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Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk …-sensitive way: Compared to a situation without regulation the optimal volume of loans decreases more as the riskiness of …

Persistent link: https://www.econbiz.de/10010308265

A compass to guide EU policy in support of business competitiveness

Erixon, Fredrik; Guinea, Oscar; Lamprecht, Philipp; … - 2022

The EU agenda for improving competitiveness is missing in action. Economic competitiveness has been a central plank in the development of the European Union - a relentless quest for policies that lead to more prosperity and that make European companies in world markets more successful. However,...

Persistent link: https://www.econbiz.de/10014560176

Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2

Zsámboki, Balázs - 2007

mechanism of Basel II and to explore the possible impacts of prudential regulation on cyclical swings in capital requirements. …

Persistent link: https://www.econbiz.de/10010322384

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10011605153

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

A Note on Hedging a Loan Portfolio

Welzel, Peter; Broll, Udo - 2003

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the...

Persistent link: https://www.econbiz.de/10010263007

Managing credit risk with credit and macro derivatives

Welzel, Peter; Schweimayer, Gerhard; Broll, Udo - 2003

Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz …

Persistent link: https://www.econbiz.de/10010263009

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 measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...

Persistent link: https://www.econbiz.de/10010295906

Measuring business sector concentration by an infection model

Düllmann, Klaus - 2006

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of...

Persistent link: https://www.econbiz.de/10010295911

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10010295926

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