) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the … increase of portfolio risk due to the higher sectoral concentration. If specialization is instead measured by distance measures …

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 …

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 premium increased significantly during the crisis, whereas the long-run mean …

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This … credit risk. Recent literature, however, does not account for this fact when analyzing the effects of these instruments on …

into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …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 …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …

. A simple theoretical model predicts that interest rates of interlinked loans increase with income volatility when …

-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 the standardized approach, allocate their loan portfolio between high-risk … risk-taking, but encourage unsophisticated banks to increase risk-taking. The risk reallocation effects are stronger when …

study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of …