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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
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CDOs and systematic risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10010303672
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CDOs and systematic risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10010271455
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
analysis for Australia, China and India, the impacts of exchange rates on Australia's domestic and outbound travel markets …
Persistent link: https://www.econbiz.de/10010326266
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The Insurance Premium in the Interest Rates of Interlinked Loans in a Small-scale Fishery
Riekhof, Marie-Catherine - 2016
insurance premia exist. Based on data from a small-scale fishery in India, calculations show that on average, lenders receive 25 …
Persistent link: https://www.econbiz.de/10011753328
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Supervision of the Irish Banking System: A Critical Perspective
O’Sullivan, K.P.V.; Kennedy, Tom - In: CESifo DICE Report 06 (2008) 3, pp. 20-26
Persistent link: https://www.econbiz.de/10011696647
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Playing the Shadowy World of Emerging Market Shadow Banking
Michael, Bryane - 2014
For emerging market regulators, shadow banking represents an activity which they must control. For businessmen in economies like Russia, Argentina, Saudi Arabia and Mexico, shadow banking represents an important business opportunity. By extending credit to risky (but promising) activities...
Persistent link: https://www.econbiz.de/10010501814
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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
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10010264540
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Treatment of Double Default Effects within the Granularity Adjustment for Basel II
Ebert, Sebastian; Lütkebohmert, Eva - 2009
Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversi?ed away. The impact of undiversi?ed idiosyncratic risk on portfolio Value-at-Risk can be quanti?ed via a granularity adjustment (GA). We provide an analytic formula for the...
Persistent link: https://www.econbiz.de/10010270006