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John A Morrison's Blog – February 2010 Archive (7)

(Liquidity) Stress testing and contingency funding plans: LUXEMBOURG

ABSTRACT

This paper analyzes the current practices adopted by a sample of Luxembourg banks on liquidity stress testing and contingency funding plans. The paper covers four main topics: liquidity stress testing coverage, scenario design, policy issues and contingency funding plans. We compare, when relevant, these results to a larger sample of EU peer banks. The results, collected through a questionnaire addressed to forty-seven banking groups, are analyzed by the means…

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Added by John A Morrison on February 25, 2010 at 11:48pm — No Comments

Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?

by Laurent Devineau & Stéphane Loisel

SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon

ABSTRACT

Two approaches may be considered in order to determine the Solvency II economic capital: the use of a standard formula or the use of an internal model (global or partial). However, the results produced by these two methods are rarely similar, since the underlying hypothesis of marginal capital aggregation is not…

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Added by John A Morrison on February 25, 2010 at 11:30pm — No Comments

Factor models and the credit risk of a loan portfolio

Palombini, Edgardo (2009): Factor models and the credit risk of a loan portfolio. Unpublished.

Abstract

Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may be violated in one-factor models with constant default thresholds, as…

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Added by John A Morrison on February 11, 2010 at 12:57am — No Comments

Evaluating Value-at-Risk models via Quantile Regression

AUTHORS

Wagner Piazza Gaglianone

Luiz Renato Lima

Oliver Linton

Daniel Smith

ABSTRACT

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available…

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Added by John A Morrison on February 11, 2010 at 12:34am — No Comments

AN AREA-WIDE REAL-TIME DATABASE FOR THE EURO AREA - European Central Bank



by Domenico Giannone, Jérôme Henry…

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Added by John A Morrison on February 11, 2010 at 12:25am — No Comments

Credit and banking in a DSGE model of the euro area BANCA D'ITALIA

Credit and banking in a DSGE model of the euro area

by Andrea Gerali, Stefano Neri, Luca Sessa and Federico Maria Signoretti

(Working Paper) Number 740

Abstract



This paper studies the role of credit-supply factors in business cycle fluctuations. For this purpose, we introduce an imperfectly competitive banking sector into a DSGE model with financial frictions. Banks issue collateralized loans to both households and firms, obtain funding via deposits and…

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Added by John A Morrison on February 11, 2010 at 12:18am — No Comments

Vendor models for credit risk measurement and management - Basel Committee

Vendor models for credit risk measurement and management

BCBS Working Papers No 17

February 2010

the Research Task Force of the Basel Committee initiated a review of selected vendor credit-risk products, focusing on models that could be used to estimate probability of default, loss-given-default, or exposure at default, and models that could be used to assign ratings or produce credit scores, for wholesale or retail credit exposures. This paper provides a high-level…

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Added by John A Morrison on February 11, 2010 at 12:10am — No Comments

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