Narrow search
Showing 1 - 10 of 13,488
Cover Image
Main flaws of the collateralized debt obligation's valuation before and during the 2008/2009 global turmoil
Benešová, Petra; Teplý, Petr - 2010
As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as collateralized debt obligations (CDOs). The aim of...
Persistent link: https://www.econbiz.de/10010322285
Cover Image
Financial intermediation theory and implications for the sources of value in structured finance markets
Mitchell, Janet - 2005
Structured finance instruments represent a form of securitization technology which can be defined by the … securitization, in order to identify the economic forces underlying the creation of SF instruments. A question addressed is under … what circumstances one would expect to observe pooling alone (as with traditional securitization) versus pooling and …
Persistent link: https://www.econbiz.de/10011506593
Cover Image
Agency problems in structured finance – a case study of European CLOs
Keller, Joachim - 2008
This paper is a case study that focuses on possible incentive problems in the management of Collateralized Loan Obligations (CLOs). CLOs are the most important type of special purpose vehicles in the leveraged loan market, and their managers appear to have a considerable impact on performance....
Persistent link: https://www.econbiz.de/10011506658
Cover Image
Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
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 managerial and market factors. Furthermore, the bank's...
Persistent link: https://www.econbiz.de/10010305454
Cover Image
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
Cover Image
How smart are investors after the subprime mortgage crisis? Evidence from the securitization market
Gürtler, Marc; Hibbeln, Martin - 2012
securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit …
Persistent link: https://www.econbiz.de/10010309795
Cover Image
An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - 2009
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10011605087
Cover Image
Kreditrisiken - Modellierung und Management: Ein Überblick
Albrecht, Peter - In: German Risk and Insurance Review (GRIR) 1 (2005) 2, pp. 22-152
Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...
Persistent link: https://www.econbiz.de/10010311175
Cover Image
CDOs and the Financial Crisis: Credit Ratings and Fair Premia
Wojtowicz, Marcin - 2011
This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...
Persistent link: https://www.econbiz.de/10010326077
Cover Image
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