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The valuation of stochastic insurance liabilities using a structural model approach

Kanno, Masayasu - In: Journal of financial engineering 2 (2015) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10010528378

Macro stress test for credit risk

Kanno, Masayasu - In: Journal of risk finance : the convergence of financial … 16 (2015) 5, pp. 536-574

Persistent link: https://www.econbiz.de/10011531081

Monetary conditions and banks' behaviour in the Czech Republic

Geršl, Adam; Jakubik, Petr; Kowalczyk, Dorota; Ongena, … - In: Open economies review 26 (2015) 3, pp. 407-445

Persistent link: https://www.econbiz.de/10011481398

Hazardous times for monetary policy : what do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?

Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 2, pp. 463-505

Persistent link: https://www.econbiz.de/10010404517

The real estate and credit bubble : evidence from Spain

Akin, Ozlem; García Montalvo, José; García Villar, Jaume - In: SERIEs : Journal of the Spanish Economic Association 5 (2014) 2/3, pp. 223-243

We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on … contract) and the lender identity, over the last credit boom and bust. We find that lending standards are softer in the boom …

Persistent link: https://www.econbiz.de/10010422334

Default forecasting considering correlation between business and credit cycles

Kanno, Masayasu - In: Journal of applied finance & banking 2 (2012) 5, pp. 275-305

Bank’s major approach in her internal rating system is credit scoring valuation which focused on corporates’ idiosyncratic risks and based on their financial indexes. Hence, an influence on corporates’ credit risks by business variation is not considered in her system. We model the effect...

Persistent link: https://www.econbiz.de/10009673680

An analysis of systemic risk in the insurance sector : evidence from Asia-Pacific region

Kanno, Masayasu - In: Asia-Pacific journal of risk and insurance : APJRI 8 (2014) 2, pp. 149-178

Persistent link: https://www.econbiz.de/10010393591

Incorporating systemic influences into risk measurements : survey of the literature

Allen, Linda; Saunders, Anthony - In: Journal of financial services research : JFSR 26 (2004) 2, pp. 161-192

Persistent link: https://www.econbiz.de/10002237584

Credit ratings and the BIS capital adequacy reform agenda

Altman, Edward I.; Bharath, Sreedhar T.; Saunders, Anthony - In: Journal of banking & finance 26 (2002) 5, pp. 909-921

Persistent link: https://www.econbiz.de/10001665079

Un panorama de los efectos cíclicos en los modelos de medición del riesgo de crédito

Allen, Linda; Saunders, Anthony - In: Papeles de economía española 94 (2002), pp. 2-27

Persistent link: https://www.econbiz.de/10001709395