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Crash Testing German Banks
Year Of Publication: 2009
Month Of Publication: August
Pages: 37
Download Count: 14
View Count: 1552
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 9-24-2011
Publisher: Administrator
Summary
In this paper we stress-test credit portfolios of twenty-eight
German banks based on a Merton-type multifactor credit-risk
model. The stress scenario is an economic downturn in the
automobile sector. Although the percentage of loans in the
automobile sector is relatively low for all banks in the sample,
the expected loss conditional on the stress event increases substantially
by 70–80 percent for the total portfolio.
Author(s)
Duellmann, Klaus Sign in to follow this author
Erdelmeier, Martin Sign in to follow this author
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