Similar Search Results

Modelling risk-weighted assets : looking beyond stress tests

Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2024

We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive … unjustifiably high or low solvency measures and induce false perceptions about banks' financial health. The proposed methodology is …

Persistent link: https://www.econbiz.de/10014495257

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Gauthier, Geneviève - 2012

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capital structure intact. This produces random recovery rates negatively correlated with the default probability. The approach is implemented on a...

Persistent link: https://www.econbiz.de/10013101883

Robust and Practical Estimation for Measures of Tail Risk

Homescu, Cristian - 2014

We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting and comparing methodologies to compute and backtest...

Persistent link: https://www.econbiz.de/10013053188

Ranking the Predictive Performances of Value-at-Risk Estimation Methods

Sener, Emrah - 2010

We propose a novel ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods. The ranking model develops a unified framework which penalizes excessive capital allocation, autocorrelation of violations...

Persistent link: https://www.econbiz.de/10013146585

Counterparty Risk FAQ : Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Brigo, Damiano - 2012

We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), DVA Hedging, Closeout conventions,...

Persistent link: https://www.econbiz.de/10013113616

The Empirical Relation between Credit Quality, Recovery, and Correlation

Roesch, Daniel - 2009

The majority of industry credit portfolio risk models, as well as recent scientific results, are based on isolated modules for default probabilities and recoveries in the event of default. This paper shows that these common methods lead to various econometric drawbacks when the parameters are...

Persistent link: https://www.econbiz.de/10013156612

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial crisis. Thus, methods for measuring credit risk,...

Persistent link: https://www.econbiz.de/10003846062

External Risk Measures and Basel Accords

Kou, Steven - 2013

Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a good external risk measure should be robust with...

Persistent link: https://www.econbiz.de/10013091039

Basel III C : Internal Risk Models

McNamara, Christian - 2015

concern that such requirements crowd out efforts by banks to develop their own risk management systems. One way in which … regulators have attempted to solve this problem is to enable banks to use internal risk models to satisfy regulatory requirements …. Beginning with the 1996 Market Risk Amendment, the Basel framework has allowed banks to determine the capital charges associated …

Persistent link: https://www.econbiz.de/10013026587

Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans

Scheule, Harald (Harry) - 2009

Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In response, financial regulators require financial institutions to base their capital on the 'Downturn' loss rate given default which is also known as Downturn LGD. This article...

Persistent link: https://www.econbiz.de/10012719903