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Reputation and Credit Market Formation:How Relational Incentives and LegalContract Enforcement Interact
Fehr, Ernst; Zehnder, Christian - Institut zur Zukunft der Arbeit <Bonn> - 2009
The evidence suggests that relational contracting and legal rules play an important role incredit markets but on the basis of the prevailing field data it is difficult to pin down their causalimpact. Here we show experimentally that relational incentives are a powerful causaldeterminant for the...
Persistent link: https://www.econbiz.de/10009360624
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Attributing systemic risk to individual institutions
Tarashev, Nikola A.; Borio, Claudio E. V.; … - Bank for International Settlements / Monetary and … - 2010
An operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, we propose an attribution methodology that has a number of appealing features: it can be used in conjunction with...
Persistent link: https://www.econbiz.de/10005870878
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Towards an operational framework for financial stability: "fuzzy" measurement and its consequences
Borio, Claudio E. V.; Drehmann, Mathias - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
the "fuzziness" with which financial (in)stability can be measured. We review the available measurement methodologies and … measurement does not prevent further progress towards an operational framework, as long as it is appropriately accounted for … stabilisers rather than discretion, thereby lessening the burden on the real-time measurement of financial stability risks; and …
Persistent link: https://www.econbiz.de/10009138482
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The financial turmoil of 2007–?: a preliminary assessment and some policy considerations
Borio, Claudio E. V. - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
The unfolding financial turmoil in mature economies has prompted the official and private sectors to reconsider policies, business models and risk management practices. Regardless of its future evolution, it already threatens to become one of the defining economic moments of the 21st century....
Persistent link: https://www.econbiz.de/10009305089
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The Effect of Capital and Risk Transfer Instruments in Financial Groups
Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and insolvency risk in a parent-subsidiary relationship. To better assess the effects, we compare this setting to the case of a holding company and an integrated financial group. In the...
Persistent link: https://www.econbiz.de/10005861407
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Regulatory capital for marketand credit risk interaction:is current regulation always conservative?
Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...
Persistent link: https://www.econbiz.de/10005866203
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The Empirical Relation between CreditQuality, Recovery, and Correlation
Rösch, Daniel; Scheule, Harald - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2009
Credit risk is an important issue in many nance areas, such as the determinationof cost of capital, the valuation of corporate bonds and pricing of credit derivatives.Credit risk has also been a cause and consequence of the current nancial crisis.Thus, methods for measuring credit risk, default...
Persistent link: https://www.econbiz.de/10005867311
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Stress-Testing Credit Risk Parameters - An Application toRetail Loan Portfolios
Rösch, Daniel; Scheule, Harald - University <Regensburg> / Department of Statistics, … - 2007
Financial institutions are faced with the challenge to forecast future credit portfolio losses.It is common practice to focus on portfolio models consisting of a limited set of parameters,such as the probability of default, asset correlation, loss given default or exposure at default.A simple...
Persistent link: https://www.econbiz.de/10005867434
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Parameterizing Credit Risk Models
Hamerle, Alfred; Rösch, Daniel - University of Regensburg / Department of Statistics, … - 2006
The present paper shows how the parameters of three popular portfolio credit risk models can be empiricallyestimated by banks using a Maximum Likelihood framework. We apply the method to a database of Germanfirms provided by Deutsche Bundesbank and analyze the inclusion of macroeconomic and...
Persistent link: https://www.econbiz.de/10005867437
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Forecasting Retail Portfolio Credit Risk
Rösch, Daniel; Scheule, Harald - Universität <Regensburg> / Institut für Banken und … - 2004
A major topic in retail lending is the measurement of the inherent portfolio credit risk. Two importantparameters are …
Persistent link: https://www.econbiz.de/10005867443