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Nordische Bankenkrise der 90er Jahre: gemischte Erfahrungen mit "Bad Banks"
Ketzler, Rolf; Schäfer, Dorothea - In: DIW Wochenbericht 76 (2009) 5, pp. 87-95
Zentrale Maßnahmen zur Überwindung der Bankenkrisen der 90er Jahre in Schweden und Finnland waren in beiden Ländern der … es angesichts der weiter schwelenden Bankenkrise, zunächst einmal die Eckpfeiler der neuen Finanzmarktarchitektur …
Persistent link: https://www.econbiz.de/10011601950
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …
Persistent link: https://www.econbiz.de/10010326266
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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
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010300362
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Monitoring banking sector risks: An applied approach
Weistroffer, Christian; Vallés, Veronica - 2008
Despite abundant empirical evidence on the merits and limits of early-warning systems for banking crises the day-to-day use of such systems seems to be limited. Reluctance to use such systems may partly be explained by the difficulties to operationalise the proposed models, which are often...
Persistent link: https://www.econbiz.de/10010302115
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Euro – How Big a Difference: Finland and Sweden in Search of Macro Stability
Suni, Paavo; Vihriälä, Vesa - 2013
Union. In the Northern periphery of the EU, the different monetary regime choices of Finland and Sweden have created a … fared somewhat better than Finland in the EMU period. We assess the effects of the regime choice by simulating the behaviour … joined the EMU in 1999. The simulation exercise suggests that the independent monetary regime reduced the impact of the …
Persistent link: https://www.econbiz.de/10012037627
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Loss, default and loss given default modeling
Witzany, Jiří - 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...
Persistent link: https://www.econbiz.de/10010322310
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Macro stress testing with sector specific bankruptcy models
Valentiny-Endrész, Marianna; Vásáry, Zoltán - 2008
. Then, after identifying relevant shocks, the estimated models are employed in Monte Carlo simulation to conduct a stress …
Persistent link: https://www.econbiz.de/10010322432
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Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...
Persistent link: https://www.econbiz.de/10010325004
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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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Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford
Oxelheim, Lars; Wihlborg, Clas - 2009
Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate value and performance. We argue that lenders and management can obtain valuable information about the need for and approach to restructuring by decomposing default predictions...
Persistent link: https://www.econbiz.de/10010320364