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Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …

Persistent link: https://www.econbiz.de/10012012997

When uncertainty decouples expected and unexpected losses

Juselius, Mikael; Tarashev, Nikola A. - 2022

A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches increases, expected losses decouple from unexpected...

Persistent link: https://www.econbiz.de/10012814386

The Risk Spiral : The Effects of Bank Capital and Diversification on Risk Taking

Peleg Lazar, Sharon - 2019

We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk-taking behavior while considering the strategic interaction between debtors and creditors. We find that: (1) as the leverage of a bank increases, risk shifting by borrowers increases, even if...

Persistent link: https://www.econbiz.de/10012902255

Analysis of granularity adjustment for regulatory capital

Krali, Mario; Gurov, Andrey - In: Journal of central banking theory and practice 8 (2019) 3, pp. 111-132

The lack of portfolio granularity in terms of exposure has been shown to have important implications for the amount of a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how granularity affects capital levels. We achieve this by...

Persistent link: https://www.econbiz.de/10012101497

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - 2012

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

Persistent link: https://www.econbiz.de/10009528878

Incremental Risk Charge Methodology

Xiao, Tim - 2014

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte...

Persistent link: https://www.econbiz.de/10013055237

Analysis of Credit Risk, Efficiency, Liquidity, and Profitability of Selected Non-Bank Financial Institution : An Empirical Study

Akhter, Sabrina - 2017

Financial institutes are the lifeblood of the financial system of any country that plays an intermediary between the surplus and deficit unit of any society. So the efficiency and performance of a financial institution is the indication of sound financial system. In this study the authors are...

Persistent link: https://www.econbiz.de/10012958800

Credit Portfolio Modelling and its Effect on Capital Requirements

Bulbul, Dilek - 2016

Persistent link: https://www.econbiz.de/10012988834

The rollout of internal credit risk models : implications for the novel partial-use philosophy

Schlam, Carina; Woyand, Corinna - 2023

The novel partial-use philosophy by the Basel Committee on Banking Supervision initiates a paradigm shift for banks, allowing them to permanently partially apply the internal ratings-based approach (IRBA) and not having to fully roll it out across the overall bank anymore. This raises the...

Persistent link: https://www.econbiz.de/10014227602

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