default rates. This paper discusses the impact of the dependency of financial collaterals and default rates on credit risk … German capital markets. -- Basel II ; Capital Adequacy Requirements ; Value at Risk ; Loss Given Default ; Probability of … Default ; Collateral ; Collateral Valuation …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality …

a massive consumption of collateral. This paper proposes a new model to account for collateral and its quality for both … implement more accurate methods for reflecting the "exact" value of collateral, preserving competitiveness and optimising …

higher default risk, consistent with the collateral channel. We quantify the effect on homeownership gap using a lifecycle … are as collateral for mortgages. Older and less standardized houses tend to have higher price dispersion, and their … rejected, have lower loan-to-price ratios, and higher risk-adjusted cost menu. This effect is stronger for home buyers with …

This paper uses a shock to downside risk in contract enforcement to study lender behavior when collateral enforcement …

. We present evidence consistent with banks' IT adoption spurring entrepreneurship through a collateral channel …' ability to determine collateral values, in particular when collateral appraisal is more complex. IT also reduces the time and …

type of collateral that is comparable to the floating lien. We explore this natural experiment to identify how collateral …-in-differences approach, we find that following the change in the law and the loss in collateral value borrowers pay a higher interest rate on … credit by their bank. The reduction in collateral value also precedes a decrease in bank monitoring intensity and frequency …