Showing 1 - 6 of 6
One of the most important policy issues for financial authorities is to decide at what level average capital charges should be set. The decision may alternatively be expressed as the choice of an appropriate survival probability for representative banks over a horizon such as a year, often...
Persistent link: https://www.econbiz.de/10005357355
To measure the risks involved in their trading operations, major banks are increasingly employing Value-at-Risk (VaR) models. In an important regulatory innovation, the Basle Committee has accepted that such models can be used in the determination of the capital that banks must hold to back...
Persistent link: https://www.econbiz.de/10005737892
This paper outlines a method for estimating the value of deposit insurance based on option pricing theory. It follows the approach of Merton who viewed deposit insurance as, essentially, a put option on the value of the bank's assets. Three models are analysed, each embodying a different...
Persistent link: https://www.econbiz.de/10005737906
The distribution of ratings changes plays a crucial role in many credit risk models. As is well known, these distributions vary across time and different issuer types. Ignoring such dependencies may lead to inaccurate assessments of credit risk. In this paper, a quantification is provided of the...
Persistent link: https://www.econbiz.de/10005435685
Banks have recently developed new techniques for gauging the credit risk associated with portfolios of illiquid, defaultable instruments. These techniques could revolutionise banks' management of credit risk and could in the longer term serve as a more risk-sensitive basis for calculating...
Persistent link: https://www.econbiz.de/10005435689
Knowing the relative riskiness of different types of credit exposure is important for policy-makers designing regulatory capital requirements and for firms allocating economic capital. This paper analyses the risk structure of credit exposures with different maturities and credit qualities. It...
Persistent link: https://www.econbiz.de/10005435728