Showing 1 - 10 of 293
This website of the Nederlandsche Bank (DNB) provides monetary and financial statistics for the Netherlands.
Persistent link: https://www.econbiz.de/10005852152
Die Stabilität des Finanzsystemsist gegenwärtig durch spekulativeÜbertreibungen auf den Kredit- undVerbriefungsmärkten gefährdet. Damitgehen erhebliche Belastungen für diereale Wirtschaftsentwicklung einher.Mehr Transparenz und Basel II werdendas zentrale Problem, das Herdenverhaltenauf...
Persistent link: https://www.econbiz.de/10005866025
Finance an der Goethe-Universität Frankfurt. Dabei wird u.a. auf die Ursachen der globalen Finanzkrise am Bankenmarkt …
Persistent link: https://www.econbiz.de/10005869571
IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...
Persistent link: https://www.econbiz.de/10008637661
Before - The use of ratings; During- Responses, Reactions, Lessons Learnt; After- BReakouts, Conclusions...
Persistent link: https://www.econbiz.de/10008637663
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used in the credit derivatives market for price communication.During the financial crisis, implied correlations have been quite volatile indicating thegrowing fraction of systematic...
Persistent link: https://www.econbiz.de/10008695300
We propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), whichextends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric...
Persistent link: https://www.econbiz.de/10005860755
Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...
Persistent link: https://www.econbiz.de/10005865449
In 2004 the Basel Committee published an extensive revision of the capital charges whichcreates more risk sensitive capital requirements for banks. The New Accord called “InternationalConvergence of Capital Measurement and Capital Standard” provides in its first pillarfor a finer measurement...
Persistent link: https://www.econbiz.de/10005865608
This paper tracks a structured financial innovation, the commercial mortgage-backed securitywhich is not as novel as current discussion around the sub-prime crisis let assume. However,CMBS as credit-derivatives feature various factors that influence the risks arising from acommercial-mortgage...
Persistent link: https://www.econbiz.de/10005865610