Systematic credit cycle risk of financial collaterals: modelling and evidence

Arbeitspapier | Working paper

"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

• Extent: Seite(n): 58
• Language: Englisch

References and Relationships

• Bibliographic citation: IF Working Paper Series (FW15V2)

Classification and Topics

• Subject: Wirtschaft ; Wirtschaftspolitik ; Kapital ; Risiko ; Kredit ; Börse ; Aktienmarkt ; Forschung ; empirische Forschung ; Insolvenz ; Eigenkapital ; Sicherheit ; Kapitalmarkt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gürtler, Marc ; Heithecker, Dirk
• Event: Veröffentlichung
• (who): Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
• (where): Deutschland, Braunschweig
• (when): 2005

Further information

• URN: urn:nbn:de:0168-ssoar-431715
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 21.06.2024, 4:27 PM CEST