http://www.bis.org/cbhub/list/author/author_4101/index.rss Research hub papers by author Maarten van Oordt en http://www.dnb.nl/en/binaries/working%20Paper%20341_tcm47-270451.pdf Netherlands Bank DNB Working Papers by Maarten van Oordt Securitization and the dark side of diversification 2012-03-28T17:36:59Z Securitization and the dark side of diversification 2012-03-28T17:36:59Z Abstract http://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb270453.jsp Maarten van Oordt Maarten van Oordt 2012-03-28 Netherlands Bank DNB Working Papers G11 G21 http://www.dnb.nl/en/binaries/Working%20Paper%20281_tcm47-248344.pdf Netherlands Bank DNB Working Papers by Maarten van Oordt and Chen Zhou Systematic risk under extremely adverse market conditions March 2011 2011-03-03T17:36:59Z Extreme losses are the major concern in risk management. The dependence between financial assets and the market portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression beta , defined by an asset's sensitivity to large negative market shocks, and establish the estimation methodology. We compare it to regular systematic risk measures: the market beta and the downside beta. Furthermore, the tail regression beta is a useful instrument in both portfolio risk management and systemic risk management. We demonstrate its applications in analyzing Value-at-Risk (VaR) and Conditional Value-at-Risk (CoVaR). Keywords: Tail regression beta, downside risk, Extreme Value Theory, tail dependence, risk management. JEL Classification : C14, G11. Systematic risk under extremely adverse market conditions March 2011 2011-03-03T17:36:59Z Full text http://www.dnb.nl/en/binaries/Working%20Paper%20281_tcm47-248344.pdf Chen Zhou Maarten van Oordt Maarten van Oordt and Chen Zhou 2011-03 Netherlands Bank DNB Working Papers http://www.dnb.nl/en/binaries/Working%20paper%20251_tcm47-236504.pdf Netherlands Bank DNB Working Papers by Wilko Bolt, Leo de Haan, Marco Hoeberichts, Maarten van Oordt and Job Swank Bank Profitability during Recessions 2010-07-14T12:41:59Z This paper estimates the relation between bank profitability and economic downturns using a theoretical model that takes into account the bank’s lending history as well as amortization and losses on outstanding loans. We focus on total bank profits and its components: net interest income, other income, and net provisioning plus other costs. Using both aggregate and individual bank panel datasets, our results confirm that pro-cyclicality of bank profits is stronger for deep recessions than during mild ones. Loan-losses are found to be the main driver of this nonlinearity. We find evidence that each percent contraction of real GDP during severe recessions leads to a 0.24 percent decrease in return on bank assets. JEL-code : E32, G21. Keywords : Bank profitability, Business cycle. Bank Profitability during Recessions 2010-07-14T12:41:59Z Full text http://www.dnb.nl/en/binaries/Working%20paper%20251_tcm47-236504.pdf Job Swank Leo de Haan Wilko Bolt Marco Hoeberichts Maarten van Oordt Wilko Bolt, Leo de Haan, Marco Hoeberichts, Maarten van Oordt and Job Swank 2010-07 Netherlands Bank DNB Working Papers E32 G21