Results 11 to 20 of about 1,454,880 (346)
Single-Name Credit Risk, Portfolio Risk, and Credit Rationing [PDF]
Economica, 2014 This paper introduces non-diversifiable risk in the Stiglitz-Weiss adverse selection model, so that an increase in the average riskiness of the borrower pool causes higher portfolio risk.
Arnold, Lutz G. +2 more
core +4 more sources
Theoretical and Applied Economics, 2007 In the environment in which a bank functions there are many risk sources that determine the reduction of the profitability. These risk sources must be attentively identified, measured and taken into consideration for the elaboration of a bank’s general ...
Nora Mihail +2 more
doaj +3 more sources
Credit Risk and Credit Derivatives in Banking [PDF]
, 2002 Using the industrial economics approach to the microeconomics of banking we analyze a large bank under credit risk. Our aim is to study how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when credit derivatives to ...
Peter Welzel, Thilo Pausch, Udo Broll
core +2 more sources
Managing Credit Risk with Credit and Macro Derivatives [PDF]
SSRN Electronic Journal, 2003 The industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large commercial bank.
Gerhard Schweimayer +2 more
core +6 more sources
Credit contagion and credit risk [PDF]
Quantitative Finance, 2009 11 pages, 3 ...
Hatchett, J. P. L., Kuehn, R.
openaire +5 more sources
, 2004 Publisher Summary The development of the credit derivative market and the subsequent introduction of the structured credit products are the responses to the rising importance attached to credit risk management. This chapter discusses the concepts related to credit risk and credit ratings.
Geert Gielens
openalex +4 more sources
Model risk on credit risk [PDF]
Risk and Decision Analysis, 2016 This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single ...
Molins, J. +1 more
openaire +5 more sources
SSRN Electronic Journal, 2020 What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail properties of the loan share distribution we use a Gabaix
Rustam Jamilov +5 more
openaire +4 more sources
Risk Management and the Credit Risk Premium [PDF]
Journal of Banking & Finance, 2001 Abstract This paper shows how the credit risk premium affects firms' optimal hedging strategies. The model predicts that if the credit risk premium is relatively small, firms use convex hedging strategies. If the credit risk premium is relatively large, firms use concave hedging strategies.
Tim Adam, Tim Adam
openalex +4 more sources
Managing Credit Risk with Credit Derivatives [PDF]
SSRN Electronic Journal, 2005 Credit risk is one of the most important forms of risk faced by national and international banks as financial intermediaries. Managing this kind of risk through selecting and monitoring corporate and sovereign borrowers and through creating a diversified loan portfolio has always been one of the predominant challenges in bank management. The aim of our
UDO BROLL +2 more
openaire +4 more sources