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Regulatory implications of credit risk modelling

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  • Jackson, Patricia
  • Perraudin, William

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 24 (2000)
Issue (Month): 1-2 (January)
Pages: 1-14
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Handle: RePEc:eee:jbfina:v:24:y:2000:i:1-2:p:1-14

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Web page: http://www.elsevier.com/locate/jbf

For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England.
  2. Elena Kalotychou & Ana-Maria Fuertes, 2006. "On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics," Computing in Economics and Finance 2006 509, Society for Computational Economics.
  3. Powell, Andrew, 2002. "A capital accord for emerging economies?," Policy Research Working Paper Series 2808, The World Bank.
  4. Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper 30132, University Library of Munich, Germany.
  5. Andrew Powell, 2004. "Implications of Basel II for Latin America," Business School Working Papers basel, Universidad Torcuato Di Tella.

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