Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Filtern nach
Aktive Filter
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 12 von 12.

  1. The multivariate option iPoD framework
    assessing systemic financial risk
    Autor*in: Matros, Philipp; Vilsmeier, Johannes
    Erschienen: 2013
    Verlag:  Friedrich-Alexander-Univ., Erlangen [u.a.]

    We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 400 (143)
    Fernleihe:
    keine Fernleihe

     

    We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates exhibit information about the conditional distributions of the individual FIs and we propose several financial distress measures based on default scenarios taking place in the financial sector. Empirical results around the period of the US sub-prime crisis show that the proposed risk measures in a timely manner identify i) the most troubled FIs in the system, ii) the systemically most important FIs, iii) the implicit bailout guarantees of some FIs and iv) a 'too interconnected to fail' problem in the US financial sector throughout the year 2008.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/99976
    Schriftenreihe: BGPE discussion paper ; 143
    Umfang: Online-Ressource (40 S.), graph. Darst.
  2. The multivariate option iPoD framework
    assessing systemic financial risk
    Autor*in: Matros, Philipp; Vilsmeier, Johannes
    Erschienen: 2014
    Verlag:  Dt. Bundesbank, Frankfurt am Main

    We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12 (2014,20)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Osnabrück
    Fernleihe:
    keine Fernleihe

     

    We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about the conditional distributions of the individual FIs, and we propose several financial distress measures based on default scenarios in the financial sector. Empirical results around the period of the US sub-prime crisis show that the proposed risk measures identify in a timely manner: i) the most distressed FIs in the system; ii) the systemically most important FIs; iii) the implicit bailout guarantees given to some FIs; and iv) a "too connected to fail" problem in the US financial sector throughout the year 2008.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957290533
    Weitere Identifier:
    hdl: 10419/102299
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; 20/2014
    Umfang: Online-Ressource (46, [3] S.), graph. Darst.
  3. Measuring option implied degree of distress in the US financial sector using the entropy principle
    Autor*in: Matros, Philipp; Vilsmeier, Johannes
    Erschienen: 2012
    Verlag:  Dt. Bundesbank, Frankfurt am Main

    We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12 (2012,30)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Osnabrück
    Fernleihe:
    keine Fernleihe

     

    We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are evaluated with regard to their consistency and predictive power and their properties are compared to Credit Default Swap Spreads (CDS). Moreover, we also derive an indicator for the systemic risk in the US financial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the Lehman crisis. -- Entropy Principle ; Risk Neutral Density ; Probability of Default ; Financial Stability Indicator ; Credit Default Swaps

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783865588609
    Weitere Identifier:
    hdl: 10419/67405
    RVK Klassifikation: QB 910
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; 30/2012
    Schlagworte: Finanzkrise; Bankenkrise; Bankinsolvenz; Statistische Verteilung; Entropie; Finanzsektor; USA
    Umfang: Online-Ressource (PDF-Datei: 55, [6] S., 851 KB), graph. Darst.
  4. Measuring option implied degree of distress in the US financial sector using the entropy principle
    Autor*in: Matros, Philipp; Vilsmeier, Johannes
    Erschienen: 2012
    Verlag:  Friedrich-Alexander-Univ., Erlangen [u.a.]

    We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 400 (123)
    Fernleihe:
    keine Fernleihe

     

    We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are evaluated with regard to their consistency and predictive power and their properties are compared to Credit Default Swap Spreads (CDS). Moreover, we also derive an indicator for the systemic risk in the US financial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the Lehman crisis. -- entropy principle ; risk neutral density ; Probability of Default ; financial stability indicator ; Credit Default Swaps

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/73420
    Schriftenreihe: BGPE discussion paper ; 123
    Schlagworte: Finanzkrise; Bankenkrise; Bankinsolvenz; Statistische Verteilung; Entropie; Finanzsektor; USA
    Umfang: Online-Ressource (45 S.), graph. Darst.
  5. The determinants of CDS spreads
    evidence from the model space
    Autor*in: Pelster, Matthias; Vilsmeier, Johannes
    Erschienen: [14.11.2016]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12 (2016,43)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Osnabrück
    Fernleihe:
    keine Fernleihe

     

    We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature, including different copula models. The approach followed supports ultimate transparency and robustness for the empirical study at hand. Using a large data-set of CDS contracts we find that CDS price dynamics can be mainly explained by factors describing firms' sensitivity to extreme market movements. More precisely, our results suggest that dynamic copula based measures of tail dependence incorporate almost all essential pricing information making other potential determinants such as Merton-type factors or variables measuring the systematic market evolution - based on simple means or principal component analysis - negligible.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957293145
    Weitere Identifier:
    hdl: 10419/148050
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2016, 43
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  6. Interbank risk assessment
    a simulation approach
    Autor*in: Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes
    Erschienen: [2020]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12
    Fernleihe:
    keine Fernleihe

     

    We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole sector. The framework can be used for the calibration of macro-prudential capital charges, the assessment of systemic risks in the banking sector, and for the calculation of banks' interbank loss distributions in general. Our application to German regulatory data from End-2016 shows that the German interbank network was at that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though up to four contagion defaults could occur due to an exogenous shock, the system-wide 99.9% VaR barely exceeds 1.5% of banks' CET 1 capital. For single institutions, however, we found indications for elevated vulnerabilities and hence the need for a close supervision.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957297051
    Weitere Identifier:
    hdl: 10419/215894
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2020, 23
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  7. On a quest for robustness
    about model risk, randomness and discretion in credit risk stress tests
    Autor*in: Siemsen, Thomas; Vilsmeier, Johannes
    Erschienen: [2018]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12 (2018,31)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Osnabrück
    Fernleihe:
    keine Fernleihe

