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The Exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation

Lehmann, Hansjuerg; Manz, Michael - Schweizerische Nationalbank (SNB) - 2006

paper explores an extensive panel data set of Swiss banks to identify macroeconomic influencing factors on bank …

Persistent link: https://www.econbiz.de/10005069891

Romanian commercial banks and credit risk in financing SME

Covaci, Brindusa - Volkswirtschaftliche Fakultät, … - 2008

Romania’s integration in the European Union brought about some major changes in our banking system. One of the direct consequences is the fierce competition between banks for supremacy on the market. According to this, the Romanian banks saw in the SMEs sector a true potential for reaching...

Persistent link: https://www.econbiz.de/10005070486

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation

Gatfaoui, Hayette - Finance Discipline Group, Business School - 2004

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky asset in the financial market. The option...

Persistent link: https://www.econbiz.de/10005073665

On the ordering of probability forecasts

Krämer, Prof. Dr. Walter - Institut für Wirtschafts- und Sozialstatistik, …

The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not comparable according to the domination ordering suggested by Vardeman and Meeden (1983), that the...

Persistent link: https://www.econbiz.de/10005075726

A credit contagion model for loan portfolios in a network of firms with spatial interaction

Barro, Diana; Basso, Antonella - Dipartimento di Matematica Applicata, Università Ca' … - 2006

This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence of business relations among different firms....

Persistent link: https://www.econbiz.de/10005076147

Capital requirements, bank behavior and monetary policy: A theoretical analysis with an empirical application to India

Ghosh, Saibal - Volkswirtschaftliche Fakultät, … - 2008

The paper addresses the issue of monetary policy transmission through the banking sector in the presence of a bank capital regulation. A model of bank behavior is presented, which shows how a monetary policy shock affects both deposit and lending, in the short run (when equity capital is assumed...

Persistent link: https://www.econbiz.de/10005089347

Determinants of Credit Risk in Indian State-owned Banks: An Empirical Investigation

Das, Abhiman; Ghosh, Saibal - Volkswirtschaftliche Fakultät, … - 2007

advanced panel data techniques, the paper seeks to examine the factors affecting problem loans of Indian state-owned banks for …

Persistent link: https://www.econbiz.de/10005089367

The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis

Aglietta, Michel; Moreau, Ludovic; Roche, Adrian - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

The 2007/2008 global credit crisis was born out of opaque securitization transactions. Introducing structured products risk estimation techniques shows how the most basic investment analysis could not be done without detailed and updated knowledge on the assets of the pool. Access to such...

Persistent link: https://www.econbiz.de/10005094000

Single and joint default in a structural model with purely discontinuous assets

Fiorani, Filippo; Luciano, Elisa; Semeraro, Patrizia - Collegio Carlo Alberto, Università degli Studi di Torino - 2007

Structural models of credit risk are known to present both vanishing spreads at very short maturities and a poor spread fit over longer maturities. The former shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuous assets. In...

Persistent link: https://www.econbiz.de/10005094079

Credit Risk and Bank Lending in the Czech Republic

Kadlcakova, Narcisa; Keplinger, Joerg - Česká Národní Banka - 2004

lending to the Czech corporate sector. A rating system is constructed using a proprietary database (Creditreform) that … provides a solvency index for a large number of Czech firms. Several methods for the calibration and validation of a rating … system are described and tested in practice. On the basis of a representative portfolio for Czech industries, systemic …

Persistent link: https://www.econbiz.de/10005094092