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Stress-Testing Credit Risk Parameters : An Application to Retail Loan Portfolios
Roesch, Daniel - 2012
correlation, loss given default or exposure at default. A simple portfolio model is also used in the Basel II framework for …
Persistent link: https://www.econbiz.de/10013113674
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Credit Portfolio Loss Forecasts for Economic Downturns
Roesch, Daniel - 2013
Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In …
Persistent link: https://www.econbiz.de/10013073285
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Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives
Roesch, Daniel - 2013
This paper analyzes the level and cyclicality of bank capital requirement in relation to (i) the model methodologies through-the-cycle and point-in-time, (ii) four distinct downturn loss rate given default concepts, and (iii) US corporate and mortgage loans. The major finding is that less...
Persistent link: https://www.econbiz.de/10013073289
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Estimating Credit Contagion in a Standard Factor Model
Roesch, Daniel - 2013
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among others. However, statistical estimation...
Persistent link: https://www.econbiz.de/10013073485
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Default and Recovery Risk Dependencies in a Simple Credit Risk Model
Bade, Benjamin - 2013
This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper …
Persistent link: https://www.econbiz.de/10013073489
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Credit Rating Impact on CDO Evaluation
Roesch, Daniel - 2013
-the-cycle approach. The central parameters default probability and correlation are forecast for multiple years and related forecasting …
Persistent link: https://www.econbiz.de/10013073490
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Systemic Risk in Commercial Bank Lending
Roesch, Daniel - 2014
This paper develops a bank model for financial systemic risk in bank lending. The model analyzes the impact of a financial institution failure on the distribution of losses in the financial system. The fundamental idea is that bank loss rates may be decomposed into a level, momentum, systematic...
Persistent link: https://www.econbiz.de/10013058030
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The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience
Rosche, Danielle; Scheule, Harald (Harry) - 2022
This paper analyses the systemic risk in relation to bank lending for Asian economies. The methodology complements existing market-based systemic risk measures by providing measures based on accounting information that regulators typically collect. Loan loss provisions of banks are decomposed...
Persistent link: https://www.econbiz.de/10013405820
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A note on the Vasicek's model with the logistic distribution
Witzany, Jiři - In: Ekonomický časopis : časopis pre ekonomickú … 61 (2013) 10, pp. 1053-1066
Persistent link: https://www.econbiz.de/10010376114
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Asset Correlation and Credit Quality : The Basel Assumption
Zanganeh, Mohammad - 2013
The relation between asset correlation and default probability is critical for determining bank regulatory capital … North American companies, we find that asset correlation tends to increase as credit quality (measured by agency ratings … on stock price dynamics: volatility and correlation increase substantially from the second quarter of 2008 and decline …
Persistent link: https://www.econbiz.de/10013090503