Forecasting Credit Portfolio Risk - Discussion Paper Series 2: Banking and Financial Supervision No 01/2004 pot

... zxzxzxx Forecasting Credit Portfolio Risk Alfred Hamerle(Universität Regensburg)Thilo Liebig(Deutsche Bundesbank)Harald Scheule(Universität Regensburg) Discussion Paper Series 2: Banking and Financial ... drivers and • model 2 includes firm-specific risk drivers and a systematic macroeconomic variable. - 15 - The highest p-value is 0.0015, i.e. all risk drivers are significant (α=0.05). The random ... models: Risk driverModel 1 (withoutmacroeconomic risk driver)Model 2 (withmacroeconomic risk driver)Intercept -7 .7832 -7 .8132ART 0.0062 0.0062APT 0.0123 0.0124CRR -0 .0324 -0 .0326ETA -0 .0162...

IMES DISCUSSION PAPER SERIES - INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN pot

... -0 .5PZIP (Forward-looking Economy)PZIP (Hybrid Economy) -1 2 -1 0 -8 -6 -4 -2 024 -5 -4 .5 -4 -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .5DIF (Forward-looking Economy)DIF (Hybrid Economy)PZIP denotes the duration ... (Hybrid Economy) -5 -4 -3 -2 -1 01234 -5 -4 .5 -4 -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .5DIF (Forward-looking Economy)DIF (Hybrid Economy)PZIP denotes the duration of the ZIP period. SZIP denotes the ... (Forward-looking Economy)(%) -2 0 -1 5 -1 0 -5 0510150 5 10 15Interest Rate (Hybrid Economy)Inflation (Hybrid Economy)(%)25Figure 3012345678 -5 -4 .5 -4 -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .5PZIP...

Comparing the Auditability of Optical Scan, Voter Verified Paper Audit Trail (VVPAT) and Video (VVVAT) Ballot Systems potx

... technology, it is clear that individual counts are neither rapid nor especially accurate. This in and of itself is not particularly surprising. However, the extent of this phenomenon has not ... particular video system tested; our results do not imply that a video-based system cannot be the equal of paper- based systems, only that this one presently is not, at least in terms of effectiveness. ... make them easier to count. The optical-scan ballots were printed on legal-sized paper, and were identical to those first used by Everett, Byrne and Greene (2006) (See Figure 2). The ballots...

Tài liệu OCCASIONAL PAPER SERIES NO 64 / JULY 2007: THE USE OF PORTFOLIO CREDIT RISK MODELS IN CENTRAL BANKS doc

... 99.00 - -9 4.74 -8 9.47 -0 .11 -4 3.0099.90 +8.77 -8 5.96 -8 7.72 -3 .34 -8 3.9599.99 +7.08 -9 5.61 -9 4.86 -6 1.55 -9 9.47∆ ES99.00 +5.80 -8 5.51 -8 6.96 -2 9.96 -8 9.3899.90 +7.06 -8 3.83 -8 5.65 -4 3.00 -9 7.7199.99 ... 0.1200β2 (slope) -0 .0176 -0 .0142 -0 .0149 -0 .0158 -0 .0242 -0 .0254 -0 .0274β3 (curvature) -0 .0038 -0 .0052 -0 .0061 -0 .0069 -0 .0139 -0 .0130 -0 .008024ECB Occasional Paper No 64July 2007more ... +0.80 -8 3.01 -8 4.26 -3 1.21 -9 9.59Parameter changesPD/ migration Government bonds assumed credit risk- free Government bonds assumed credit risk- free Government bonds assumed credit risk- free,...

WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh potx

...  34 WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh The Working Paper is intended as a means ... Working Paper should not be quoted nor the data referred to without the written consent of the author. All rights reserved. © 2004 Wolf Wagner & Ian Marsh Comments and suggestions ...  HJ3EK 5+% - % >/ %  - ) -  2BB?% O7 7 &    H .  $ $ (-  3BAP3?3J2BK %...

