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The Optimal Regulation of Credit Rating Agencies

Forster, Josef - 2008

Credit rating agencies (CRAs) very often have been criticized for announcing inaccurate credit ratings and are suspected of being exposed to conflicts of interest. Despite these objections CRAs remained largely unregulated. Based on Pagano & Immordino (2007), we study the optimal regulation of...

Persistent link: https://www.econbiz.de/10010427528

The optimal regulation of credit rating agencies

Forster, Josef - 2008

Persistent link: https://www.econbiz.de/10003951560

Slippery Slopes of Stress : Ordered Failure Events in German Banking

Kick, Thomas K. - 2016

Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor banks constantly. Thus, they usually obtain early warning signals that precede ultimate failure and, in fact, banks can be regarded as troubled to varying degrees before...

Persistent link: https://www.econbiz.de/10012989299

The Information in Systemic Risk Rankings

Nucera, Federico - 2016

components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … implied ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover … systemic risk ranking by relating it to credit default swap premia …

Persistent link: https://www.econbiz.de/10013001189

Uncertainty in Systemic Risks Rankings : Bayesian and Frequentist Analysis

Goldman, Elena - 2023

We propose efficient Bayesian Hamiltonian Monte Carlo method for estimation of systemic risk measures, LRMES, SRISK and ∆CoVaR, and apply it for thirty global systemically important banks and for eighteen largest US financial institutions over the period of 2000-2020. The advantage of the...

Persistent link: https://www.econbiz.de/10014256984

Complementarity and Financial Systems

Hackethal, A.; Tyrell, Marcel - 1999

Individual financial systems can be understood as very specific configurations of certain key elements. Often these configurations remain unchanged for decades. We hypothesize that there is a specific relationship between key elements, namely that of complementarity. Thus, complementarity seems...

Persistent link: https://www.econbiz.de/10010316267

Forecasting Credit Card Portfolio Losses in the Great Recession : A Study in Model Risk

Canals-Cerda, José J. - 2016

Credit card portfolios represent a significant component of the balance sheets of the largest US banks. The charge‐off rate in this asset class increased drastically during the Great Recession. The recent economic downturn offers a unique opportunity to analyze the performance of credit risk...

Persistent link: https://www.econbiz.de/10013006575

Credit Risk Modeling in Segmented Portfolios : An Application to Credit Cards

Canals-Cerda, José J. - 2015

The Great Recession offers a unique opportunity to analyze the performance of credit risk models under conditions of economic stress. We focus on the performance of models of credit risk applied to risk-segmented credit card portfolios. Specifically, we focus on models of default and loss and...

Persistent link: https://www.econbiz.de/10013028644

On the Market Structure of Central Counterparties in the EU

Demange, Gabrielle; Piquard, Thibaut - 2021

New regulations promote the role of Central Counter-Parties (CCPs) as insurers of counterparty risk to stabilize derivative markets. Whereas the US favors monopolistic CCPs, the EU promotes the coexistence of several CCPs for a given asset class. In this paper, we shed light on the competition...

Persistent link: https://www.econbiz.de/10013218785

A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks

Liang, Gechun - 2012

We propose a unified structural credit risk model incorporating insolvency, recovery and rollover risks. The firm finances itself mainly by issuing short- and long-term debt. Short-term debt can have either a discrete or a more realistic staggered tenor structure. We show that a unique threshold...

Persistent link: https://www.econbiz.de/10013100650