Similar Search Results

Modellierung desKreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009

The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...

Persistent link: https://www.econbiz.de/10008695277

Pitfalls in Modeling Loss Given Default of Bank Loans

Gürtler, Marc; Hibbeln, Martin - Braunschweig / Technische Universität / - 2011

The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage. For bank loans, the estimation is usually based on...

Persistent link: https://www.econbiz.de/10008939843

The Role of Non-Financial Factors in Internal Credit Ratings

Grunert, Jens; Norden, Lars; Weber, Martin - 2003

Internal credit ratings are expected to gain in importance because of their potential use for determining regulatory capital adequacy and banks increasing focus on the risk-return profile in commercial lending. Whereas the eligibility of financial factors as inputs for internal credit ratings is...

Persistent link: https://www.econbiz.de/10009138406

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Huang, Xin Xun; Zhou, Hao; Zhu, Haibin - Bank für Internationalen Zahlungsausgleich <Basel> - 2009

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

Persistent link: https://www.econbiz.de/10009138492

Innovations in credit risk transfer: implications for financial stability

Duffie, Darrell - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

Banks and other lenders often transfer credit risk to liberate capital for further loan intermediation. This paper aims to explore the design, prevalence and effectiveness of credit risk transfer (CRT). The focus is on the costs and benefits for the efficiency and stability of the financial...

Persistent link: https://www.econbiz.de/10009302515

EINFLUSSFAKTOREN AUF DEN CREDIT SPREAD VONUNTERNEHMENSANLEIHEN

Gann, Philipp; LAUT, AMELIE - Universität <München> / Fakultät für Betriebswirtschaft - 2008

verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen,dass neben Kreditrisiken noch weitere Faktoren die …

Persistent link: https://www.econbiz.de/10009418817

Probabilistic Knowledge Processingand Remaining Uncertainty

Reucher, Elmar; Kulmann, Friedhelm - Fernuniversität <Hagen> / Lehrgebiet … - 2007

’look’ on an epistemic state, as the entropy does,but also ’looks’ into an epistemic state. First the argumentswill be …

Persistent link: https://www.econbiz.de/10005868045

An Entropy Approach to the Stein/Stein model with correlation

Rheinlaender, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We outline a martingale duality method for determining the minimal entropy martingale measure in a general continuous …

Persistent link: https://www.econbiz.de/10005858499

Entropy, Economics, and Policy

Ruth, Matthias - Forschungszentrum Nachhaltigkeit (Artec) <Bremen> - 2007

The laws of thermodynamics constrain transformation of materials and energy, and thus have implications for material and energy use in the economy, for environmental impact, and for policy. This paper provides an overview over the applications of concepts from thermodynamics in economics at the...

Persistent link: https://www.econbiz.de/10005871020

Thoughts about Measurement and Relevance of Entropy in Economics and Sociology

Maier, Helmut - Leontief-Institut für Wirtschaftsanalyse - 2011

Assuming the existence of Hegel‟s consistent overall picture of the concept of entropy, the author transfers the … physical term of entropy into economics and sociology and illuminates the relevance of second law of thermodynamics within both … meaning of physical terms and measures into equivalent ones of economics and sociology. Result: The change of entropy within a …

Persistent link: https://www.econbiz.de/10009005027