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Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55229
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| Title: | | Systematic credit cycle risk of financial collaterals: Modelling and evidence  |
| Authors: | | Gürtler, Marc Heithecker, Dirk |
| Issue Date: | | 2005 |
| Series/Report no.: | | Working papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW15V2 |
| 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 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. |
| Subjects: | | Basel II Capital Adequacy Requirements Value at Risk Loss Given Default Probability of Default Collateral Collateral Valuation |
| JEL: | | G21 G28 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig
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