Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model
Abstract: "In the last decade, portfolio credit risk measurement has improved significantly. The current state-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Most popular has become the Merton-type one-factor model of Vasicek, that builds the fundament of the new capital adequacy framework (Basel II) finally adopted by the Basel Committee On Banking Supervision in June 2004. Due to this approach credit risk only arises from defaults, and the model provides an analytical solution for the risk measures Value at Risk and Expected Loss. One of the less examined questions in this field of research is, how the time to maturity of loans affects the portfolio credit risk. In practice there is common agreement that credit risk rises with the maturity of a loan, but only few solutions considering different maturities are discussed. We present two new approaches, how to cope with the problem of the maturity in the Vasicek-model. We focus on the influence
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource, 48 S.
- Language
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Englisch
- Notes
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unbekannt
- Bibliographic citation
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IF Working Paper Series ; Bd. FW19V2
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Braunschweig
- (when)
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2005
- Creator
- Contributor
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Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
- URN
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urn:nbn:de:0168-ssoar-431721
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
25.03.2025, 1:54 PM CET
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Gürtler, Marc
- Heithecker, Dirk
- Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Time of origin
- 2005
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Are credit default swaps associated with higher corporate defaults?