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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
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Inefficient Diversification
Bimpikis, Kostas - 2013
bank's failure, it may increase the probability of joint failures, which may be socially inefficient when the depositors …
Persistent link: https://www.econbiz.de/10013088837
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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015
are correlated with net tightening bank lending standards, implying that bank credit supply and systematic default risk …
Persistent link: https://www.econbiz.de/10010484886
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....
Persistent link: https://www.econbiz.de/10009751062
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Credit Expected Shortfall with Time Varying Recovery Risk
Savona, Roberto - 2015
In this paper we develop a flexible and analytically tractable framework to compute the Credit Expected Shortfall in an explit if form through Kumaraswamy (1980) distribution with both default rate and recovery rate time-varying. The default rate is assumed to follow a square root process, and...
Persistent link: https://www.econbiz.de/10013013025
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...
Persistent link: https://www.econbiz.de/10012849054
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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
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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
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Many a Little Makes a Mickle : Macro Portfolio Stress Test for Small and Medium-Sized German Banks
Busch, Ramona - 2016
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/10012988681
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Bank Sectoral Specialization and Loan Pricing : Worldwide-Based Syndicated Loan Portfolios
Hsieh, Alice; Yu, Hai-Chin - 2023
episodes of bank specialization. We use the banks’ real loan allocation worldwide instead of the in-sample data to compute a … bank specialization. We find that firms borrowing from banks with high specialization levels incur lower bank loan spreads …'s sector is the same as its banks' specialized sector. However, this rent would transfer to a discount once the bank is highly …
Persistent link: https://www.econbiz.de/10014254329