In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and...

Intro -- Titelseite -- Impressum -- Inhaltsverzeichnis -- Die Autoren -- Vorwort -- Einleitung -- 1 Die Evolution des CDS-Marktes -- 1.1 Credit Default Swaps (CDS) als Antwort auf die Savings & Loan-Krise in den USA -- 1.2 Der CDS-Markt wird erwachsen: Die Etablierung der 2003er-Definitionen und...

During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world-wide exchange rates. This paper aims to analyze these dynamics empirically. We...

This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known...