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Thilo Liebig

Personal Details

First Name:Thilo
Middle Name:
Last Name:Liebig
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RePEc Short-ID:pli323

Affiliation

Deutsche Bundesbank

Frankfurt, Germany
http://www.bundesbank.de/
RePEc:edi:dbbgvde (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Hamerle, Alfred & Knapp, Michael & Liebig, Thilo & Wildenauer, Nicole, 2005. "Incorporating prediction and estimation risk in point-in-time credit portfolio models," Discussion Paper Series 2: Banking and Financial Studies 2005,13, Deutsche Bundesbank.
  2. Liebig, Thilo & Weder di Mauro, Beatrice & Porath, Daniel & Wedow, Michael, 2005. "Basel II and Bank Lending to Emerging Markets: Micro Evidence from German Banks," CEPR Discussion Papers 5163, C.E.P.R. Discussion Papers.
  3. Liebig, Thilo & Porath, Daniel & di Mauro, Beatrice Weder & Wedow, Michael, 2004. "How will Basel II affect bank lending to emerging markets? An analysis based on German bank level data," Discussion Paper Series 2: Banking and Financial Studies 2004,05, Deutsche Bundesbank.
  4. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank.
  5. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.

Articles

  1. Liebig, Thilo & Porath, Daniel & Weder, Beatrice & Wedow, Michael, 2007. "Basel II and bank lending to emerging markets: Evidence from the German banking sector," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 401-418, February.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Hamerle, Alfred & Knapp, Michael & Liebig, Thilo & Wildenauer, Nicole, 2005. "Incorporating prediction and estimation risk in point-in-time credit portfolio models," Discussion Paper Series 2: Banking and Financial Studies 2005,13, Deutsche Bundesbank.

    Cited by:

    1. Dannenberg, Henry, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers 11/2011, Halle Institute for Economic Research (IWH).
    2. Dannenberg, Henry, 2009. "Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ans," IWH Discussion Papers 3/2009, Halle Institute for Economic Research (IWH).

  2. Liebig, Thilo & Porath, Daniel & di Mauro, Beatrice Weder & Wedow, Michael, 2004. "How will Basel II affect bank lending to emerging markets? An analysis based on German bank level data," Discussion Paper Series 2: Banking and Financial Studies 2004,05, Deutsche Bundesbank.

    Cited by:

    1. Romila Qamar & Shahid Mansoor Hashmi & Jaleel Ahmed & Ahmed N.K. AlFarra, 2016. "Are Capital Buffers Countercyclical ? An Evidence From Pakistan," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(61), pages 123-146, September.
    2. Alicia García-Herrero & Sergio Gavilá, 2006. "Posible impacto de Basilea II en los países emergentes," Boletín, CEMLA, vol. 0(3), pages 103-124, Julio-sep.
    3. Ruthenberg, David & Landskroner, Yoram, 2008. "Loan pricing under Basel II in an imperfectly competitive banking market," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2725-2733, December.

  3. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank.

    Cited by:

