Credit boom detection methodologies (such as threshold method) lack robustness as they are based on univariate … detrending analysis and resort to ratios of credit to real activity. I propose a quantitative indicator to detect atypical … behavior of credit from a multivariate system - a monetary VAR. This methodology explicitly accounts for endogenous …

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …

estructura temporal de tasas de interés se realiza el cálculo del value at risk y del expected shortfall sobre los resultados de …In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring … interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at …

In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring … interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at … risk and expected shortfall are calculated on a portfolio. An application of alpha-stable distributions has allowed …

estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including … risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage …

simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also … assumes that firm exposure to systemic risk is constant across firms (captured by R1/2). But profitability may decline … between PD and LGD especially when systemic risk is dominant. (c.f. Miu and Ozdemir, 2006, Altman, Reti and Sironi, 2005). Its …