Estimating the risk of joint defaults: an application to central bank collateralized lending operations
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til, 2008.
"Firm heterogeneity and credit risk diversification,"
Journal of Empirical Finance, Elsevier, vol. 15(4), pages 583-612, September.
- Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo.
- Lindskog, Filip & McNeil, Alexander J., 2003. "Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 209-238, November.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- M. Hashem Pesaran & Til Schuermann & Bjorn-Jakob Treutler, 2007.
"Global Business Cycles and Credit Risk,"
NBER Chapters, in: The Risks of Financial Institutions, pages 419-469,
National Bureau of Economic Research, Inc.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series 1548, CESifo.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," NBER Working Papers 11493, National Bureau of Economic Research, Inc.
- 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.
- Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(3), pages 123-141, December.
- Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.
- Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank.
- Rösch, Daniel & Scheule, Harald, 2012. "Capital incentives and adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 733-748.
- Xin Huang & Hao Zhou & Haibin Zhu, 2012.
"Systemic Risk Contributions,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
- Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43, Bank for International Settlements.
- Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
- Arturo Cortés Aguilar, 2011. "Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del merca," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 50-64.
- Klomp, Jeroen, 2013. "Government interventions and default risk: Does one size fit all?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 641-653.
- Mendicino, Caterina & Nikolov, Kalin & Ramirez, Juan-Rubio & Suarez, Javier & Supera, Dominik, 2020.
"Twin defaults and bank capital requirements,"
Working Paper Series
2414, European Central Bank.
- Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin & Rubio-RamÃrez, Juan Francisco & Supera, Dominik, 2020. "Twin Defaults and Bank Capital Requirements," CEPR Discussion Papers 14427, C.E.P.R. Discussion Papers.
- Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
- Marc Gürtler & Dirk Heithecker, 2006. "Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II," Schmalenbach Journal of Business Research, Springer, vol. 58(5), pages 554-587, August.
- Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020.
"Risk endogeneity at the lender/investor-of-last-resort,"
Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 2225, European Central Bank.
- Caballero, Diego & Lucas, Andr e & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 382, Sveriges Riksbank (Central Bank of Sweden).
- Diego Caballero & André Lucas & Bernd Schwaab & Xin Zhang, 2019. "Risk endogeneity at the lender/investor-of-last-resort," BIS Working Papers 766, Bank for International Settlements.
- Matteo Accornero & Giuseppe Cascarino & Roberto Felici & Fabio Parlapiano & Alberto Maria Sorrentino, 2018. "Credit risk in banks’ exposures to non‐financial firms," European Financial Management, European Financial Management Association, vol. 24(5), pages 775-791, November.
- World Bank Group, 2016. "Nigeria," World Bank Publications - Reports 25776, The World Bank Group.
- Ulrich Erlenmaier & Hans Gersbach, 2014. "Default Correlations in the Merton Model," Review of Finance, European Finance Association, vol. 18(5), pages 1775-1809.
- Josselin Garnier & Jean-Baptiste Gaudemet & Anne Gruz, 2021. "The Climate Extended Risk Model (CERM)," Papers 2103.03275, arXiv.org, revised Apr 2022.
- Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, October.
More about this item
Keywords
joint defaults; collateralized lending; residual credit risk;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-10-13 (Banking)
- NEP-CBA-2014-10-13 (Central Banking)
- NEP-RMG-2014-10-13 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:181. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jakub Growiec (email available below). General contact details of provider: https://edirc.repec.org/data/nbpgvpl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.