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Modellierung des Kreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance and Management - 2009

valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised … credit derivatives no longer seems to be an appropriate alternative. However, correct valuation of these derivatives is still …

Persistent link: https://www.econbiz.de/10005049671

Modellierung des Kreditrisikos im Einwertpapierfall

Cremers, Heinz; Walzner, Jens - 2009

valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised … credit derivatives, no longer seems to be an appropriate alternative. However, correct valuation of these derivatives is …

Persistent link: https://www.econbiz.de/10010299007

Modellierung des Kreditrisikos im Einwertpapierfall

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance and Management - 2009

Persistent link: https://www.econbiz.de/10005049673

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - 2007

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

Persistent link: https://www.econbiz.de/10010298923

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance and Management - 2007

Persistent link: https://www.econbiz.de/10005026971

Modellierung desKreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009

derivatives no longer seems to bean appropriate alternative. However, correct valuation of these derivatives is still challenging ….The crisis has demonstrated that the issue is less about using credit derivatives than aboutdeveloping valid valuation techniques … key focus of thisworking paper.Literature distinguishes between three different kinds of credit pricing models: Asset …

Persistent link: https://www.econbiz.de/10008695277

Market Liquidity Risk - An Overview

Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10005870300

It Pays to Violate: How Effective are the Basel Accord Penalties?

McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

Persistent link: https://www.econbiz.de/10010731585

What Happened to Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Jimenez-Martin, J-A.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the...

Persistent link: https://www.econbiz.de/10010732629

Thinly traded securities and risk management

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10010385821