Working PaPer SerieS no 1075 / July 2009: Bank riSk anD MoneTary PoliCy ppt

... year-ahead, averages)0123456Jan - 99Jul-99Jan - 00Jul-00Jan - 01Jul - 01Jan -0 2Jul-02Jan - 03Jul - 03Jan-04Jul-04Jan - 05Jul - 05Jan-06Jul-06Jan - 07Jul - 07Jan-08Jul-08USEuro ... -1 ,54*** -0 .62*** -0 .02 -1 .80*** -0 .97*** -0 .40*** -2 .0 -1 .5 -1 .0 -0 .50.00.51.0Effects after one yearLong-run effectAverage bank(EDF=0.73)Low -risk bank(EDF=0.38)High -risk bank(EDF=1.11)Note: We ... 0.001EDFt-1 -0 .051 *** 0.001 -0 .020 *** 0.006 -0 .127 *** 0.001 -0 .046 *** 0.001LLPt-1 -0 .113 *** 0.002 -0 .109 *** 0.003 -0 .006 *** 0.001 -0 .123 *** 0.003 -0 .119 *** 0.004'iM t -0 .715...

Working PaPer SerieS no 1150 / January 2010: Do bank loanS anD creDit StanDarDS have an effect on outPut? a Panel aPProach for the euro area doc

... pp. 25 7-7 6.[7] Bernanke, B.S. and Blinder, A. (1988), " ;Credit, money and aggregate demand",American Economic Review, Papers and Proceedings 75(1), pp. 43 5-3 9.[8] Bernanke, B.S. and ... growthECBWorking Paper Series No 1150January 201027Table 5 - ContnuedPanel B: IV panel regression of GDP growth on loans growth and changes in credit standards28ECBWorking Paper Series No 1150January ... Taylor, J. and Woodford, M.(eds.), Handbook of Macroeconomics, Amsterdam, North-Holland.[10] Berger, A.N. and Hannan, T.H. (1989), "The price-concentration relationship in banking& quot;,...

Working PaPer SerieS no 1160 / FeBrUarY 2010: evidence For SUrveY maTTerS The eUro area Bank lending emPirical crediT and oUTPUT groWTh pptx

... Expected credit standards -4 -0 .89 *** -0 .48 **0.34 0.38 * -0 .200.09 -0 .51 **0.48** -3 -0 .85 *** -0 .39 *0.51 ** 0.53 *** -0 .310.14 -0 .55 ***0.27 -2 -0 .84 *** -0 .36 *0.66 *** 0.67 *** -0 .63 ... t-4 -0 .200.65Margins on riskier loans t-4 -0 .551.30Non interest rate charges t-4 -0 .400.66Collateral requirements t-4 -1 .742.49 **Maturity t-4 -0 .972.40 **Loan-to-value ratio t-4 -0 .931.99 ... 0.17q-o-q short-term MFI loan growth to non -financial corporations C. LONG-TERM LOANS TO NON -FINANCIAL CORPORATIONS (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) Credit standard t-4 -2 .38 -2 .21...

Working PaPer SerieS no 1272 / DeCeMBer 2010: THe iMPaCT of PuBliC guaranTeeS on Bank riSk Taking eviDenCe froM a naTural exPeriMenT pptx

... (StateG) and after (NoStateG) the removal of government guarantees forthe savings bank groups with lower (LowRisk) and higher (HighRisk) ex ante riskiness.We thus base our inference on β1 -( β2 - ... Christian Gruendl and Andre Guettler19ECBWorking Paper Series No 1272December 2010us to control for changes in risk premia charged by banks when examining changes in the risk of borrowers. ... variables that vary only in the time series, such as the change in the business climate and the annual average of daily risk- free interest20ECBWorking Paper Series No 1272December 2010rates. The...

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WORKING PAPER SERIES NO 1394 / NOVEMBER 2011: BANK RISK DURING THE FINANCIAL CRISIS DO BUSINESS MODELS MATTER? pot

... synthetic CDOs which transfer credit risk only) and public securitization are not included. 23ECBWorking Paper Series No 1394November 2011measured as the ratio of short-term marketable securities ... ex-post realization of risk. We hypothesize that those banks which created high levels of market-to-book value in the pre-crisis period (i.e. ex-ante) and achieved relatively low levels of risk ... and Drehmann, 2009), and also changes in the broad stock market indices for non -financial corporations (sm), as calculated by Datastream. Both of these 26ECBWorking Paper Series No 1394November...

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