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Bank risk ratings and the pricing of agricultural loans
Walraven, Nick; Barry, Peter J. - In: Agricultural finance review 64 (2004) 2, pp. 107-118
Persistent link: https://www.econbiz.de/10003038916
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Bewertung des Ausfallrisikos deutscher Hypothekenbank-Pfandbriefe
Sünderhauf, Robert - 2006
Persistent link: https://www.econbiz.de/10003400693
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Capital regulation induced reaching for systematic yield : financial instability through fire sales
Boermans, Martijn A.; Kroft, Bram van der - In: Journal of banking and finance 158 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014451958
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Is the regulatory downturn LGD adequate? : performance analysis and alternative methods
Hartmann-Wendels, Thomas; Imanto, Christopher Paulus - In: Journal of the Operational Research Society 74 (2023) 3, pp. 736-747
Persistent link: https://www.econbiz.de/10014332036
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Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults
Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774
Persistent link: https://www.econbiz.de/10014336309
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Ökonomische Auswirkungen von Schätzfehlern bei der bankinternen Bestimmung von Kreditausfallwahrscheinlichkeiten
Wrede, Irmhild - 2010
Grundlagen -- Auswirkungen der Verwendung verrauschter PD-Schätzungen auf die Höhe des regulatorischen Kapitals gemäß Basel II -- Winner's Curse als mögliche Folge verrauschter PD-Schätzungen -- Auswirkungen einer Verrauschung der PD-Schätzungen auf die Ergebnisse der quantitativen...
Persistent link: https://www.econbiz.de/10014424929
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Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria
Penikas, Henry - In: Risk management : an international journal 25 (2023) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014372840
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Stress testing programs and credit risk opacity of banks : USA vs Europe
Abad, Pilar; Robles-Fernández, M. Dolores; Alonso … - In: Journal of international financial markets, … 89 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014490164
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Credit rating migration risk and interconnectedness in a corporate lending network
Kanno, Masayasu - In: Research in international business and finance 54 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012581392
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Credit Rating Migration Risk and Interconnectedness in a Corporate Lending Network
Kanno, Masayasu - 2018
This study assesses the credit rating migration risk and interconnectedness among bank-to-listed firms and insurer-to-listed firms in Japan's corporate lending market during the fiscal years 2008-2015. The study uses outstanding lending data with borrowers and lenders names to conduct a...
Persistent link: https://www.econbiz.de/10012923322