We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

wichtigsten Industriemodelle (Credit Risk+, KMV, Credit Metrics, Credit Portfolio View). Behandelt werden ferner die Grundzüge von …Measurement and valuation of credit risks is a very important (Basel II, Solvency II, Credit Derivatives) topic of … management in context of credit risks. We begin with an introductory characterization of credit risks and a sketch on rating …

show that the incidence of inefficient credit termination and subsequent firm liquidation is contingent on the borrower … inefficient credit decisions than monopoly relationship lending or homogeneous multiple banking, provided that the relationship …

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and …

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical … they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is … important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank …Wir ergänzen den industrieökonomischen Ansatz der Banktheorie um Unsicherheit und Risikoaversion, um Kredit- und … Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …