After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consistency in credit risk measurement and capital...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

This paper employs non-parametric specification tests developed in Hong and Li (2005) to evaluate several one-factor reduced-form credit risk models for actual default intensities. Using estimates for actual default probabilities provided by Moody’s KMV from 1994 to 2005 for 106 U.S. firms in...

Diese Arbeit besteht aus drei, sich unabhängig voneinander erschließenden Artikeln,die sich alle mit dem Thema Risikomanagement in der Bankenindustrie befassen. Im ersten Artikel (Kapitel 2) werden die vier zur Zeit in der Praxis am häufigstenverwendeten Kreditrisikomodelle analysiert. Fokus...

Bakalauro baigiamajame darbe nagrinėjama AB “Swedbank” kredito rizikos įvertinimo sistema. Išanalizuota ir susiteminta Lietuvos ir užsienio autorių teoriniai ir praktiniai vertinimo elementai. Pateikta ir abibūdinta AB “Swedbank” kredito rizikos vertinimo modeliai. Įvertinta ir...

Los sistemas de evaluación del crédito desarrollados internamente por los bancos centrales nacionales (ICAS) son una fuente importante de valoración del riesgo de crédito dentro del marco de los activos de garantía de política monetaria del Eurosistema. En particular, los ICAS permiten que...

The in-house credit assessment systems (ICASs) developed by euro area national central banks (NCBs) are an important source of credit risk assessment within the Eurosystem collateral framework. They allow counterparties to mobilise as collateral the loans (credit claims) granted to non-financial...

In den letzten Jahren wurden verschiedene Modelle entwickelt, um das Ausfallrisiko von Banken unter Berücksichtigung von Portfolioeffekten zu quantifizieren. Bisher hat sich kein Ansatz als allgemein akzeptierter Standard durchsetzen können. Da die Modelle grundlegende konzeptionelle...

The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...