    1. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
    2. Koetter, Michael, 2005. "Evaluating the German bank merger wave," Discussion Paper Series 2: Banking and Financial Studies 2005,12, Deutsche Bundesbank.
    3. Mr. Robin Brooks & Mr. Marco Del Negro, 2003. "Firm-Level Evidenceon International Stock Market Comovement," IMF Working Papers 2003/055, International Monetary Fund.
    4. Claudia Miani & Giulio Nicoletti & Alessandro Notarpietro & Massimiliano Pisani, 2012. "Banks� balance sheets and the macroeconomy in the Bank of Italy Quarterly Model," Questioni di Economia e Finanza (Occasional Papers) 135, Bank of Italy, Economic Research and International Relations Area.
    5. Trenca Ioan & Benyovszki Anamaria, 2009. "Analysis Model On The Relation Between Macroeconomical Variable Tendencies And Comercial Bank’S Credit Risk," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 682-689, May.
    6. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    7. Fecht, Falko & Martin, Antoine, 2005. "Banks, markets, and efficiency," Discussion Paper Series 2: Banking and Financial Studies 2005,04, Deutsche Bundesbank.
    8. Hansen, Lars Peter & Sargent, Thomas J., 2007. "Recursive robust estimation and control without commitment," Journal of Economic Theory, Elsevier, vol. 136(1), pages 1-27, September.
    9. Fecht, Falko & Tyrell, Marcel, 2004. "Optimal lender of last resort policy in different financial systems," Discussion Paper Series 1: Economic Studies 2004,39, Deutsche Bundesbank.
    10. Ben R. Craig & Falko Fecht, 2006. "The Eurosystem money market auctions: a banking perspective," Working Papers (Old Series) 0506, Federal Reserve Bank of Cleveland.
    11. Trueck, Stefan & Rachev, Svetlozar T., 2008. "Rating Based Modeling of Credit Risk," Elsevier Monographs, Elsevier, edition 1, number 9780123736833.
    12. Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
    13. Yi-Ping Chang & Chih-Tun Yu, 2014. "Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk," Computational Statistics, Springer, vol. 29(1), pages 331-361, February.
    14. Cipollini, Andrea & Missaglia, Giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany.
    15. Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2008. "Financial Intermediaries, Markets, and Growth," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 701-720, June.
    16. Tödter, Karl-Heinz & Scharnagl, Michael, 2004. "How effective are automatic stabilisers? Theory and empirical results for Germany and other OECD countries," Discussion Paper Series 1: Economic Studies 2004,21, Deutsche Bundesbank.
    17. Daniel Porath, 2006. "Estimating probabilities of default for German savings banks and credit cooperatives," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 58(3), pages 214-233, July.
    18. Heid, Frank & Porath, Daniel & Stolz, Stéphanie, 2004. "Does capital regulation matter for bank behaviour? Evidence for German savings banks," Discussion Paper Series 2: Banking and Financial Studies 2004,03, Deutsche Bundesbank.
    19. Kelly, Robert & O'Brien, Eoin & Stuart, Rebecca, 2014. "A long-run survival analysis of corporate liquidations in Ireland," Research Technical Papers 10/RT/14, Central Bank of Ireland.
    20. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
    21. Buettner, Thiess & Ruf, Martin, 2005. "Tax incentives and the location of FDI: evidence from a panel of German multinationals," Discussion Paper Series 1: Economic Studies 2005,17, Deutsche Bundesbank.
    22. Bruneau, C. & de Bandt, O. & El Amri, W., 2008. "Macroeconomic Fluctuations and Corporate Financial Fragility," Working papers 226, Banque de France.
    23. Croushore, Dean, 2005. "Do consumer-confidence indexes help forecast consumer spending in real time?," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 435-450, December.
    24. Ramb, Fred & Weichenrieder, Alfons J., 2005. "Taxes and the Financial Structure of German Inward FDI," Kiel Working Papers 1252, Kiel Institute for the World Economy (IfW Kiel).
    25. A. Karas & K. Schoors & G. Lanine, 2008. "Liquidity matters: Evidence from the Russian interbank market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/520, Ghent University, Faculty of Economics and Business Administration.
    26. Ben R. Craig & Joachim G. Keller, 2004. "The forecast ability of risk-neutral densities of foreign exchange," Working Papers (Old Series) 0409, Federal Reserve Bank of Cleveland.
    27. Fecht, Falko & Grüner, Hans Peter, 2005. "Financial Integration and Systemic Risk," CEPR Discussion Papers 5253, C.E.P.R. Discussion Papers.
    28. Kugler, Peter & Jordan, Thomas J. & Lenz, Carlos & Savioz, Marcel R., 2004. "Measurement errors in GDP and forward-looking monetary policy: The Swiss case," Discussion Paper Series 1: Economic Studies 2004,31, Deutsche Bundesbank.
    29. Zuzana Fungacova & Petr Jakubik, 2013. "Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 87-105, March.
    30. Knetsch, Thomas A., 2005. "Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy," Discussion Paper Series 1: Economic Studies 2005,39, Deutsche Bundesbank.
    31. Ulf von Kalckreuth & Emma Murphy, 2005. "Financial constraints and capacity adjustment in the United Kingdom: evidence from a large panel of survey data," Bank of England working papers 260, Bank of England.
    32. Péter Bauer & Marianna Endrész, 2016. "Modelling Bankruptcy Using Hungarian Firm-Level Data," MNB Occasional Papers 2016/122, Magyar Nemzeti Bank (Central Bank of Hungary).
    33. Hamerle, Alfred & Knapp, Michael & Wildenauer, Nicole, 2005. "Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen," University of Regensburg Working Papers in Business, Economics and Management Information Systems 409, University of Regensburg, Department of Economics.
    34. Petr Jakubík, 2011. "Household Balance Sheets and Economic Crisis," Working Papers IES 2011/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2011.
    35. Tödter, Karl-Heinz, 2005. "Umstellung der deutschen VGR auf Vorjahrespreisbasis," Discussion Paper Series 1: Economic Studies 2005,31, Deutsche Bundesbank.
    36. Koetter, Michael, 2005. "Measurement matters: Input price proxies and bank efficiency in Germany," Discussion Paper Series 2: Banking and Financial Studies 2005,01, Deutsche Bundesbank.
