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Daniel Rosch

Working paper

Liquidity constraints, home equity and residential mortgage losses

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

Role of loan portfolio losses and bank capital for Asian financial system resilience

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

Ratings-based capital adequacy for securitizations

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

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

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

Forecasting mortgage securitization risk under systemic risk and parameter uncertainty

The Global Financial Crisis exposed financial institutions to severe unexpected losses in relation to mortgage securitizations and derivatives. This paper finds that risk models such as ratings are exposed to a large degree of systematic risk and parameter uncertainty.