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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - In: Journal of Risk Finance 14 (2013) January, pp. 87-99
and implicit asset correlations for banks and corporates in India and compare it with global scenario. This paper deduces …Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk … their banks to calculate IRB risk weighted assets. Originality/value – These correlation estimates will help the regulators …
Persistent link: https://www.econbiz.de/10010610638
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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - Volkswirtschaftliche Fakultät, … - 2011
estimate default correlation in the credit portfolio of banks. These correlation estimates will help the regulator in India to …Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This … would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for …
Persistent link: https://www.econbiz.de/10009283794
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10005082801
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - Deutsche Bundesbank - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10005082814
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005
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...
Persistent link: https://www.econbiz.de/10005607533
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A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis
Knaup, Martin; Wagner, Wolf - In: Management Science 58 (2012) 8, pp. 1423-1437
We propose a new method for measuring the quality of banks' credit portfolios. This method makes use of information …
Persistent link: https://www.econbiz.de/10010990563
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A post-reform assessment of the Indian banking sector: profitability, risk and transparency
Chipalkatti, Niranjan; Rishi, Meenakshi - In: International Journal of Financial Services Management 2 (2007) 1/2, pp. 159-174
This paper critically evaluates the performance of Indian banks by examining quantitative data on bank profitability … the performance of Indian banks with respect to the quality of their disclosures. The assessment indicates deteriorating … for an improvement in the risk management skills of Indian banks and their supervisors. Such practices may necessitate …
Persistent link: https://www.econbiz.de/10010668742
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Macroeconomic Dynamics and Credit Risk: A Global Perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - CESifo - 2003
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10005766168
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Macroeconomic Dynamics and Credit Risk: A Global Perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - Financial Institutions Center, Wharton School of Business
The aim of this paper is to develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic...
Persistent link: https://www.econbiz.de/10005742664
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Integrated Market and Credit Risk Management of Fixed Income Portfolios
Walder, Roger - Swiss Finance Institute - 2002
In this paper, we present an integrated framework for the measurement and management of market and credit risk in fixed income portfolios. The framework based on the Mark-to-Future approach promoted by Algorithmics is used to analyze the contribution of market and credit risk to portfolio risk...
Persistent link: https://www.econbiz.de/10005612043