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Capital charges under Basel II : corporate credit risk modelling and the macro economy

Carling, Kenneth; Jacobson, Tor; Lindé, Jesper; … - 2002

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 2000. First, we estimate a duration model that takes into account … model-based simulations. Moreover, we study how both the bank s credit risk and bu.er capital changes over time (had the …

Persistent link: https://www.econbiz.de/10011584521

Banks' concentration versus diversification in the loan portfolio : new evidence from Germany

Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

Persistent link: https://www.econbiz.de/10010233376

Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling

Cipollini, Andrea; Missaglia, Giuseppe - 2007

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macro-variables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...

Persistent link: https://www.econbiz.de/10014049758

Modeling portfolio defaults using hidden Markov models with covariates

Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...

Persistent link: https://www.econbiz.de/10011349709

Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10011308474

Post Merger Changes in Riskiness of Bank Loan Portfolios

Gart, Alan - 2011

measure of risk to profitability in a bank's loan portfolio based on traditional portfolio theory. This measure is used to … examine the risk levels in the loan portfolios of merging bank holding companies (BHCs) and the change in risk that occurs in …

Persistent link: https://www.econbiz.de/10013120122

Bank Portfolio Risk and Interest Rate Spread of Risky Loans : Methodological Analysis

Yu, Hua - 2016

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and portfolio lending with an attempt to fill the gap...

Persistent link: https://www.econbiz.de/10012993888

Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis

Yu, Hua - 2018

The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...

Persistent link: https://www.econbiz.de/10012920146

Financial liability stress tests : an approach based on the use of a rating migration matrix

Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32

The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...

Persistent link: https://www.econbiz.de/10012303645

Stress testing German banks in a downturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - 2009

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

Persistent link: https://www.econbiz.de/10003813026