     

    In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic covariates. We quantify the effect of model uncertainty on supervisory and bank stress tests in terms of predicted portfolio loss distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks. Our results suggest that the impact of model uncertainty on predicted capital shortfalls can be huge, even among models with similar predictive power. This leaves both banks and supervisors with uncertainty when calculating stress impacts and implied capital requirements. To mitigate the impact of uncertainty, we suggest a modeling approach which filters the model space by combining the standard Bayesian model averaging (BMA) paradigm with a structural filter derived from the Merton/Vasicek credit risk model. Applying our stress testing framework, the dispersion decreases and the median stress effect is reduced from -5.0pp of CET1 ratio under the BMA model to -2.5pp under the structurally augmented BMA model, while the predicted capital shortfall is reduced by 70 %. The structural filter eliminates extreme outcomes on both sides of the stress forecast distribution, leading in our application to the German banking sector to a reduction in impact compared to the model without the "stress testing plausibility" filter.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957294913
    Weitere Identifier:
    hdl: 10419/182024
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2018, 31
    Umfang: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  8. A stress test framework for the German residential mortgage market
    methodology and application
    Autor*in: Siemsen, Thomas; Vilsmeier, Johannes
    Erschienen: [18.12.2017]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress testing exercise. To account for model uncertainty when modeling PD dynamics we use a benchmark-constrained Bayesian model averaging... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12 (2017,37)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Osnabrück
    Fernleihe:
    keine Fernleihe

     

    This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress testing exercise. To account for model uncertainty when modeling PD dynamics we use a benchmark-constrained Bayesian model averaging approach that combines standard BMA with a benchmark derived from a quantile mapping between the historical PD distribution and the historical distribution of macro variables. To link LGD to current LTV we derive a reduced-form meta-dependency. In the baseline model, we quantify expected as well as unexpected losses. We show that German LSIs, though being mostly sufficiently capitalized, are susceptible to a corrective movement in house prices with a median CET1 ratio reduction of 1.5pp in the severely adverse scenario. We quantify the impact of RWA modeling on stress test results and show that the Standardized Approach leads to an up to 33% lower stress impact relative to the more risk-sensitive "pseudo-IRB" approach.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957294173
    Weitere Identifier:
    hdl: 10419/172531
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2017, 37
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  9. Updating the option implied probability of default methodology
    Autor*in: Vilsmeier, Johannes
    Erschienen: 2011
    Verlag:  Friedrich-Alexander-Univ., Erlangen [u.a.]

    In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 400 (107)
    Fernleihe:
    keine Fernleihe

     

    In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD has some serious drawbacks and hence an alternative procedure is suggested that is based on the Lagrange multipliers. Carrying out numerical evaluations and a practical application we find that the framework provides very promising results. -- option implied probability of default ; risk neutral density ; cross entropy

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/73447
    Schriftenreihe: BGPE discussion paper ; 107
    Schlagworte: Insolvenz; Aktienoption; Optionspreistheorie; Statistische Verteilung; Entropie; Bankinsolvenz; Risikomaß; Theorie
    Umfang: Online-Ressource (25 S.), graph. Darst.
  10. Updating the option implied probability of default methodology
    Autor*in: Vilsmeier, Johannes
    Erschienen: 2011
    Verlag:  Univ., Regensburg

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 140 (462)
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    RVK Klassifikation: QB 910
    Schriftenreihe: Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft ; 462
    Schlagworte: Insolvenz; Aktienoption; Optionspreistheorie; Statistische Verteilung; Entropie; Bankinsolvenz; Risikomaß; Theorie
    Umfang: Online-Ressource (25 S., 650 KB), graph. Darst.
  11. Updating the option implied probability of default methodology
    Autor*in: Vilsmeier, Johannes
    Erschienen: 2014
    Verlag:  Dt. Bundesbank, Frankfurt am Main

    Standort:
    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe

    Standort:
    Universitätsbibliothek Leipzig
    Fernleihe:
    keine Fernleihe

    Standort:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signatur:
    95/1194-2014,43
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch; Deutsch
    Medientyp: Buch (Monographie)
    Format: Druck
    ISBN: 9783957291066
    RVK Klassifikation: QK 900 ; QB 910
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; Array
    Umfang: 34 S., graph. Darst.
    Bemerkung(en):

    Online-Ausg. im Internet

    Text engl., Zsfassung in dt. u. engl. Sprache
  12. Updating the option implied probability of default methodology
    Autor*in: Vilsmeier, Johannes
    Erschienen: 2014
    Verlag:  Dt. Bundesbank, Frankfurt am Main

    In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12 (2014,43)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Osnabrück
    Fernleihe:
    keine Fernleihe

     

    In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD produces arbitrary results and hence an alternative procedure is suggested that is based on the Lagrange multipliers. Based on numerical evaluations and an illustrative empirical application we conclude that the framework provides very promising results.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957291073
    Weitere Identifier:
    hdl: 10419/106792
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; 43/2014
    Umfang: Online-Ressource (34, [3] S.), graph. Darst.