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Treatment of Double Default Effects within the Granularity Adjustment for Basel II
Ebert, Sebastian; Lütkebohmert, Eva - 2009
Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversi?ed away. The impact of undiversi?ed idiosyncratic risk on portfolio Value-at-Risk can be quanti?ed via a granularity adjustment (GA). We provide an analytic formula for the...
Persistent link: https://www.econbiz.de/10010270006
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FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS
Lütkebohmert, Eva - University of Bonn, Germany - 2009
We show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Speci?cally, we prove that there does not exist an equivalent formula to the granularity adjustment, that...
Persistent link: https://www.econbiz.de/10005009777
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Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation
Ebert, Sebastian; Lütkebohmert, Eva - 2009
In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects' to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a...
Persistent link: https://www.econbiz.de/10010270021
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Treatment of Double Default Effects within the Granularity Adjustment for Basel II
Ebert, Sebastian; Lütkebohmert, Eva - University of Bonn, Germany - 2009
Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversi?ed away. The impact of undiversi?ed idiosyncratic risk on portfolio Value-at-Risk can be quanti?ed via a granularity adjustment (GA). We provide an analytic formula for the...
Persistent link: https://www.econbiz.de/10004964141
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Granularity adjustment for Basel II
Lütkebohmert, Eva; Gordy, Michael B. - 2007
an denselben Kreditnehmer vergeben hat, erfordert die Messung von Adressenkonzentration, dass diese Kredite aggregiert … Adressenkonzentration bedeutend sein kann und dass die von uns vorgeschlagene GA eine robuste Methode für ihre Messung darstellt. …
Persistent link: https://www.econbiz.de/10010295920
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Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation
Ebert, Sebastian; Lütkebohmert, Eva - University of Bonn, Germany - 2009
In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects' to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a...
Persistent link: https://www.econbiz.de/10008461347
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Failure of saddle-point method in the presence of double defaults
Lütkebohmert, Eva - 2009
We show that the saddle-point approximation method to quantify the impact of undiversified idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Specifically, we prove that there does not exist an equivalent formula to the granularity adjustment,...
Persistent link: https://www.econbiz.de/10003867238
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Granularity adjustment for Basel II
Lütkebohmert, Eva; Gordy, Michael B. - Deutsche Bundesbank - 2007
an denselben Kreditnehmer vergeben hat, erfordert die Messung von Adressenkonzentration, dass diese Kredite aggregiert … Adressenkonzentration bedeutend sein kann und dass die von uns vorgeschlagene GA eine robuste Methode für ihre Messung darstellt. …
Persistent link: https://www.econbiz.de/10005082761
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Bank size and risk-taking under Basel II
Hakenes, Hendrik; Schnabel, Isabel - 2005
This paper discusses the relationship between bank size and risk-taking under Pillar I of the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we find that small banks (and hence small borrowers) may profit from the introduction of an internal ratings based...
Persistent link: https://www.econbiz.de/10010264763
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Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian; Lütkebohmert-Holtz, Eva - 2009
Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for...
Persistent link: https://www.econbiz.de/10003867202