjusted pricing … unexpected loss), under the prevalent repayment schemes. Following Hasan and Zazzara (2006), risk-adjusted pricing can be split …

Persistent link: https://www.econbiz.de/10013131209

Credit derivatives and bank credit supply

Hirtle, Beverly J. - In: Journal of financial intermediation 18 (2009) 2, pp. 125-150

Persistent link: https://www.econbiz.de/10003832412

The impact of credit default swap trading on loan syndication

Streitz, Daniel - 2015

We analyze the impact of CDS trading on bank syndication activity. Theoretically, the effect of CDS trading is ambiguous: on the one hand, CDS can improve risksharing and hence be a more flexible risk management tool than loan syndication; on the other hand, CDS trading can reduce bank...

Persistent link: https://www.econbiz.de/10010503935

The impact of credit default swap trading on loan syndication

Streitz, Daniel - 2015

We analyze the impact of CDS trading on bank syndication activity. Theoretically, the effect of CDS trading is ambiguous: on the one hand, CDS can improve risk-sharing and hence be a more flexible risk management tool than loan syndication; on the other hand, CDS trading can reduce bank...

Persistent link: https://www.econbiz.de/10010480934

Credit risk interconnectedness : what does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

Persistent link: https://www.econbiz.de/10011456511

Управление Кредитным Риском (Продолжение) (Credit Risk Management (Cont.)

Fantazzini, Dean - 2011

Во 2-м номере нашего журнала за 2008 г. была начата серия консультационных публикаций Деана Фантаццини, посвященных эконометрическому анализу финансовых данных в...

Persistent link: https://www.econbiz.de/10013121135

Управление Кредитным Риском (Credit Risk Management)

Fantazzini, Dean - 2011

Журнал продолжает публикацию консультации Дйана Фантаццини, посвященной эконометрическому анализу финансовых данных в задачах управления риском. В данном...

Persistent link: https://www.econbiz.de/10013121137

Endogenous Credit Derivatives and Bank Behavior

Pausch, Thilo - 2016

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/10012989285

Credit Risk Contagion in German Auto Loans

Fenner, Arved; Vollmar, Steffen - 2022

We investigate default clusters and reveal credit risk contagion in a data set with over four million German auto loans. First, we show that default clusters cannot be attributed to loan-specific, borrower-specific, asset-specific and macroeconomic effects alone. In a second step, we model...

Persistent link: https://www.econbiz.de/10013403183