Systematic credit cycle risk of financial collaterals: modelling and evidence

Gürtler, Marc; Heithecker, Dirk

[working paper]

dc.contributor.author	Gürtler, Marc	de
dc.contributor.author	Heithecker, Dirk	de
dc.date.accessioned	2012-05-29T14:02:00Z	de
dc.date.accessioned	2015-05-28T06:23:51Z
dc.date.available	2015-05-28T06:23:51Z
dc.date.issued	2005	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/43171
dc.description.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." (author's abstract)	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.title	Systematic credit cycle risk of financial collaterals: modelling and evidence	de
dc.description.review	begutachtet	de
dc.description.review	reviewed	en
dc.identifier.url	http://www.fiwi.tu-bs.de/fileadmin/files/forschung/working_papers/FW14.pdf	de
dc.source.volume	FW15V2	de
dc.publisher.country	DEU
dc.publisher.city	Braunschweig	de
dc.source.series	IF Working Paper Series
dc.subject.classoz	Wirtschaftspolitik	de
dc.subject.classoz	Economic Policy	en
dc.subject.thesoz	Kapital	de
dc.subject.thesoz	capital	en
dc.subject.thesoz	Risiko	de
dc.subject.thesoz	risk	en
dc.subject.thesoz	Kredit	de
dc.subject.thesoz	credit	en
dc.subject.thesoz	Börse	de
dc.subject.thesoz	stock exchange	en
dc.subject.thesoz	Aktienmarkt	de
dc.subject.thesoz	stock market	en
dc.subject.thesoz	Forschung	de
dc.subject.thesoz	research	en
dc.subject.thesoz	empirische Forschung	de
dc.subject.thesoz	empirical research	en
dc.subject.thesoz	Insolvenz	de
dc.subject.thesoz	insolvency	en
dc.subject.thesoz	Eigenkapital	de
dc.subject.thesoz	equity	en
dc.subject.thesoz	Sicherheit	de
dc.subject.thesoz	security	en
dc.subject.thesoz	Kapitalmarkt	de
dc.subject.thesoz	capital market	en
dc.identifier.urn	urn:nbn:de:0168-ssoar-431715
dc.date.modified	2012-05-29T14:02:00Z	de
dc.rights.licence	Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung	de
dc.rights.licence	Deposit Licence - No Redistribution, No Modifications	en
ssoar.contributor.institution	USB Köln	de
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10041542
internal.identifier.thesoz	10045555
internal.identifier.thesoz	10040501
internal.identifier.thesoz	10034972
internal.identifier.thesoz	10034970
internal.identifier.thesoz	10037018
internal.identifier.thesoz	10042034
internal.identifier.thesoz	10047589
internal.identifier.thesoz	10041541
internal.identifier.thesoz	10036566
internal.identifier.thesoz	10044824
dc.type.stock	monograph	de
dc.type.document	Arbeitspapier	de
dc.type.document	working paper	en
dc.rights.copyright	f	de
dc.source.pageinfo	58	de
internal.identifier.classoz	1090302
internal.identifier.document	3
dc.contributor.corporateeditor	Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
internal.identifier.corporateeditor	434
internal.identifier.ddc	330
dc.description.pubstatus	unbekannt	de
dc.description.pubstatus	Unknown	en
internal.identifier.licence	3
internal.identifier.pubstatus	4
internal.identifier.review	2
internal.identifier.series	675
dc.subject.classhort	10900	de
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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