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Default correlations, macroeconomic risk and credit portfolio management
Gersbach, Hans; Lipponer, Alexander - 1999
Persistent link: https://www.econbiz.de/10001475214
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Liquidity creation, efficiency, and free banking
Gersbach, Hans - In: Journal of financial intermediation 7 (1998) 1, pp. 91-118
Persistent link: https://www.econbiz.de/10001246941
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Enough liquidity with enough capital - and vice versa?
Gersbach, Hans; Haller, Hans; Zelzner, Sebastian - 2023
We study the interplay of capital and liquidity regulation in a general equilibrium setting by focusing on future … default coexist, and bank default is a self-fulfilling prophecy. Capital and liquidity regulation can prevent bank default and … liquidity regulation. Adding liquidity regulation to optimal capital regulation is redundant. …
Persistent link: https://www.econbiz.de/10014366762
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Default Risk in Stochastic Volatility Models
Gersbach, Hans - 2010
We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm's values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that the...
Persistent link: https://www.econbiz.de/10013138808
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Enough liquidity with enough capital : and vice versa?
Gersbach, Hans; Haller, Hans; Zelzner, Sebastian - 2024
Persistent link: https://www.econbiz.de/10014533400
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Default correlations in the Merton model
Erlenmaier, Ulrich; Gersbach, Hans - In: Review of finance : journal of the European Finance … 18 (2014) 5, pp. 1775-1809
Persistent link: https://www.econbiz.de/10010510324
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010503718
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Persistent link: https://www.econbiz.de/10001637575
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Persistent link: https://www.econbiz.de/10013429668
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010301737