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)

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource, 58 S.
• Language: Englisch
• Notes: unbekannt

References and Relationships

• Bibliographic citation: IF Working Paper Series ; Bd. FW15V2

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Braunschweig
• (when): 2005
• Creator: Gürtler, Marc ; Heithecker, Dirk
• Contributor: Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft

Further information

• URN: urn:nbn:de:0168-ssoar-431715
• Rights: Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 15.08.2025, 7:33 AM CEST