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Towards Putting a Price on the Risk of Bank Failure
Snethlage, Daniel - 2015
This paper develops a new approach for conceptualizing and measuring the risk associated with bank failure. The price …), representing the price of the financial risk that exists ex-ante (ie, before a bank fails). This can be interpreted as the cost …. If that were to happen, and if net losses were to be 5-10 per cent of bank liabilities the total cost could be $16 …
Persistent link: https://www.econbiz.de/10012115693
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On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach
Weißbach, Rafael; von Lieres und Wilkau, Carsten - 2005
Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts...
Persistent link: https://www.econbiz.de/10010296668
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An Analysis of the Effects of the Severance Payment Reform on Credit to Italian SMEs
Calcagno, Riccardo; Kraeussl, Roman; Monticone, Chiara - 2008
bank loans, we also estimate the future outflows of TFR funds due to the reform. …
Persistent link: https://www.econbiz.de/10010325713
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Stress testing of the Czech banking sector
Jakubík, Petr; Heřmánek, Jaroslav - 2008
This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...
Persistent link: https://www.econbiz.de/10010322230
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term …
Persistent link: https://www.econbiz.de/10010300362
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Stress testing German banks against a global cost-of-capital shock
Duellmann, Klaus; Kick, Thomas - 2012
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10010308263
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Implied market loss given default: Structural-model approach
Seidler, Jakub - 2008
This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable...
Persistent link: https://www.econbiz.de/10010322322
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Hunting the Living Dead A “Peso Problem” in Corporate Liabilities Data
Manera, Matteo; Cherubini, Umberto - 2005
Recent literature has pointed out that information asymmetries may be the reason for the poor performance of structural credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of the credit spread terms structure, particularly on...
Persistent link: https://www.econbiz.de/10010312533
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Stress testing German banks in a downturn in the automobile industry
Düllmann, Klaus; Erdelmeier, Martin - 2009
In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...
Persistent link: https://www.econbiz.de/10010298778
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The Pricing of Bank Debt Guarantees
Arping, Stefan - 2009
We analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution …
Persistent link: https://www.econbiz.de/10010326062