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From fault tree to credit risk assessment : a case study
Gatfaoui, Hayette - 2004 - This draft: September 2004
Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability …
Persistent link: https://www.econbiz.de/10011513074
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From Fault Tree to Credit Risk Assessment: A Case Study
Gatfaoui, Hayette - Economics and Econometrics Research Institute (EERI) - 2004
Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability …
Persistent link: https://www.econbiz.de/10005396215
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The determinants of credit risk : an evidence from ASEAN and GCC Islamic banks
Faridah Najuna Misman; Bhatti, Muhammad Ishaq - In: Journal of risk and financial management : JRFM 13 (2020) 5/89, pp. 1-22
In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the periods of financial crisis. This paper aims to...
Persistent link: https://www.econbiz.de/10012304690
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Pay attention or pay extra : evidence on the compensation of investors for the implicit credit risk of structured products
Arnold, Marc; Schuette, Dustin; Wagner, Alexander F. - 2014
We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers do not compensate retail investors for counterparty exposure before the Lehman default. Post-Lehman, retail prices no longer neglect this risk. We also measure...
Persistent link: https://www.econbiz.de/10010410201
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
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Sector Concentration in Loan Portfolios and Economic Capital
Duellmann, Klaus - 2010
The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...
Persistent link: https://www.econbiz.de/10013137441
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The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates
Roesch, Daniel - 2013
With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...
Persistent link: https://www.econbiz.de/10013073399
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Default Prediction with a Multiple-Spell Discrete-Time Hazard Model
Jovan, Matej - 2019
We argue that the true transition-to-default dynamic in banks' credit portfolios can only be fully described with a multiple-spell discrete-time hazard model. This paper develops such a model for default prediction. The model permits the use of all data available to the bank or to the bank...
Persistent link: https://www.econbiz.de/10012903507
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The Term Structure of CDS Spreads and Sovereign Credit Risk
Augustin, Patrick - 2018
I study the term structure of credit default swap spreads to understand the dynamics of global and country-specific risk factors in explaining the time-variation in sovereign credit risk. The analysis suggests that the shape of the term structure conveys significant information on the relative...
Persistent link: https://www.econbiz.de/10012938644
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The Term Structure of CDS Spreads and Sovereign Credit Risk
Augustin, Patrick - 2016
The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed panel of 44 countries, I show that the relative importance...
Persistent link: https://www.econbiz.de/10013005733