EconStor >
Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/37041
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorEbert, Sebastianen_US
dc.contributor.authorLütkebohmert, Evaen_US
dc.date.accessioned2009-12-09en_US
dc.date.accessioned2010-07-29T10:09:00Z-
dc.date.available2010-07-29T10:09:00Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37041-
dc.description.abstractIn 2005 the Internal Ratings Based (IRB) approach of Basel II was enhanced by a treatment of double default effects to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a new method to account for double default effects. This new asset drop technique canbe applied within any structural model ofportfolio credit risk. When formulated within the IRB approach of Basel II, it is very well suited for practical application as it does not pose extensive data requirements and economic capital can still be computed analytically.en_US
dc.language.isoengen_US
dc.publisherGraduate School of Economics Bonnen_US
dc.relation.ispartofseriesBonn econ discussion papers 2009,24en_US
dc.subject.jelG31en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_US
dc.subject.keywordBasel IIen_US
dc.subject.keyworddouble defaulten_US
dc.subject.keywordIRB approachen_US
dc.subject.keywordregulatory capitalen_US
dc.subject.keywordstructural credit portfolio modelsen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwBasel IIen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwTheorieen_US
dc.titleImproved modeling of double default effects in Basel II: An endogenous asset drop model without additional correlationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn614620953en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

Files in This Item:
File Description SizeFormat
614620953.pdf469.28 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.