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Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
Rau-Bredow, Hans - 2002
This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the distinction between systematic and unsystematic risk. Unsystematicor borrower-specific risk vanishes through diversification in a very large, infinitelyfine-grained portfolio. The...
Persistent link: https://www.econbiz.de/10005843044
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Concentration risk in credit portfolios : with 19 tables
Lütkebohmert-Holtz, Eva; Lütkebohmert, Eva - 2009
Persistent link: https://www.econbiz.de/10003752832
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Are banks different? : evidence form the CDS market
Raunig, Burkhard; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003810904
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Analysis of non-compliant loans in German synthetic mortgage-backed securities transactions : performance and regulatory effects
Trinkaus, Gaby - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008841458
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Estimating bilateral exposures in the German interbank market : is there a danger of contagion?
Upper, Christian; Worms, Andreas - 2002
Persistent link: https://www.econbiz.de/10004711139
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Risk Management in Credit Portfolios : Concentration Risk and Basel II
Hibbeln, Martin - 2010
Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector Concentration Risk in Credit Portfolios -- Conclusion
Persistent link: https://www.econbiz.de/10013522876
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Risk management in credit portfolios : concentration risk and Basel II
Hibbeln, Martin - 2010
Persistent link: https://www.econbiz.de/10008771418
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Estimating bilateral exposures in the German interbank market : is there a danger of contagion?
Upper, Christian; Worms, Andreas - 2002
Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to … reduces- but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …
Persistent link: https://www.econbiz.de/10001658340
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Estimating bilateral exposures in the German interbank market : is there a danger of contagion?
Upper, Christian; Worms, Andreas - 2002
Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …
Persistent link: https://www.econbiz.de/10011431377
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Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony - 1999
Persistent link: https://www.econbiz.de/10000682884