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Credit Risk Evaluation : Modeling - Analysis - Management

Wehrspohn, Uwe - 2002

- Evaluation and comparison of credit risk models- Analytic portfolio loss distributionsThe thesis contributes to the evaluation … Schritte ab, die erforderlich sind, um das Kreditrisiko eines Bankportfolios zu messen, in seiner Struktur zu analysieren und …

Persistent link: https://www.econbiz.de/10009476241

Do banks manage their flood risk exposures? Evidence from the Danish credit register

Pöschl, Johannes - 2022

Some regional banks are highly exposed to flood risk. Yet, there is little evidence that banks manage these exposures. The lack of flood risk management in these banks could worsen the adverse local economic impact of a flood. Therefore, banks should incorporate flood risk in their risk management.

Persistent link: https://www.econbiz.de/10014551607

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Schönbucher, Philipp J. - 2000

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10005841287

Optimal Shortfall Hedging of Credit Risk

Lotz, Christopher - 1999

In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy certain optimality criteria: For a given investment into the hedge they minimize the remaining risk, or vice versa. This is motivated by the fact that it is a core business of...

Persistent link: https://www.econbiz.de/10005841289

Locally Minimizing the Credit Risk

Lotz, Christopher - 1998

The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to model the interest rate risk, and the time of default is determined by the first jump time of a point process. (...)

Persistent link: https://www.econbiz.de/10005841328

Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten

Barth, Jörn - 2000

Diese Arbeit präsentiert einen systematischen Zugang zu der Worst-Case-Analyse des Kreditrisikos eines Portfolios aus Finanzderivaten wie Optionen und Swaps...

Persistent link: https://www.econbiz.de/10005842367

A Simple Credit Risk Model with Individual and Collective Components

Barth, Jörn - 1999

A model for the credit risk of a portfolio of market driven financial contracts (for example swaps) is introduced.(...)

Persistent link: https://www.econbiz.de/10005842389

Kreditrisikomodelle und Diversifikation

Rau-Bredow, Hans - 2002

Persistent link: https://www.econbiz.de/10005843043

Value at Risk, Expected Shortfall, and Marginal Risk Contributions

Rau-Bredow, Hans - 2002

defined as the worst loss for a given confidence level: For a confidence level of e.g. p=99%, one is 99% certain that at the … end of a chosen risk horizon there will be no greater loss than just the VaR. In terms of probability theory, VaR is the 1 …% quantile (in general the (1-p)% quantile) of the profit and loss distribution. …

Persistent link: https://www.econbiz.de/10005843087

Kreditrisikomodellierung und Risikogewichte im Neuen Baseler Accord

Rau-Bredow, Hans - 2001

Persistent link: https://www.econbiz.de/10005843089