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dc.contributor.authorEbert, Sebastianen
dc.contributor.authorLütkebohmert, Evaen
dc.date.accessioned2009-12-09-
dc.date.accessioned2010-07-29T10:09:00Z-
dc.date.available2010-07-29T10:09:00Z-
dc.date.issued2009-
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 it asset drop technique can be applied within any structural model of portfolio 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 computeden
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x24/2009en
dc.subject.jelG31en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordBasel IIen
dc.subject.keyworddouble defaulten
dc.subject.keywordIRB approachen
dc.subject.keywordregulatory capitalen
dc.subject.keywordstructural credit portfolio modelsen
dc.subject.stwKreditrisikoen
dc.subject.stwBasel IIen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwPortfolio-Managementen
dc.subject.stwTheorieen
dc.titleImproved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation-
dc.type|aWorking Paperen
dc.identifier.ppn614620953en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:242009-

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