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Kreditrisikohandel, Basel II und interne Märkte in Banken
Klement, Jochen - 2007
Persistent link: https://www.econbiz.de/10004921163
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Praxishandbuch Risikomanagement und Rating : Ein Leitfaden
Reichling, Peter - 2007 - 2., überarbeitete und erweiterte Auflage
Persistent link: https://www.econbiz.de/10004909866
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Securitisation in France: recent developments
O. Birouk.; F. Darves. - In: Quarterly selection of articles - Bulletin de la Banque …, 32, pp. 29-47
Securitisation is growing at a moderate pace in France. With total outstanding securitised assets of EUR 215 billion at mid-2013, France ranks fifth in the euro area. The majority of securitised assets are loans to French residents. Securitisation has facilitated banks’ access to Eurosystem...
Persistent link: https://www.econbiz.de/10010760463
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Microinformation, Nonlinear Filtering and Granularity
GAGLIARDINI, Patrick; GOURIEROUX, Christian; MONFORT, Alain - 2009
an application of the Value of the Firm model [Merton (1974)] to both default and loss given default. …
Persistent link: https://www.econbiz.de/10008922923
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ВЛИЯНИЕ ВРЕМЕННОЙ СТРУКТУРЫ ПОРТФЕЛЯ НА ПОКАЗАТЕЛИ МИНИМАЛЬНОГО ОБЪЕМА ЭКОНОМИЧЕСКОГО КАПИТАЛА КОММЕРЧЕСКИХ БАНКОВ И ВЕРОЯТНОСТИ ДЕФОЛТА ЗАЕМЩИКОВ
ПОМАЗАНОВ МИХАИЛ ВЯЧЕСЛАВОВИЧ.; … - In: Вестник Южно-Уральского … 7 (2013) 3, pp. 6-12
Статья посвящена проблемам определения адекватной величины экономического капитала, необходимого для создания резервов в банковском секторе. Рассмотрены...
Persistent link: https://www.econbiz.de/10011247196
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Optimal capital structure and endogenous default
Hilberink, Bianca; Rogers, L.C.G. - In: Finance and Stochastics 6 (2002) 2, pp. 237-263
In a sequence of fascinating papers, Leland and Leland and Toft have investigated various properties of the debt and credit of a firm which keeps a constant profile of debt and chooses its bankruptcy level endogenously, to maximise the value of the equity. One feature of these papers is that the...
Persistent link: https://www.econbiz.de/10005390699
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Evaluating corporate bonds with complicated liability structures and bond provisions
Wang, Chuan-Ju; Dai, Tian-Shyr; Lyuu, Yuh-Dauh - In: European Journal of Operational Research 237 (2014) 2, pp. 749-757
handle complex default boundaries, discrete payments, various asset sales assumptions, and early redemption provisions for …
Persistent link: https://www.econbiz.de/10011097751
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A detailed analysis of fulfilling and delinquency of payments on loan
Voloshyn, Ihor - Volkswirtschaftliche Fakultät, … - 2014
of the events of fulfilling, delinquency and default of each individual payment on the loan. The proposed model has …
Persistent link: https://www.econbiz.de/10011111290
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Modelling default transitions in the UK mortgage market
McCann, Fergal - Central Bank of Ireland - 2014
transitions-based model of mortgage default. The estimation departs from cross-sectional methods typically used in mortgage … default models, in that the transition both into and out of mortgage default is predicted. Housing equity, regional … unemployment and loan interest rates are found to impact the probability of transition into default, while housing equity, interest …
Persistent link: https://www.econbiz.de/10011082811
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The Banque de France company rating system:a tool to facilitate companies’ access to bank credit
L. Schirmer. - In: Quarterly selection of articles - Bulletin de la Banque … (2014) 35, pp. 5-20
The Banque de France company rating system provides an objective, independent evaluation of some 270,000 companies, based on quantitative and qualitative analyses. Although it differs from the activities of credit rating agencies, it is nonetheless subject to regular controls to ensure it...
Persistent link: https://www.econbiz.de/10011123449