    37. Jakubik, Petr, 2011. "Households response to economic crisis," BOFIT Discussion Papers 7/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    38. Berg, Tobias & Koziol, Philipp, 2017. "An analysis of the consistency of banks’ internal ratings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 27-41.
    39. Neumann, Manfred J. M. & Greiber, Claus, 2004. "Inflation and core money growth in the euro area," Discussion Paper Series 1: Economic Studies 2004,36, Deutsche Bundesbank.
    40. Lemke, Wolfgang & Greiber, Claus, 2005. "Money demand and macroeconomic uncertainty," Discussion Paper Series 1: Economic Studies 2005,26, Deutsche Bundesbank.
    41. Bigus, Jochen & Prigge, Stefan, 2005. "When risk premiums decrease as the bank's risk increases--a caveat on the use of subordinated bonds as an instrument of banking supervision," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 369-390, October.
    42. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    43. L C Thomas, 2010. "Consumer finance: challenges for operational research," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(1), pages 41-52, January.
    44. Mr. Jorge A Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities - A Survey," IMF Working Papers 2006/149, International Monetary Fund.
    45. Petr JAKUBÍK, 2007. "Macroeconomic Environment and Credit Risk (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
    46. Hamerle, Alfred & Knapp, Michael & Liebig, Thilo & Wildenauer, Nicole, 2005. "Incorporating prediction and estimation risk in point-in-time credit portfolio models," Discussion Paper Series 2: Banking and Financial Studies 2005,13, Deutsche Bundesbank.
    47. Paustian, Matthias, 2005. "The role of contracting schemes for the welfare costs of nominal rigidities over the business cycle," Discussion Paper Series 1: Economic Studies 2005,22, Deutsche Bundesbank.
    48. Peter Grundke, 2008. "Regulatory treatment of the double default effect under the New Basel Accord: how conservative is it?," Review of Managerial Science, Springer, vol. 2(1), pages 37-59, March.
    49. Palombini, Edgardo, 2009. "Factor models and the credit risk of a loan portfolio," MPRA Paper 20107, University Library of Munich, Germany.
    50. Dieter Nautz & Karsten Ruth, 2008. "Monetary disequilibria and the euro/dollar exchange rate," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 701-716.
    51. Herrmann, Sabine & Jochem, Axel, 2005. "Trade balances of the central and east European EU member states and the role of foreign direct investment," Discussion Paper Series 1: Economic Studies 2005,41, Deutsche Bundesbank.
    52. Pawel Siarka, 2021. "Global Portfolio Credit Risk Management: The US Banks Post-Crisis Challenge," Mathematics, MDPI, vol. 9(5), pages 1-19, March.
    53. Kamp, Andreas & Pfingsten, Andreas & Porath, Daniel, 2005. "Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios," Discussion Paper Series 2: Banking and Financial Studies 2005,03, Deutsche Bundesbank.
    54. Illanes, Gabriel & Pena, Alejandro & Sosa Rodriguez, Andrés Ricardo, 2016. "A Macroeconomic Model of Credit Risk in Uruguay," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
    55. Aykut Ekinci, 2016. "Rethinking Credit Risk under the Malinvestment Concept: The Case of Germany, Spain and Italy," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2016(1), pages 39-63.
    56. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305, April.
    57. Stefan Blochwitz & Marcus R. W. Martin & Carsten S. Wehn, 2006. "Statistical Approaches to PD Validation," Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 289-306, Springer.
    58. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    59. Roland Beck & Petr Jakubik & Anamaria Piloiu, 2015. "Key Determinants of Non-performing Loans: New Evidence from a Global Sample," Open Economies Review, Springer, vol. 26(3), pages 525-550, July.
    60. Stamfort, Stefan, 2005. "Berechnung trendbereinigter Indikatoren für Deutschland mit Hilfe von Filterverfahren," Discussion Paper Series 1: Economic Studies 2005,19, Deutsche Bundesbank.
    61. Heid, Frank, 2005. "Cyclical implications of minimum capital requirements," Discussion Paper Series 2: Banking and Financial Studies 2005,06, Deutsche Bundesbank.
    62. Beck, Roland & Jakubik, Petr & Piloiu, Anamaria, 2013. "Non-performing loans: what matters in addition to the economic cycle?," Working Paper Series 1515, European Central Bank.
    63. Petr Jakubík, 2007. "Credit Risk and the Finnish Economy," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(3), pages 254-285, November.
    64. Ehab Zaki & Rahim Bah & Ananth Rao, 2011. "Assessing probabilities of financial distress of banks in UAE," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(3), pages 304-320, June.
    65. Dietske Simons & Ferdinand Rolwes, 2009. "Macroeconomic efault Modeling and Stress Testing," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 177-204, September.
    66. Samorodnitsky, Gennady & Rachev, Svetlozar T. & Kurz-Kim, Jeong-Ryeol, 2005. "Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals," Discussion Paper Series 1: Economic Studies 2005,21, Deutsche Bundesbank.
    67. Heppke-Falk, Kirsten H. & Hüfner, Felix P., 2004. "Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy," Discussion Paper Series 1: Economic Studies 2004,40, Deutsche Bundesbank.
    68. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank.
    69. Skufi, Lorena, 2020. "Financial sector and macroeconomics links in MEAM," MPRA Paper 120481, University Library of Munich, Germany, revised 2020.
    70. Sims, Christopher A., 2005. "Rational inattention: a research agenda," Discussion Paper Series 1: Economic Studies 2005,34, Deutsche Bundesbank.
    71. Gabriel Illanes & Alejandro Pena & Andrés Sosa, 2014. "Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay," Documentos de trabajo 2014002, Banco Central del Uruguay.
    72. Porath, Daniel, 2004. "Estimating probabilities of default for German savings banks and credit cooperatives," Discussion Paper Series 2: Banking and Financial Studies 2004,06, Deutsche Bundesbank.

