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Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment

Rau-Bredow, Hans - 2002

This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the distinction between systematic and unsystematic risk. Unsystematicor borrower-specific risk vanishes through diversification in a very large, infinitelyfine-grained portfolio. The...

Persistent link: https://www.econbiz.de/10005843044

Kreditrisikomodellierung und Risikogewichte im Neuen Baseler Accord

Rau-Bredow, Hans - 2001

Persistent link: https://www.econbiz.de/10005843089

Lehren aus Verlusten im Kreditgeschäft Schweiz

Meier, Christian - 1996

Persistent link: https://www.econbiz.de/10000938097

Estimating bilateral exposures in the German interbank market : is there a danger of contagion?

Upper, Christian; Worms, Andreas - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …

Persistent link: https://www.econbiz.de/10011431377

Ausfallbasiertes Hedging von Finanzderivaten

Schulmerich, Marco - 2002 - 1. Aufl

Persistent link: https://www.econbiz.de/10001658270

Estimating bilateral exposures in the German interbank market : is there a danger of contagion?

Upper, Christian; Worms, Andreas - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to … reduces- but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …