In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events …

The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic … risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk … contributions. We develop a simple methodology for approximating the effect of undiversified idiosyncratic risk on VaR. The …

statistics. The panel data set contains some 2,300 German firms' balance sheet data covering the years 1988-1998. While the Q-theory … panel data by Gilchrist and Himmelberg (1995, 1998) enables the Q-theory to be applied to non-quoted firms which are by far …Die vorliegende Arbeit untersucht das Investitionsverhalten deutscher Unternehmen im Rahmen der Q-Theorie, die eine der …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs …). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … systematic risk from historical default rates. Our results suggest that systematic risk tends to increase with firm size …

with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks' internal estimates of default probabilities …

with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks' internal estimates of default probabilities …