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Systematic credit cycle risk of financial collaterals: modelling and evidence
[Arbeitspapier]
Körperschaftlicher Herausgeber
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
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... mehr
"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)... weniger
Thesaurusschlagwörter
Kapital; Risiko; Kredit; Börse; Aktienmarkt; Forschung; empirische Forschung; Insolvenz; Eigenkapital; Sicherheit; Kapitalmarkt
Klassifikation
Wirtschaftspolitik
Sprache Dokument
Englisch
Publikationsjahr
2005
Erscheinungsort
Braunschweig
Seitenangabe
58 S.
Schriftenreihe
IF Working Paper Series, FW15V2
Status
begutachtet
Lizenz
Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung
DatenlieferantDieser Metadatensatz wurde vom Sondersammelgebiet Sozialwissenschaften (USB Köln) erstellt.