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Property Derivatives and Index-Linked Mortgages

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

stabilization of the homeowners net wealth, price the instruments, and quantify the expected decrease in the mortgage default risk …

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

Testing Probability Calibrations: Application to Credit Scoring Models

Blöchlinger, Andreas; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The validation of probability calibration is an inherently difficult task. We develop a testing procedure for credit-scoring models. The models comprise two components to check whether the ex-ante probabilities support the ex-post frequencies. The first component tests the level of the...

Persistent link: https://www.econbiz.de/10005858376

Economic Benefit of Powerful Credit Scoring

Blöchlinger, Andreas; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating Characteristic (ROC) curve of the credit scoring model, we...

Persistent link: https://www.econbiz.de/10005858876

New Bis Capital Framework - Kritische Würdigung des Vorschlages des Basler Ausschusses für Bankenaufsicht für eine Reform des "Basle Accord" zur regulatorischen - Kommentar zuhande...

Hirszowicz, Christine; Jović, Dejan - Institut für Schweizerisches Bankwesen <Zürich> - 2000

Persistent link: https://www.econbiz.de/10005857022

The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Mertons ICAPM. The systematic pricing of credit riskis...

Persistent link: https://www.econbiz.de/10005857973

Dependent Credit Migrations

Wendin, Jonathan; McNeil, Alexander J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...

Persistent link: https://www.econbiz.de/10005857974

Credit Risk and Substainable Debt: A Model and Estimationsof Why the Euro is Stable in the Long-Run

Semmler, Willi; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Sustainable debt has become a key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of debate over theAsian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a...

Persistent link: https://www.econbiz.de/10005858002

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

mortgage servicing data set and compare the resulting loss distributions to a well-known benchmark, i.e. the loss distribution … mortgage portfolio are shown to be greatly sensitive to the prevailing socio-economic scenario. We present evidence that … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

Persistent link: https://www.econbiz.de/10005858102

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Ehlers, Philippe; Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...

Persistent link: https://www.econbiz.de/10005858244

Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

Persistent link: https://www.econbiz.de/10005858310