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Conservative stress testing: The role of regular verification
Geršl, Adam; Seidler, Jakub - 2010
This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank's stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly...
Persistent link: https://www.econbiz.de/10010322250
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Modeling a distribution of mortgage credit losses
Gapko, Petr; Šmíd, Martin - 2010
One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...
Persistent link: https://www.econbiz.de/10010322287
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Loss, default and loss given default modeling
Witzany, Jiří - 2009
is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …
Persistent link: https://www.econbiz.de/10010322310
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Survival analysis in LGD modeling
Witzany, Jiří; Rychnovský, Michael; Charamza, Pavel - 2010
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
Persistent link: https://www.econbiz.de/10010322331
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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the LGD parameter as well as to estimate the LGD...
Persistent link: https://www.econbiz.de/10010322333
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Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2
Zsámboki, Balázs - 2007
This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a model bank with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating...
Persistent link: https://www.econbiz.de/10010322384
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to...
Persistent link: https://www.econbiz.de/10010316304
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Credit Risk Factor Modeling and the Basel II IRB Approach
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003
risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active …
Persistent link: https://www.econbiz.de/10010295887
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10010295888
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …
Persistent link: https://www.econbiz.de/10010295906