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Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

Market timing, maturity mismatch, and risk management : evidence from the banking industry

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps … compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …

Persistent link: https://www.econbiz.de/10010248947

Dynamics of probabilities of default

Bednarek, Peter; Franke, Günter - 2024

Probabilities of default (PDs) of loans are of central importance for financial stability. We analyze the PDs, reported quarterly by German financial institutions to Deutsche Bundesbank. The development of PDs is modelled as an AR process of PD changes and an initial PD. Panel regressions show...

Persistent link: https://www.econbiz.de/10015048451

Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default

Wosnitza, Jan Henrik - 2022

The transformation of credit scores into probabilities of default plays an important role in credit risk estimation. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent of machine learning techniques in the discriminatory phase...

Persistent link: https://www.econbiz.de/10012876151

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - 2013

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 the size dependence of regulatory capital requirements....

Persistent link: https://www.econbiz.de/10009751062

Banks' concentration versus diversification in the loan portfolio : new evidence from Germany

Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013

Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...

Persistent link: https://www.econbiz.de/10010233376

The rollout of internal credit risk models : implications for the novel partial-use philosophy

Schlam, Carina; Woyand, Corinna - 2023

The novel partial-use philosophy by the Basel Committee on Banking Supervision initiates a paradigm shift for banks, allowing them to permanently partially apply the internal ratings-based approach (IRBA) and not having to fully roll it out across the overall bank anymore. This raises the...

Persistent link: https://www.econbiz.de/10014227602

Back to the roots of internal credit risk models : does risk explain why banks' risk-weighted asset levels converge over time?

Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2024

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels....

Persistent link: https://www.econbiz.de/10014467948

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