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A top-down loan-level stress test for banks' corporate credit risk : application to risks from commercial real estate markets

Herbst, Tobias; Roling, Christoph - 2024

We study the credit risk of banks in Germany from lending to non-financial firms. We model changes in Expected Credit Loss, which is derived from the guidelines in the IFRS 9 accounting standard. We map the accounting model to a dataset with individual loans as the unit of observation...

Persistent link: https://www.econbiz.de/10015211118

Portfolio Optimization for Power Plants : The Impact of Credit Risk Mitigation and Margining

Lang, Joachim - 2010

The aim of this study is to analyze the impact of credit risk mitigation via margining on the optimal portfolio selection for power plants. We develop a model to estimate margining cashflows that is based on the clearing framework of the European Commodity Clearing AG (ECC), on stochastic...

Persistent link: https://www.econbiz.de/10013137742

Credit Expected Shortfall with Time Varying Recovery Risk

Savona, Roberto - 2015

In this paper we develop a flexible and analytically tractable framework to compute the Credit Expected Shortfall in an explit if form through Kumaraswamy (1980) distribution with both default rate and recovery rate time-varying. The default rate is assumed to follow a square root process, and...

Persistent link: https://www.econbiz.de/10013013025

Pro Rata Credit Risk Pooling Between Regional Banks : Economic Capital and Portfolio Granularity

Krebs, Martin - 2021

credit portfolio will increase if a bank participates in pro rata credit risk pooling with homogeneous credit risks. But …

Persistent link: https://www.econbiz.de/10013214394

Models of joint defaults in credit risk management : an assessment

Erlenmaier, Ulrich - 2001

In this paper we review the models of joint defaults of the current major industry-sponsored credit risk frameworks. Recognizing the need for further improvements of these models, we address the following issues. First, we identify the most important modeling drawbacks that could be fixed on a...

Persistent link: https://www.econbiz.de/10012742164

Robust Risk Budgeting Algorithms in R

Bouzida, Farah - 2019

by transforming the objective function into a strictly convex one. Amongst them, the ”Spinu Algorithm” proves to be the … most robust and fastest algorithm, both for large equity and small multi-asset portfolios. Surprisingly, the promising … Cyclical Coordinate Descent (CCD) algorithm proposed by Griveau et.al. (2013) which suits well for risk budgeting on a large …

Persistent link: https://www.econbiz.de/10012862959

Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly …

Persistent link: https://www.econbiz.de/10011419593

On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests

Siemsen, Thomas; Vilsmeier, Johannes - 2018

covariates. We quantify the effect of model uncertainty on supervisory and bank stress tests in terms of predicted portfolio loss …

Persistent link: https://www.econbiz.de/10011897976

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Back to the roots of internal credit risk models : why do banks' risk-weighted asset levels converge over time?

Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2022

capital requirements if they do not jeopardize bank resilience …

Persistent link: https://www.econbiz.de/10013192085