Narrow search
Showing 1 - 10 of 943
Cover Image
Recovery Risk in Credit Default Swap Premia
Schläfer, Timo - 2011
The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties...
Persistent link: https://www.econbiz.de/10014015311
Cover Image
Commercial Banking Risk Management : Regulation in the Wake of the Financial Crisis
Tian, Weidong (ed.) - 2017
This edited collection comprehensively addresses the widespread regulatory challenges uncovered and changes introduced in financial markets following the 2007-2008 crisis, suggesting strategies by which financial institutions can comply with stringent new regulations and adapt to the pressures...
Persistent link: https://www.econbiz.de/10012397374
Cover Image
The Regulation of Systemically Relevant Banks : How Governments Should Manage Their Exposure to Banking System Risk
Moenninghoff, Sebastian C. - 2018
for Bank Regulation Empirical Examination of the New International Regulation Dealing with Global Systemically Important … Categorize and Discuss the Full Range of Major Policy Options for Bank Regulation -- Empirical Examination of the New …
Persistent link: https://www.econbiz.de/10012396879
Cover Image
Ökonomische Auswirkungen von Schätzfehlern bei der bankinternen Bestimmung von Kreditausfallwahrscheinlichkeiten
Wrede, Irmhild - 2010
Grundlagen -- Auswirkungen der Verwendung verrauschter PD-Schätzungen auf die Höhe des regulatorischen Kapitals gemäß Basel II -- Winner's Curse als mögliche Folge verrauschter PD-Schätzungen -- Auswirkungen einer Verrauschung der PD-Schätzungen auf die Ergebnisse der quantitativen...
Persistent link: https://www.econbiz.de/10014424929
Cover Image
From Basel 1 to Basel 3: The Integration of State-of-the-Art Risk Modeling in Banking Regulation
Balthazar, Laurent - 2006
The proposed rules are presented and key issues regarding implementation of the accord identified. The model used to calibrate the capital requirements under Basel 2 is analyzed and projected forward to present what could be key new elements in the future Basel 3 regulation. A CD-ROM is included...
Persistent link: https://www.econbiz.de/10012053996
Cover Image
The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Engelmann, Bernd - 2011
Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow … -- Transition Matrices: Properties and Estimation Methods -- A Multi-Factor Approach for Systematic Default and Recovery Risk …The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and …
Persistent link: https://www.econbiz.de/10014015277
Cover Image
Optimal Risk-Return Trade-Offs of Commercial Banks : and the Suitability of Profitability Measures for Loan Portfolios
Kühn, Jochen (contributor) - 2006
This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...
Persistent link: https://www.econbiz.de/10013520561
Cover Image
Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects
Grundke, Peter (contributor) - 2008
Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss distribution that comprises various risk types are...
Persistent link: https://www.econbiz.de/10013521007
Cover Image
Unternehmensreputation und M&A-Transaktionen : Bewertung strategischer Entscheidungen in der US-amerikanischen Finanz- und Telekomindustrie
Loefert, Christian (contributor) - 2007
Strategische Entscheidungen und die Trennung von Eigentum und Kontrolle -- Reputation im Zusammenspiel von Kapitalgebern und Management -- Die Bewertung von M&A-Transaktionen -- Die amerikanische Banken- und Telekommunikationsindustrie -- Empirische Untersuchung -- Fazit und Schlussbemerkungen.
Persistent link: https://www.econbiz.de/10014014371
Cover Image
The Validation of Risk Models : A Handbook for Practitioners
Scandizzo, Sergio - 2016
The practice of quantitative risk management has reached unprecedented levels of refinement. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on advanced...
Persistent link: https://www.econbiz.de/10012398025