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Forecasting Credit Portfolio Risk

Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and …

Persistent link: https://www.econbiz.de/10005082801

Kredite und Einlagen

1994

Persistent link: https://www.econbiz.de/10000891772

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

The ESRB at 1

Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012

SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...

Persistent link: https://www.econbiz.de/10011711529

Verzeichnis der bei der Deutschen Bundesbank beleihbaren Wertpapiere : Lombardverzeichnis

Deutsche Bundesbank - 1998

Persistent link: https://www.econbiz.de/10000150191

Die Kreditzusagenstatistik der Deutschen Bundesbank

In: Monatsbericht 31 (1979) 5, pp. 11-19

Persistent link: https://www.econbiz.de/10003302175

Verzeichnis der bei der Deutschen Bundesbank beleihbaren Wertpapier

1980 - [Neuester Stand]

Persistent link: https://www.econbiz.de/10003638190

Does modeling framework matter? A comparative study of structural and reduced-form models

Gündüz, Yalin; Uhrig-Homburg, Marliese - Deutsche Bundesbank - 2011

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major …

Persistent link: https://www.econbiz.de/10009024637

Improvements in rating models for the German corporate sector

Förstemann, Till - Deutsche Bundesbank - 2011

Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...

Persistent link: https://www.econbiz.de/10009323134

Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - Deutsche Bundesbank - 2010

) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the …

Persistent link: https://www.econbiz.de/10008764627