Oliver Blümke

Raiffeisen Bank International

Am Stadtpark 9

Vienna, A-1030

Austria

SCHOLARLY PAPERS

10

DOWNLOADS

97

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

Asset Correlation, Diversification and the Basel Accord: A Comparative Study

Number of pages: 34 Posted: 18 May 2017 Last Revised: 06 Apr 2018
Oliver Blümke
Raiffeisen Bank International
Downloads 96 (299,511)

Abstract:

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Asset correlation, Basel Accord, Banks, Default rates

2.

The term structure of default probabilities

Number of pages: 35
Oliver Blümke
Raiffeisen Bank International
Downloads 1

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Default rate prediction, IFRS 9, US-GAAP CECL, Discrete-time survival modelling

Estimating the Probability of Default for No-Default and Low-Default Portfolios

Posted: 05 Nov 2018 Last Revised: 02 Dec 2019
Oliver Blümke
Raiffeisen Bank International

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No-Default Portfolio, Low-Default Portfolio, Credit Rating, Probability of Default, Basel Accord, IFRS 9, CECL

Estimating the Probability of Default for No-Default and Low-Default Portfolios

Journal of the Royal Statistical Society, Series C, 69 (1), 89-107, 2019
Posted: 20 Feb 2020
Oliver Blümke
Raiffeisen Bank International

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Basel Accord, Credit rating, IFRS 9, Low-default, CECL

4.

Probability of Default Validation: Introducing the Likelihood-Ratio Test and Power Considerations

Journal of Risk Model Validation 7 (2) 29-59, 2013
Posted: 01 Nov 2018
Oliver Blümke
Raiffeisen Bank International

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Credit rating, Validation, Power, Default Probability

5.

Probability of Default Estimation and Validation within the Context of the Credit Cycle

Journal of Risk Model Validation 4(2), 27-45, 2010
Posted: 01 Nov 2018
Oliver Blümke
Raiffeisen Bank International

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Default Probability, Credit Rating, Stress Test, CCAR, IFRS 9, CECL

6.

A Proposal for a Validation Methodology for the Discriminatory Power of a Rating System Over Time

The Journal of Risk Model Validation (21–44) Volume 5/Number 1, Spring 2011
Posted: 14 Aug 2018
Oliver Blümke
Raiffeisen Bank International

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Rating, Discriminatory Power, Accuracy Ratio, Validation, Credit Risk, Default

7.

Probability of Default Validation: A Single-Year and a Multiyear Methodology for The Basel Framework

The Journal of Risk Model Validation (47–79) Volume 6/Number 2, Summer 2012
Posted: 13 Aug 2018
Oliver Blümke
Raiffeisen Bank International

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Rating, Default Probability, Validation, Basel Accord, Credit Risk

8.

On the Cyclicality of Default Rates of Banks: A Comparative Study of the Asset Correlation and Diversification Effects

Journal of Empirical Finance, Vol. 47, Pages 65-77, June 2018
Posted: 20 Jun 2018
Oliver Blümke
Raiffeisen Bank International

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Basel Accord, Asset correlation, Banks, Financial Crisis, Default rates

9.

On the Basel Accord's Inverse Relationship between Default Probability and Asset Correlation: An Empirical Study

Journal of Fixed Income, Vol. 25, No. 2, 2015
Posted: 08 Apr 2017
Oliver Blümke
Raiffeisen Bank International

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Asset Correlation, Basel Accord, Default Probability

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Hidden Markov model, Loan loss provisions, Scenario probabilities, Default rates, IFRS 9;,US-GAAP CECL

Other Papers (1)

Total Downloads: 0
1.

Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative Study

Posted: 04 May 2017 Last Revised: 19 Nov 2019
Oliver Blümke
Raiffeisen Bank International

Abstract:

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Validation Default Probabilities Credit Rating Basel Accord