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Credit risk modeling and internal capital allocation processes: implications for a models-based regulatory bank capital standard

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  • Jones, David
  • Mingo, John
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3WHC50F-1/2/45dcb36fe3176640074e94d6fa53ff83
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 51 (1999)
    Issue (Month): 2 (March)
    Pages: 79-108

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    Handle: RePEc:eee:jebusi:v:51:y:1999:i:2:p:79-108

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

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    References

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    1. Berger, Allen N. & Herring, Richard J. & Szego, Giorgio P., 1995. "The role of capital in financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 393-430, June.
    2. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    3. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia.
    4. Chunsheng Zhou, 1997. "Default correlation: an analytical result," Finance and Economics Discussion Series 1997-27, Board of Governors of the Federal Reserve System (U.S.).
    5. Darryll Hendricks & Beverly Hirtle, 1997. "Bank capital requirements for market risk: the internal models approach," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-12.
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    Cited by:
    1. Allen N. Berger & Rebecca S. Demsetz & Philip E. Strahan, 1998. "The consolidation of the financial services industry: causes, consequences, and implications for the future," Finance and Economics Discussion Series 1998-46, Board of Governors of the Federal Reserve System (U.S.).
    2. Patrick de Fontnouvelle & Victoria Garrity & Scott Chu & Eric Rosengren, 2005. "The potential impact of explicit Basel II operational risk capital charges on the competitive environment of processing banks in the United States," Basel II White Paper 4, Board of Governors of the Federal Reserve System (U.S.).
    3. Franz R. Hahn, . "Macroprudential Financial Regulation and Monetary Policy," WIFO Working Papers 154, WIFO.
    4. Diana Hancock & Andreas Lehnert & Wayne Passmore & Shane M. Sherlund, 2006. "The competitive effects of risk-based bank capital regulation: an example from U.S. mortgage markets," Finance and Economics Discussion Series 2006-46, Board of Governors of the Federal Reserve System (U.S.).

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