This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

In this paper we analyze the source and magnitude of marketing gains from selling structured debt securities at yields that reflect only their credit ratings, or specifically at yields on equivalently rated corporate bonds. We distinguish between credit ratings that are based on probabilities of...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quite extensively by the practitioners for risk-management purposes. The research, as part of students'...

Many companies in USA and Western Europe are taking advantage of developments in information technology and outsourcing parts of the accounting process to vendors in other parts of the world. Offshore outsourcing of accounting presents some unique risks, control problems and challenges. In this...

In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...

Für produzierende Unternehmen wird es zunehmend wichtig, auch die operativen Risiken besser zu bewerten. Daher werden Methoden benötigt, mit denen diese Risiken identifiziert und bewertet werden können. Im Rahmen der vorliegenden Arbeit wurden entsprechende Methoden entwickelt. Dabei geht es...

Durch die Festsetzung von Umweltqualitätsgrenzwerten werden vorgegebene Umweltqualitäts- oder Schutzziele operationalisiert. Im Operationalisierungsprozess (dem Grenzwertsetzungsprozess) sind jedoch Fehlentscheidungen aufgrund von Unsicherheiten in der Bewertung gegebener...

An analysis and further development of the building blocks of modern credit risk management:- Definitions of default- Estimation of default probabilities- Exposures- Recovery Rates- Pricing- Concepts of portfolio dependence- Time horizons for risk calculations- Quantification of portfolio risk-...

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.