Systematic credit cycle risk of financial collaterals: modelling and evidence
Abstract: "According to the new capital adequacy framework (Basel II) finally adopted by the Basel Committee in June 2004 the eligibility of collaterals, especially financial collaterals, is extended in comparison to the existing rules. However, financial assets are valued conservatively in the credit context which suggests a strong correlation between collaterals and credit default rates. This paper discusses the impact of the dependency of financial collaterals and default rates on credit risk. Therefore, a general calculation framework for the loss rate of collateralized loans is given and an analytical solution for the valuation of financial collaterals is presented. Finally, the model is applied on empirical data of German insolvencies and German capital markets." (author's abstract)
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource, 58 S.
- Sprache
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Englisch
- Anmerkungen
-
unbekannt
- Erschienen in
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IF Working Paper Series ; Bd. FW15V2
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Braunschweig
- (wann)
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2005
- Urheber
- Beteiligte Personen und Organisationen
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Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
- URN
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urn:nbn:de:0168-ssoar-431715
- Rechteinformation
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
15.08.2025, 07:33 MESZ
Datenpartner
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Gürtler, Marc
- Heithecker, Dirk
- Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Entstanden
- 2005
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