This paper sets out to help explain why estimates of asset correlations based on equityprices tend to be considerably higher than estimates based on default rates. Resolving thisempirical puzzle is highly important because, rstly, asset correlations are a key driver ofcredit risk and, secondly,...

Gemäß den im Juni dieses Jahres endgültig verabschiedeten Rahmenrichtlinien der neuen Baseler Kapitalstandards sind Kredite im Wesentlichen mit den unerwarteten Verlusten zu unterlegen. Für erwartete Verluste sind hingegen Rückstellungen zu bilden, wobei Differenzen zwi-schen erwarteten...

Gemäß den im Juni 2004 durch den Baseler Ausschuss endgültig verabschiedetenKapitalstandards (Basel II) sind Kredite in Höhe des so genannten unerwarteten Verlusts mit Eigenkapitalzu unterlegen. Für erwartete Verluste hat das jeweilige Kreditinstitut Rückstellungen zubilden, wobei hier...

According to the new capital adequacy framework (Basel II) finally adopted by the BaselCommittee in June 2004 the eligibility of collaterals, especially financial collaterals, is extended incomparison to the existing rules. However, financial assets are valued conservatively in the creditcontext...

Die Eigenkapitalunterlegungspflicht von Kreditgeschäften von Banken erfolgt mitder Einführung der im Juni 2004 verabschiedeten neuen Eigenkapitalrichtlinien (Basel II) maßgeblichauf Grundlage des durch den Kreditnehmer induzierten Verlustrisikos. Dies ermöglicht, die...

In the last decade, portfolio credit risk measurement has improved significantly. The currentstate-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Mostpopular has become the Merton-type one-factor model of Vasicek, that builds the fundament of...

The ongoing debate concerning credit concentration risk is mainly driven by the requirementson credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that arenot fully captured by Pillar 1 should be adequately considered in the banks’ risk management....

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...

This paper discusses the relationship between bank size and risk-takingunder Pillar I of the New Basel Capital Accord.

Nonprofit banks in the U.S. are primarily organized as credit unions (CUs) and have grown steadily over the last two decades, increasing their share of total lending to U.S. households. This paper studies the economic effects of banking with CUs using consumer credit report data merged to...