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Improved modeling of double default effects in Basel II: an endogenous asset drop model without additional correlation

In 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...

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Bibliographische Detailangaben
Hauptverfasser: Ebert, Sebastian (VerfasserIn) , Lütkebohmert, Eva (VerfasserIn)
Dokumenttyp: Book/Monograph Arbeitspapier
Sprache:Englisch
Veröffentlicht: Bonn Graduate School of Economics 2009
Schriftenreihe:Bonn econ discussion papers 2009,24
In: Bonn Econ Discussion Papers (2009,24)

Schlagworte:
Arbeitspapier
Graue Literatur
Online-Zugang:Verlag, Volltext: http://www.bgse.uni-bonn.de/bonn-econ-papers-1/archive/2009/sebastian-ebert-and-eva-lutkebohmert-improved-modeling-of-double-default-effects-in-basel-ii-an-endogenous-asset-drop-model-without-additional-correlation
Download aus dem Internet, Stand 09.12.2009, Volltext: http://hdl.handle.net/10419/37041
Volltext
Verfasserangaben:by Sebastian Ebert and Eva Lütkebohmert

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