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Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

Kreditportfoliomanagement - Die Bedeutung von Korrelationen für die Bewertung von Kreditausfallrisiken

Lipponer, Alexander - 2000

derAuswirkungen makroökonomischer Schocks auf das Risiko von Kreditportfolios.Dazu wird analysiert, welchen Einfluß makroökonomische …In dealing with traded assets, portfolio considerations have been acore component of modern finance. However … problems with losses on credits. Thecrucial ingredients for any portfolio consideration are the correlationsof returns on loans …

Persistent link: https://www.econbiz.de/10009476196

Diversifying the risk through portfolio investment

Anghelache, Gabriela Victoria; Anghelache, Constantin - In: Theoretical and applied economics : GAER review 21 (2014) 9, pp. 7-22

Persistent link: https://www.econbiz.de/10011558132

Vergleichende Analyse alternativer Kreditrisikomodelle

Wahrenburg, Mark M; Niethen, Susanne - 2000

In den letzten Jahren wurden verschiedene Modelle entwickelt, um das Ausfallrisiko von Banken unter Berücksichtigung von Portfolioeffekten zu quantifizieren. Bisher hat sich kein Ansatz als allgemein akzeptierter Standard durchsetzen können. Da die Modelle grundlegende konzeptionelle...

Persistent link: https://www.econbiz.de/10005840344

Group lending with correlated project outcomes

Katzur, Tomek; Lensink, Robert - In: Economics letters 117 (2012) 2, pp. 445-447

Persistent link: https://www.econbiz.de/10009674718

How A Credit Run Affects Asset Correlation

Imanto, Christopher Paulus - 2020

This paper analyses the effect of soaring demand in the lending market shortly before a fi nancial crisis (hereinafter "credit run"). A credit run affects the asset correlation, which is one of the main parameters in the Internal Ratings-Based Approach (IRBA) of the Basel III framework. In the...

Persistent link: https://www.econbiz.de/10012836153

Credit booms and crisis-emergent asset comovement : the problem of latent correlation

Chibane, Messaoud; Gabriel, Amadeus; Giménez Roche, … - In: The quarterly review of economics and finance : journal … 85 (2022), pp. 270-279

Persistent link: https://www.econbiz.de/10013336283

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … portfolios. Finally, we use our findings to calculate aggregated risk capital of a sample portfolio both by numerical and …

Persistent link: https://www.econbiz.de/10010295948

Gagliardini, Patrick; Gouriéroux, Christian - 2012

Persistent link: https://www.econbiz.de/10009553161

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

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