Show simple item record

Treatment of Double Default Effects within the Basel Regulatory Framework and a Theoretical and an Experimental Investigation of Higher-Order Risk Preferences

dc.contributor.advisorLütkebohmert, Eva
dc.contributor.authorEbert, Sebastian
dc.date.accessioned2020-04-16T13:57:55Z
dc.date.available2020-04-16T13:57:55Z
dc.date.issued06.09.2011
dc.identifier.urihttp://hdl.handle.net/20.500.11811/4868
dc.description.abstractThe financial crisis since 2007 has drastically demonstrated the importance of banking regulation. In the first two chapters of this dissertation, we present mathematical methods for the treatment of double default effects in the Basel regulatory framework. The first chapter is concerned with double default effects within the granularity adjustment, whereas the second chapter deals with double default effects within the Internal-Ratings-Based approach. Both methods consistently fit in the current framework and they do neither require extensive data nor computational time. Thus, we argue, they very well suit for practical application.
The remaining two chapters are concerned with higher-order risk preferences such as prudence or temperance. In the third chapter, we provide a moment characterization of higher-order risk preferences. We claim that this characterization gives a better understanding of how all higher-order risk preferences relate to skewness preference and kurtosis aversion. The final chapter presents a method to test for prudence and skewness seeking and reports results from a controlled laboratory experiment.
dc.language.isoeng
dc.rightsIn Copyright
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectRisiko von Kreditportfolios
dc.subjectBankenregulierung
dc.subjectBasel II
dc.subjectDoppelausfalleffekte
dc.subjectGranularitätsanpassung
dc.subjectRisikopräferenzen höherer Ordnung
dc.subjectSchiefepräferenz
dc.subjectLaborexperiment
dc.subjectPortfolio Credit Risk
dc.subjectBanking Regulation
dc.subjectDouble Default Effects
dc.subjectGranularity Adjustment
dc.subjectHigher-Order Risk Preferences
dc.subjectSkewness Preference
dc.subjectLaboratory Experiment
dc.subject.ddc330 Wirtschaft
dc.titleTreatment of Double Default Effects within the Basel Regulatory Framework and a Theoretical and an Experimental Investigation of Higher-Order Risk Preferences
dc.typeDissertation oder Habilitation
dc.publisher.nameUniversitäts- und Landesbibliothek Bonn
dc.publisher.locationBonn
dc.rights.accessRightsopenAccess
dc.identifier.urnhttps://nbn-resolving.org/urn:nbn:de:hbz:5-25952
ulbbn.pubtypeErstveröffentlichung
ulbbnediss.affiliation.nameRheinische Friedrich-Wilhelms-Universität Bonn
ulbbnediss.affiliation.locationBonn
ulbbnediss.thesis.levelDissertation
ulbbnediss.dissID2595
ulbbnediss.date.accepted2011-07-08
ulbbnediss.fakultaetRechts- und Staatswissenschaftliche Fakultät
dc.contributor.coRefereeSchlesinger, Harris


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

The following license files are associated with this item:

InCopyright