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 r...

Ngày tải lên: 22/03/2014, 20:20

... -0 .5 PZIP (Forward-looking Economy) PZIP (Hybrid Economy) -1 2 -1 0 -8 -6 -4 -2 0 2 4 -5 -4 .5 -4 -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .5 DIF (Forward-looking Economy) DIF (Hybrid Economy) PZIP denotes the duration ... (Hybrid Economy) -5 -4 -3 -2 -1 0 1 2 3 4 -5 -4 .5 -4 -3 .5 -3 -2 .5 -2 -1 .5 -1 -0...

Ngày tải lên: 15/03/2014, 14:20

... 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 eff...

Ngày tải lên: 16/03/2014, 19:20

... 99.00 - -9 4.74 -8 9.47 -0 .11 -4 3.00 99.90 +8.77 -8 5.96 -8 7.72 -3 .34 -8 3.95 99.99 +7.08 -9 5.61 -9 4.86 -6 1.55 -9 9.47 ∆ ES 99.00 +5.80 -8 5.51 -8 6.96 -2 9.96 -8 9.38 99.90 +7.06 -8 3.83 -8 5.65 -4 3.00 -9 7.71 99.99 ... 0.1200 β 2 (slope) -0 .0176 -0 .0142 -0 .0149 -0 .0158 -0 .0242 -0 .0254 -0 .0274...

Ngày tải lên: 16/02/2014, 10:20

...   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 Comm...

Ngày tải lên: 06/03/2014, 08:20

... year-ahead, averages) 0 1 2 3 4 5 6 J an - 9 9 J ul-99 Ja n - 0 0 J ul-00 J an - 0 1 Ju l - 0 1 Ja n -0 2 J ul-02 J an - 0 3 Ju l - 0 3 Jan-04 J ul-04 Ja n - 0 5 Ju l - 0 5 J an-06 J ul-06 Ja n - 0 7 Ju l - 0 7 J an-08 J ul-08 US Euro ... -1 ,54*** -0 .62*** -0 .02 -1 .80*** -0 .97*** -0 .40*** -2 .0 -1 .5 -1 .0 -0 .5 0....

Ngày tải lên: 15/03/2014, 10:20

... 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 ... growth ECB Working Paper Series No 1150 January 2010 27 Table 5 - Contnued Panel B: IV panel regression of GDP growth on loans growth and changes in credit standards...

Ngày tải lên: 15/03/2014, 10:20

... Expected credit standards -4 -0 .89 *** -0 .48 ** 0.34 0.38 * -0 .20 0.09 -0 .51 ** 0.48 ** -3 -0 .85 *** -0 .39 * 0.51 ** 0.53 *** -0 .31 0.14 -0 .55 *** 0.27 -2 -0 .84 *** -0 .36 * 0.66 *** 0.67 *** -0 .63 ... t-4 -0 .20 0.65 Margins on riskier loans t-4 -0 .55 1.30 Non interest rate charges t-4 -0 .40 0.66 Collateral requirements t-4...

Ngày tải lên: 15/03/2014, 10:20

... (StateG) and after (NoStateG) the removal of government guarantees for the savings bank groups with lower (LowRisk) and higher (HighRisk) ex ante riskiness. We thus base our inference on β 1 -( β 2 - ... Christian Gruendl and Andre Guettler 19 ECB Working Paper Series No 1272 December 2010 us to control for changes in risk premia charged by banks when examining changes i...

Ngày tải lên: 15/03/2014, 10:20

... synthetic CDOs which transfer credit risk only) and public securitization are not included. 23 ECB Working Paper Series No 1394 November 2011 measured 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 relativel...

Ngày tải lên: 15/03/2014, 10:20