We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk … factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …

During recent years markets for credit derivatives have developed considerably. Innovative financial instruments offer … new ways to banks to manage credit risk. In this paper we use a simple microeconomic model to show how a credit option of … the put type can be used by a bank's risk-averse management to hedge against credit risk. We find that under optimal …

) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the …

loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …

used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank …Wir ergänzen den industrieökonomischen Ansatz der Banktheorie um Unsicherheit und Risikoaversion, um Kredit- und … Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz …

calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward …

to any further aggravation of the crisis. At the same time, the sensitivity of bank credit risk premia declined and …

in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed …

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …