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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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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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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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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
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Evolving Credit and the U.S. Macroeconomy : 1920-2011
Amir-Ahmadi, Pooyan - 2015
This paper studies evolving macroeconomic consequences of adverse credit spread shocks for the US economy over the past century. The key objective is to characterize and quantify how the credit transmission mechanism has changed in shaping the macroeconomy during major macroeconomic episodes. I...
Persistent link: https://www.econbiz.de/10013022619
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CVA Capital Charge Under Basel III Standardized Approach
Fares, Ziad - 2015
In this paper, the standardized approach will be analyzed and studied. At first, an analysis will be provided to better understand why CCR became so important, what are its characteristics, etc…. Then a discussion around the CVA definition from the regulator's perspective will be presented....
Persistent link: https://www.econbiz.de/10013026255
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Basel 2 IRB Risk Weight Functions : Demonstration & Analysis
Genest, Benoit - 2015
This paper introduces Basel II, the construction of risk weight functions and their limits in two sections:In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then...
Persistent link: https://www.econbiz.de/10013026283
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Dynamic Stress Test Diffusion Model Considering the Credit Score Performance
Fares, Ziad - 2015
After the crisis of 2008, and the important losses and shortfall in capital that it revealed, regulators conducted massive stress testing exercises in order to test the resilience of financial institutions in times of stress conditions. In this context, and considering the impact of these...
Persistent link: https://www.econbiz.de/10013026284
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Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management
Dash, Jan - 2016
We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...
Persistent link: https://www.econbiz.de/10012987091