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Markovian Credit Risk Transition Probabilitiesunder Non-Negativity Constraints for the US Portfolio 1984-2004
Christodoulakis, George - Manchester Business School - 2006
Credit risk transition probabilities between aggregate portfolio classes constitute a very useful tool when individual … transition data are not available. Jones (2005) estimates Markovian Credit Transition Matrices using an adjusted least squares …
Persistent link: https://www.econbiz.de/10005870085
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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
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Macroeconomic uncertainty andcredit default swap spreads
Baum, Christopher F.; Wan, Chi - Boston College / Department of Economics - 2010
This paper empirically investigates the impact of macroeconomic uncertainty on thespreads of individual rms' credit …
Persistent link: https://www.econbiz.de/10009302541
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Risk Factors and Correlations for Credit Quality Changes
Hamerle, Alfred; Rösch, Daniel - Universität <Regensburg> / Lehrstuhl für Statistik - 2003
One of the greatest challenges in modeling credit portfolio risk is the issue of correlations between borrowers.Up to … credit qualities or defaults are due toexposures to common risk factors. Given the values of the risk factors borrowers are …
Persistent link: https://www.econbiz.de/10005867447
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Incentives and tranche retention in securitisation: a screening model
Fender, Ingo; Mitchell, Janet - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
This paper examines the power of different contractual mechanisms to influence an originator’s choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a “vertical slice”, or...
Persistent link: https://www.econbiz.de/10009138474
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Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire?
Frame, W. Scott; White, Lawrence J. - 2004
The roles of Fannie Mae and Freddie Mac have become increasingly controversial in the modern world of residential mortgage finance. We describe the special features of these two companies and their roles in the mortgage markets. We then discuss the controversies that surround them and offer...
Persistent link: https://www.econbiz.de/10005846884
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Emerging Competition and Risk-Taking Incentives at Fannie Mae and Freddie Mac
White, Lawrence J.; Frame, W. Scott - Federal Reserve Bank <Atlanta, Ga.> - 2004
This paper examines two major forces that may soon increase competition in the U.S. secondary conforming mortgage market: 1) the expansion of Federal Home Loan Bank mortgage purchase programs, and 2) the adoption of revised risk-based capital requirements for large U.S. banks (Basel II).(...)
Persistent link: https://www.econbiz.de/10005846886
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Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
Rau-Bredow, Hans - 2002
This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the … granularity adjustment in a"lumpy" credit portfolio. …
Persistent link: https://www.econbiz.de/10005843044
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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
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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 system. After an overview of recent credit risk transfer activity, the …
Persistent link: https://www.econbiz.de/10009302515