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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - In: Journal of Risk Finance 14 (2013) January, pp. 87-99
and implicit asset correlations for banks and corporates in India and compare it with global scenario. This paper deduces …Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk … their banks to calculate IRB risk weighted assets. Originality/value – These correlation estimates will help the regulators …
Persistent link: https://www.econbiz.de/10010610638
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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - Volkswirtschaftliche Fakultät, … - 2011
estimate default correlation in the credit portfolio of banks. These correlation estimates will help the regulator in India to …Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This … would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for …
Persistent link: https://www.econbiz.de/10009283794
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Credit risk capital estimation under IRB approach for banks in India
Bajaj, Richa Verma - In: Journal of quantitative economics 16 (2018) 2, pp. 475-500
Persistent link: https://www.econbiz.de/10012418500
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Asset correlation estimation for inhomogeneous exposure pools
Wunderer, Christoph - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012121559
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10010295888
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10010295906
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Asset correlations and bank capital adequacy
Gabbi, Giampaolo; Vozzella, Pietro - In: The European journal of finance 19 (2013) 1/2, pp. 55-74
Persistent link: https://www.econbiz.de/10009733299
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10005082801
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - Deutsche Bundesbank - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10005082814
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005
Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei...
Persistent link: https://www.econbiz.de/10005607533