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Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions

Trinkaus, Gaby - 2010

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a …

Persistent link: https://www.econbiz.de/10010301353

Endogenous credit derivatives and bank behavior

Pausch, Thilo - 2007

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...

Persistent link: https://www.econbiz.de/10010295935

Regulation, credit risk transfer, and bank lending

Pausch, Thilo; Welzel, Peter - 2011

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze lending behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS) for hedging purposes. Regulation is found to induce...

Persistent link: https://www.econbiz.de/10010291748

Kreditrisiken - Modellierung und Management: Ein Überblick

Albrecht, Peter - In: German Risk and Insurance Review (GRIR) 1 (2005) 2, pp. 22-152

Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...

Persistent link: https://www.econbiz.de/10010311175

An economic capital model integrating credit and interest rate risk in the banking book

Alessandri, Piergiorgio; Drehmann, Mathias - 2009

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...

Persistent link: https://www.econbiz.de/10011605087

Securitization and lending standards: evidence from the wholesale loan market

Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2011

We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …

Persistent link: https://www.econbiz.de/10011605408

Risk transfer with CDOs

Krahnen, Jan Pieter; Wilde, Christian - 2008

securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …

Persistent link: https://www.econbiz.de/10010269733

Risk transfer with CDOs

Krahnen, Jan Pieter; Wilde, Christian - 2008

securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …

Persistent link: https://www.econbiz.de/10010298398

The New Basel Accord: Implications of the Co-existence between the Standardized Approach and the Internal Ratings-based Approach

Rime, Bertrand - 2003

We examine the prudential implications of the co-existence between the standardized approach and the internal ratings-based (IRB) approach, as defined in the new Basle Accord. We consider a model in which sophisticated banks, eligible for the IRB approach, and unsophisticated banks, eligible for...

Persistent link: https://www.econbiz.de/10011430044