  4. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.

    Cited by:

    1. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2003. "Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies," Working Paper Series 155, Sveriges Riksbank (Central Bank of Sweden).
    2. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, University of Reading.
    3. Rodriguez, Analía, 2007. "Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas," MPRA Paper 12637, University Library of Munich, Germany.
    4. Cipollini, Andrea & Missaglia, Giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany.
    5. J. Crook & T. Bellotti, 2012. "Asset correlations for credit card defaults," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 87-95, January.
    6. Péter Bauer & Marianna Endrész, 2016. "Modelling Bankruptcy Using Hungarian Firm-Level Data," MNB Occasional Papers 2016/122, Magyar Nemzeti Bank (Central Bank of Hungary).
    7. Hamerle, Alfred & Knapp, Michael & Wildenauer, Nicole, 2005. "Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen," University of Regensburg Working Papers in Business, Economics and Management Information Systems 409, University of Regensburg, Department of Economics.
    8. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
    9. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
    10. Dubecq, S. & Mojon, B. & Ragot, X., 2009. "Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy," Working papers 254, Banque de France.
    11. Dietsch, Michel & Düllmann, Klaus & Fraisse, Henri & Koziol, Philipp & Ott, Christine, 2016. "Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans," Discussion Papers 45/2016, Deutsche Bundesbank.
    12. Yang, Xiaolou & Hu, Yingyao, 2024. "Default risk and stock returns: From a perspective of measurement errors," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1545-1561.
    13. Gürtler, Marc & Heithecker, Dirk, 2005. "Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model," Working Papers FW19V2, Technische Universität Braunschweig, Institute of Finance.
    14. Christoph Wunderer, 2017. "Asset correlation estimation for inhomogeneous exposure pools," Papers 1701.02028, arXiv.org, revised Sep 2019.
    15. Rosch, Daniel, 2005. "An empirical comparison of default risk forecasts from alternative credit rating philosophies," International Journal of Forecasting, Elsevier, vol. 21(1), pages 37-51.
    16. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
    17. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305, April.
    18. Gürtler, Marc & Heithecker, Dirk, 2004. "Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II," Working Papers FW08V3, Technische Universität Braunschweig, Institute of Finance.
    19. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
    20. Takashi Hashimoto, 2009. "Asset correlation for credit risk analysis -- Empirical study of default data for Japanese companies --," Bank of Japan Working Paper Series 09-E-3, Bank of Japan.
    21. Fenech, Jean Pierre & Vosgha, Hamed & Shafik, Salwa, 2015. "Loan default correlation using an Archimedean copula approach: A case for recalibration," Economic Modelling, Elsevier, vol. 47(C), pages 340-354.
    22. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005. "Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 43-75, October.
    23. Düllmann, Klaus & Koziol, Philipp, 2013. "Evaluation of minimum capital requirements for bank loans to SMEs," Discussion Papers 22/2013, Deutsche Bundesbank.
    24. Mustapha Ammari & Ghizlane Lakhnat, 2017. "Default-implied Asset Correlation: Empirical Study for Moroccan Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 415-425.
    25. Jan Henneke & Stefan Trück, 2005. "Auswirkungen der neuen Basler Eigenkapitalvereinbarung auf die Finanzierung von KMU," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(4), pages 112-124.

