Like all the member states of the European Union, Slovenia was also obligated to implement EUDirectives 2006/48/EC and 2006/49/EC into national banking legislative. Basel II rules were implementedinto Slovenian legislative in December 2006 and have been valid from 1st of January 2007. Before...

We solve the problem of optimal securitization for an issuer facing heterogeneous investorswith arbitrary time and risk preferences. We show that the optimal securitizationis characterized by multiple nonlinear tranches, and each investor gets a portfolio of thesetranches. In particular, when...

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...

Building on the ‘law and economics’ literature, this paper analyses corporategovernance implications of debt financing in an environment where a dominant owner isable to extract ex ante ‘private benefits of control’. Ownership concentration may result inlower efficiency, measured as a...

Der vorliegende Beitrag beschäftigt sich mit der Aufarbeitung der Hintergründe der Subprime-Krisesowie der nachfolgenden internationalen Banken- und Finanzkrisen. Auf dieser Basis werden Vorschlägediskutiert, wie die erkannten Schwachstellen im Finanzsystem repariert bzw. behoben...

Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimatesdo not explicitly take portfolio concentration into account. We start from the credit portfolioof the German pension insurer being a cross-sectional representation of the German economyand subsequently...

This paper examines the potential distortion of prices in the CDS marketcaused by too-big-to-fail. Overall, we find evidence for market discipline inthe CDS market. However, CDS prices are distorted due to a size effect whicharises when investors expect a public bail-out as a result of...

In this paper we investigate the interaction between a credit portfolio and another risktype, which can be thought of as market risk. Combining Merton-like factor models forcredit risk with linear factor models for market risk, we analytically calculate their interriskcorrelation and show how...