Arbeitspapier
Risks in domestic banks' corporate lending business
We introduce an empirical approach to studying credit risk in the corporate loan portfolio. First, historical adverse scenarios for loss rates are identified at sector level. Second, we estimate the empirical association between loan losses and economic growth and then apply it to a scenario of adverse economic growth. We additionally model an increase in risk weights for banks that use an internal ratings-based approach (IRBA) to calculate the capital adequacy requirement for their loan portfolio.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Paper ; No. 08/2021
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Financial Crises
Financial Forecasting and Simulation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Credit Risk
Default Rate
Stress Test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Memmel, Christoph
Roling, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Memmel, Christoph
- Roling, Christoph
- Deutsche Bundesbank
Entstanden
- 2021
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