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From Fault Tree to Credit Risk Assessment: A Case Study
GATFAOUI, Hayette - EconWPA - 2005
Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … theory to credit risk assessment. The author explains that fault tree is one alternative approach of reliability, which …
Persistent link: https://www.econbiz.de/10005407916
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The determinants of credit risk : an evidence from ASEAN and GCC Islamic banks
Faridah Najuna Misman; Bhatti, Muhammad Ishaq - In: Journal of risk and financial management : JRFM 13 (2020) 5/89, pp. 1-22
In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the periods of financial crisis. This paper aims to...
Persistent link: https://www.econbiz.de/10012304690
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Pay attention or pay extra : evidence on the compensation of investors for the implicit credit risk of structured products
Arnold, Marc; Schuette, Dustin; Wagner, Alexander F. - 2014
We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers do not compensate retail investors for counterparty exposure before the Lehman default. Post-Lehman, retail prices no longer neglect this risk. We also measure...
Persistent link: https://www.econbiz.de/10010410201
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10010295906
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The determinants of credit risk: An evidence from ASEAN and GCC Islamic banks
Bhatti, Muhammad Ishaq - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-22
In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the periods of financial crisis. This paper aims to...
Persistent link: https://www.econbiz.de/10012611318
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - Deutsche Bundesbank - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10005082814
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005
Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei...
Persistent link: https://www.econbiz.de/10005607533
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Digital Security Tokens in Network Commerce: Modeling and Derivative Application
Matsuura, Kanta - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706611
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Rollover Risk and Market Freezes
Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009
We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on “optimistic”...
Persistent link: https://www.econbiz.de/10004980204
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Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products
Arnold, Marc; Schuette, Dustin; Wagner, Alexander - School of Finance, Universität St. Gallen - 2014
This paper analyzes the pricing of issuer credit risk in retail structured products. After the default of Lehman Brothers, investors are compensated for the counterparty risk they bear if the products are not constructed to provide an implicit “credit enhancement", i.e., if they do not feature...
Persistent link: https://www.econbiz.de/10011154576