Common ways to mitigate the detrimental consequences of supplier bankruptcies are to install
redundancy and to pursue a multiple-sourcing strategy. This is based on the assumption …

Internal ratings-based models are used for a variety of important bank and regulatory
decisions. Thus, model risk – the potential for different models to provide different probability-of-…

German savers are renowned for preferring safe, long-term investments, thus providing patient
capital, with bank deposits playing an important role. Based on a unique data set for the …

Using a unique and comprehensive data set on the two largest economies of the Eurozone-France
and Germany-this paper first proceeds to a computation of the Gordy formula relaxing …

We develop a macroeconomic portfolio stress test that is specifically geared towards small
and medium-sized German banks. We combine a credit risk stress test which simulates credit …

The financial defaults of suppliers in a supplier network are significant risks and causes of
uncertainty for buying firms. Hitherto, it has been largely neglected that default probabilities of …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and
medium-sized enterprises (SMEs). Key contributions are the use of a unique data set of SME …

In the last decade, stress tests have become indispensable in bank risk management which
has led to significantly increased requirements for stress tests for banks and regulators. …

This paper investigates the variance minimizing currency forward hedge of an exporting firm
that is exposed to different sources of risk. In an empirical study, we quantify the …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium
enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by …