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Credit protection and lending relationships
Arping, Stefan - 2012
Persistent link: https://www.econbiz.de/10010190981
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Credit rationing effects of credit value-at-risk
Slijkerman, Jan Frederik; Smant, David Jan Cornelis; … - 2004
asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem … of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation … welfare. CVaR regulation also affects the operation of monetary policy. …
Persistent link: https://www.econbiz.de/10011334832
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Incentives for effective risk management
Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001
standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …
Persistent link: https://www.econbiz.de/10011318589
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...
Persistent link: https://www.econbiz.de/10013489714
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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - 2003
important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …
Persistent link: https://www.econbiz.de/10011333881
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005
We model 1981-2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope with...
Persistent link: https://www.econbiz.de/10011343953
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Nonparametric estimation for non-homogeneous semi-Markov processes : an application to credit risk
Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10011348706
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...
Persistent link: https://www.econbiz.de/10010224793
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Do firms sell forward for strategic reasons? : an application to the wholesale market for natural gas
Eijkel, Remco van; Moraga-González, José Luis - 2010
Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...
Persistent link: https://www.econbiz.de/10011380799