Arbeitspapier | Working paper
Systematic credit cycle risk of financial collaterals: modelling and evidence
"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)
- Umfang
-
Seite(n): 58
- Sprache
-
Englisch
- Erschienen in
-
IF Working Paper Series (FW15V2)
- Thema
-
Wirtschaft
Wirtschaftspolitik
Kapital
Risiko
Kredit
Börse
Aktienmarkt
Forschung
empirische Forschung
Insolvenz
Eigenkapital
Sicherheit
Kapitalmarkt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gürtler, Marc
Heithecker, Dirk
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
- (wo)
-
Deutschland, Braunschweig
- (wann)
-
2005
- URN
-
urn:nbn:de:0168-ssoar-431715
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Gürtler, Marc
- Heithecker, Dirk
- Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Entstanden
- 2005
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