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Avoiding the rating bounce: Why rating agencies are slow to react to new information

Löffler, Gunter - 2002

Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom,...

Persistent link: https://www.econbiz.de/10010316237

Credit Risk Factor Modeling and the Basel II IRB Approach

Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003

risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active …

Persistent link: https://www.econbiz.de/10010295887

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

Einfache ökonometrische Verfahren für die Kreditrisikomessung: Verweildauermodelle

Kaiser, Ulrich; Szczesny, Andrea - 2000

Im Mittelpunkt dieses Beitrag stehen Verweildauermodelle und deren Verwendung als Analyseinstrumente für die Bewertung und Berechnung von Kreditausfallrisiken. Verschiedene Möglichkeiten zur Berechnung der Dauer des Nichtausfalls eines Kredites werden dabei vorgestellt. Die hier vorgestellten...

Persistent link: https://www.econbiz.de/10010316319

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 … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

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

Are Credit Ratings Valuable Information?

Kraft, Kornelius; Czarnitzki, Dirk - 2004

Credit ratings are commonly used by lenders to assess the default risk, because every credit is connected with a possible loss. If the probability of a default is above a certain threshold, a credit will not be provided. The purpose of this paper is to test whether credit ratings contribute...

Persistent link: https://www.econbiz.de/10010297323

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

Persistent link: https://www.econbiz.de/10010299482

Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P

Krämer, Walter; Güttler, André - 2003

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well...

Persistent link: https://www.econbiz.de/10010306287

Incorporating the dynamics of leverage into default prediction

Löffler, Gunter; Maurer, Alina - 2009

A firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in...

Persistent link: https://www.econbiz.de/10010263767

Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010

Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...

Persistent link: https://www.econbiz.de/10010303636

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