Articles

  1. Liebig, Thilo & Porath, Daniel & Weder, Beatrice & Wedow, Michael, 2007. "Basel II and bank lending to emerging markets: Evidence from the German banking sector," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 401-418, February.

    Cited by:

    1. Christian Wildmann, 2011. "What drives portfolio investments of German banks in emerging capital markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 197-231, June.
    2. Gutiérrez López, Cristina & Abad González, Julio, 2014. "¿Permitían los estados financieros predecir los resultados de los tests de estrés de la banca española? Una aplicación del modelo logit," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 17(1), pages 58-70.
    3. Figuet, Jean-Marc & Humblot, Thomas & Lahet, Delphine, 2015. "Cross-border banking claims on emerging countries: The Basel III Banking Reforms in a push and pull framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 294-310.
    4. Golbabaei, Ali & Botshekan, Mahmoud, 2022. "The capital ratio and the interest rate spread: A panel threshold regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 289-302.
    5. Adachi-Sato, Meg & Vithessonthi, Chaiporn, 2021. "Bank risk-taking and corporate investment: Evidence from the Global Financial Crisis of 2007–2009," Global Finance Journal, Elsevier, vol. 49(C).
    6. Mario Tonveronachi, 2009. "Implications of Basel II for financial stability. Clouds are darker for developing countries," PSL Quarterly Review, Economia civile, vol. 62(248-251), pages 117-142.
    7. Mario Tonveronachi, 2007. "Implications of Basel II for financial stability. Clouds are darker for developing countries," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 60(241), pages 111-135.
    8. Lejot , Paul & Arner, Douglas & Schou-Zibell, Lotte, 2008. "Securitization in East Asia," Working Papers on Regional Economic Integration 12, Asian Development Bank.
    9. Wildmann, Christian, 2010. "What drives portfolio investments of German banks in emerging capital markets?," Discussion Paper Series 2: Banking and Financial Studies 2010,04, Deutsche Bundesbank.
    10. Mario Tonveronachi, 2007. "Implications of Basel II for financial stability. Clouds are darker for developing countries," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 60(241), pages 111-135.
    11. Dagobert NGONGANG, 2011. "Gouvernance et pratiques de la communication financière : une étude empirique dans les sociétés anonymes camerounaises," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 2(1), April.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (2) 2005-09-29 2006-08-05
  2. NEP-FMK: Financial Markets (2) 2005-09-29 2006-08-05
  3. NEP-CFN: Corporate Finance (1) 2005-09-29
  4. NEP-REG: Regulation (1) 2005-09-29
  5. NEP-RMG: Risk Management (1) 2006-08-05

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