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Lifting the banking veil : credit standards' harmonization through lending transparency
Kang, Jung Koo; Loumioti, Maria; Moerman, Regina Wittenberg - 2020
We explore whether the transparency in banks' lending activities enhances the harmonization of credit terms that a bank … information on loan characteristics and performance. We find that loans originated under the transparency regime share more … convergence in their credit terms, suggesting that transparency facilitates learning across a bank's different geographic regions …
Persistent link: https://www.econbiz.de/10012154163
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A comparison of financial performance of Czech credit unions and European cooperative banks
Kuc, Matěj; Teplý, Petr - 2015
Czech credit unions have been yet criticized by both academics and regulatory representatives for its business based on moral hazard and excessive risk taking. This paper empirically assesses financial performance of Czech credit unions in relation with other European cooperative banks in terms...
Persistent link: https://www.econbiz.de/10011300232
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Credit Risk Factor Modeling and the Basel II IRB Approach
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...
Persistent link: https://www.econbiz.de/10010295887
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10010295888
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Estimating asset correlations from stock prices or default rates: which method is superior?
Düllmann, Klaus; Kunisch, Michael; Küll, Jonathan - 2008
This paper sets out to help explain why estimates of asset correlations based on equity prices tend to be considerably higher than estimates based on default rates. Resolving this empirical puzzle is highly important because, firstly, asset correlations are a key driver of credit risk and,...
Persistent link: https://www.econbiz.de/10010295941
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Stress testing of real credit portfolios
Mager, Ferdinand; Schmieder, Christian - 2008
Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and...
Persistent link: https://www.econbiz.de/10010298762
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Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II
Gürtler, Marc; Heithecker, Dirk - 2004
Gemäß den im Juni 2004 durch den Baseler Ausschuss endgültig verabschiedeten Kapitalstandards (Basel II) sind Kredite in Höhe des so genannten unerwarteten Verlusts mit Eigenkapital zu unterlegen. Für erwartete Verluste hat das jeweilige Kreditinstitut Rückstellungen zu bilden, wobei hier...
Persistent link: https://www.econbiz.de/10010307950
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Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 2
Zsámboki, Balázs - 2007
This study aims to analyse the sensitivity of capital requirements to changes in risk parameters (PD, LGD and M) by creating a model bank with a portfolio mirroring the average asset composition of internationally active large banks, as well as locally oriented smaller institutions participating...
Persistent link: https://www.econbiz.de/10010322384
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Bank size and risk-taking under Basel II
Hakenes, Hendrik; Schnabel, Isabel - 2005
This paper discusses the relationship between bank size and risk-taking under Pillar I of the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we find that small banks (and hence small borrowers) may profit from the introduction of an internal ratings based...
Persistent link: https://www.econbiz.de/10010264763
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to...
Persistent link: https://www.econbiz.de/10010316304