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...

Gemäß den im Juni 2004 durch den Baseler Ausschuss endgültig verabschiedeten Kapitalstandards (Basel II) sind Kredite in Höhe des so genannten unerwarteten Verlusts mit Eigenkapital zu unterlegen. Für erwartete Verluste hat das jeweilige Kreditinstitut Rückstellungen zu bilden, wobei hier...

The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weights. Performance of the method is documented in...

Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei...

This paper is an analysis of Japan’s credit channel. The economic condition has no hindrance, but credit demand showed an inert performance. The state’s policies have helped the flow of finance and prevent bankruptcy, but several other aspects act as an impediment to credit...

Empirical studies have found that a low interest rate environment accelerates firmsf investment and debt financing, leading to subsequent balance-sheet problems in many countries in recent years. We examine the mechanism whereby firmsf debt financing and investment become more accelerated and...

Empirical studies have found that a low interest rate environment accelerates firmsf investment and debt financing, leading to subsequent balance sheet problems in many countries in recent years. We examine the mechanism whereby firmfs debt financing and investment become more accelerated and...

The domino phenomenon that corporate failures occur along supply chain during the recent financial tsunami shows the important effects of the systematic risk of a firm’s supply chain counterparties on its credit risk (or bond yield spreads). It motivates this research to investigate the...

The current financial services industry crisis is attributed in large part to the mortgage industry debacle. The mortgage industry initially saw a rise in home values and therefore a rise in mortgage originations. This occurred during a period that witnessed a decline in short-term interest...

This paper introduces a strong and controversial point of view, which we believe may help foster debate about a number of fundamental high-level issues currently affecting the financial industry. <p> The Capco Institute is open to controversial ideas. The Journal of Financial Transformation will...</p>