Philipp Koziol

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

10

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1

Scholarly Papers (10)

1.

The Term Structure of Currency Hedge Ratios

Number of pages: 38 Posted: 16 Mar 2008 Last Revised: 23 Jun 2014
Olaf Korn and Philipp Koziol
Georg-August-Universität Göttingen and European Central Bank (ECB)
Downloads 345 (81,117)
Citation 1

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Corporate risk management, foreign exchange risk, hedging, cointegrated VAR model

2.

Are SME Loans Less Risky than Regulatory Capital Requirements Suggest?

Journal of Fixed Income, Vol. 23, No. 4, 2014
Number of pages: 21 Posted: 05 Feb 2014 Last Revised: 09 Dec 2014
Klaus Duellmann and Philipp Koziol
Deutsche Bundesbank and European Central Bank (ECB)
Downloads 130 (206,978)

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Asset Correlation, Basel II, Minimum Capital Requirements, Single Risk Factor Model

3.

An Analysis of the Consistency of Banks' Internal Ratings

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 25 Jan 2017
Tobias Berg and Philipp Koziol
Frankfurt School of Finance & Management and European Central Bank (ECB)
Downloads 85 (277,913)

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Internal Ratings, Basel Minimum Capital Requirements, IRB Approach, Bank Incentives, Bank Regulation

4.

Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?

Bundesbank Discussion Paper No. 46/2015
Number of pages: 39 Posted: 21 Jun 2016
Philipp Koziol, Carmen Schell and Meik Eckhardt
European Central Bank (ECB), Deutsche Bundesbank and Deutsche Bundesbank
Downloads 68 (316,071)

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credit risk, top-down stress tests, copulas, macroeconomic scenario

5.

Support for the SME Supporting Factor: Multi-Country Empirical Evidence on Systematic Risk Factor for SME Loans

Bundesbank Discussion Paper No. 45/2016
Number of pages: 44 Posted: 14 Dec 2016
Institut d'Etudes Politiques, Deutsche Bundesbank, Banque de France, European Central Bank (ECB) and Deutsche Bundesbank
Downloads 47 (376,819)

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SME finance, Asset correlation, Basel III, CRR/CRD IV, Asymptotic Single Risk factor Model, SME Supporting Factor

6.

Evaluation of Minimum Capital Requirements for Bank Loans to Smes

Bundesbank Discussion Paper No. 22/2013
Number of pages: 40 Posted: 21 Jun 2016
Klaus Duellmann and Philipp Koziol
Deutsche Bundesbank and European Central Bank (ECB)
Downloads 35 (420,765)

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Asset Correlation, Basel II, Minimum Capital Requirements, Single Risk Factor Model

7.

Do Correlated Defaults Matter for CDS Premia? An Empirical Analysis

Bundesbank Discussion Paper No. 21/2014
Number of pages: 45 Posted: 21 Jun 2016
Christian Koziol, Philipp Koziol and Thomas Schön
University of Tübingen, European Central Bank (ECB) and University of Tübingen
Downloads 24 (471,693)

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Correlated Defaults, Systemic Risk, Idiosyncratic Risk, Collateralized Debt Obligations, Credit Default Swaps, Credit Derivatives

8.

Many a Little Makes a Mickle: Macro Portfolio Stress Test for Small and Medium-Sized German Banks

Bundesbank Discussion Paper No. 23/2015
Number of pages: 39 Posted: 21 Jun 2016
Ramona Busch, Philipp Koziol and Marc Mitrovic
Deutsche Bundesbank, European Central Bank (ECB) and Deutsche Bundesbank
Downloads 14 (526,502)

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Macro Stress Tests, Macroprudential Supervision, Small and Medium-sized Banks, Income Stress Test, Credit Risk

9.

Market Discipline Across Bank Governance Models: Empirical Evidence from German Depositors

Bundesbank Discussion Paper No. 13/2015
Number of pages: 43 Posted: 21 Jun 2016
Eva Arnold, Ingrid Größl and Philipp Koziol
University of Hamburg, University of Hamburg and European Central Bank (ECB)
Downloads 11 (543,231)

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market discipline, bank depositor behavior, bank risk taking, deposit rates

10.

Inflation and Interest Rate Derivatives for FX Risk Management: Implications for Exporting Firms under Real Wealth

Quarterly Review of Economics and Finance, Forthcoming
Posted: 19 Jan 2009 Last Revised: 09 Dec 2014
Philipp Koziol
European Central Bank (ECB)

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Corporate risk management, FX risk, Hedging, Interest rate derivatives, Inflation derivatives, Cointegrated VAR