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Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...

Persistent link: https://www.econbiz.de/10005858362

Property Derivatives and Index-Linked Mortgages

Syz, Juerg; Vanini, Paolo; Salvi, Marco - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these ﬁnancial instruments seems clear, as many households are heavily invested in housing and standard ﬁnancial...

Persistent link: https://www.econbiz.de/10005858211

Credit portfolios : What defines risk horizons and risk measurement?

Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...

Persistent link: https://www.econbiz.de/10005858869

Equilibrium Impact of Value-At-Risk

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

Persistent link: https://www.econbiz.de/10005858903

Operational Risk : A Practitioner's View

Ebnöther, Silvan; Vanini, Paolo; McNeil, Alexander; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

risk" has led to vigorous and recurring discussions. We show that for a production unit of a bank with well …

Persistent link: https://www.econbiz.de/10005858943

Optimal Credit Limit Management

Leippold, Markus; Ebnoether, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

complicated information structures. Moving to a partial information setup, incentive distortions emerge that are not in the bank …

Persistent link: https://www.econbiz.de/10005858857

Bank Risk Management and the Franchise Value

Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …

Persistent link: https://www.econbiz.de/10005859100