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Economic and regulatory capital allocation for revolving retail exposures

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Author Info
Perli, Roberto
Nayda, William I.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4B3MTRT-1/2/b8fe8ec5f2db3386d5e0f17911b30a00
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 4 (April)
Pages: 789-809
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:4:p:789-809

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Paul S. Calem & Michael LaCour-Little, 2001. "Risk-based capital requirements for mortgage loans," Finance and Economics Discussion Series 2001-60, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January. [Downloadable!] (restricted)
  3. Altman, Edward I. & Saunders, Anthony, 2001. "An analysis and critique of the BIS proposal on capital adequacy and ratings," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 25-46, January. [Downloadable!] (restricted)
  4. Philipp J. Schönbucher, 2000. "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers bgse16_2001, University of Bonn, Germany. [Downloadable!]
  5. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 573-92. [Downloadable!] (restricted)
  6. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  1. Jesper Tor Jacobson & Kasper Roszbach Lindé, 2004. "Credit Risk Versus Capital Requirements Under Basel II: Are SME Loans and Retail Credit Really Di Erent?," Departmental Working Papers 199, Tor Vergata University, CEIS. [Downloadable!]
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  2. Fabio de Andrade & Lyn Thomas, 2004. "Structural Models In Consumer Credit," Risk and Insurance 0407001, EconWPA. [Downloadable!]
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This page was last updated on 2009-11-7.

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