Person

Daniel Rosch

Recently added resources

Working paper

6 Jun 2016
10

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with...

Working paper

31 Jan 2016
11

This paper analyses the systemic risk in relation to bank lending for Asian economies. The methodology complements existing market-based systemic risk measures by providing measures based on accounting information that regulators typically collect. Loan loss provisions of banks are decomposed into (i) a prediction component...

Working paper

31 Mar 2014
11

This paper develops a framework to measure the exposure to systematic risk for pools of asset securitizations and measures empirically whether current ratings- based rules for regulatory capital of securitizations under Basel II and Basel III re ect this exposure. The analysis is based on...

Working paper

31 Mar 2014
13

This paper analyses the pricing of systematic risk factors in credit default swap contracts in a two-stage empirical framework. In the first pass, we estimate contract specific sensitivities to several systematic risk factors by time-series regressions using quoted credit default swap (CDS) spreads of 339...

Working paper

30 Mar 2014
12

The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57 trillion in 2008 (BBA, 2006; BIS, 2010). This growth rate highlights the importance of these new instruments in nancial markets. Consequences of the global nancial crisis (GFC), e.g., the...

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