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The calibration of the IRB supervisory formula : a case study
Casellina, Simone; Salis, Fabio; Tessiore, Giovanni; … - 2023
The level of capital requirement generated by the IRB approach depends crucially on the asset correlation, a parameter … (WCL) and we show how the asset correlation influences these measures. We then provide a rationale for the regulatory …
Persistent link: https://www.econbiz.de/10014416214
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Extreme Portfolio Loss Correlations in Credit Risk
Mühlbacher, Andreas - 2017
The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence it is of utmost importance to study the mutual dependence of losses for different creditors in the case of large, overlapping credit portfolios. We...
Persistent link: https://www.econbiz.de/10012953187
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Asset Correlation, Diversification and the Basel Accord : A Comparative Study
Blümke, Oliver - 2018
. The asset correlation parameter describes the degree of default rate fluctuations and is part of the Basel Accord …'s formula on capital requirements. We estimate the asset correlation parameter for homogenous segments such that of banks from … default data. We find that the regulatory asset correlation parameter cannot be considered prudent for some homogenous …
Persistent link: https://www.econbiz.de/10012933974
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Asset Correlations and Credit Portfolio Risk : An Empirical Analysis
Duellmann, Klaus - 2016
In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of …,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a …
Persistent link: https://www.econbiz.de/10012989288
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Capital charges under Basel II : corporate credit risk modelling and the macro economy
Carling, Kenneth; Jacobson, Tor; Lindé, Jesper; … - 2002
The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...
Persistent link: https://www.econbiz.de/10011584521
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Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio
Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...
Persistent link: https://www.econbiz.de/10012309082
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A generalised latent Poisson factor modelling approach for default correlations in credit portfolios
Saidane, Mohamed - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 89-105
Persistent link: https://www.econbiz.de/10014489156
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und ein...
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these …
Persistent link: https://www.econbiz.de/10003825755
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The Expected Rate of Credit Losses on Banks' Loan Portfolios
Harris, Trevor S. - 2018
Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to academics and regulators with the FASB and IASB issuing new regulations for loan impairment. We develop a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL)...
Persistent link: https://www.econbiz.de/10012931572
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Strategic selection of risk models and bank capital regulation
Colliard, Jean-Edouard - 2017
The regulatory use of banks' internal models makes capital requirements more risk-sensitive but invites regulatory arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can discourage arbitrage by auditing risk models, and implements...
Persistent link: https://www.econbiz.de/10011958937