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Industry practices in credit risk modeling and internal capital allocations: implications for a models-based regulatory capital standard

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  • David Jones
  • John Mingo
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    Abstract

    This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 2, "Credit risk modeling." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.

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    File URL: http://www.newyorkfed.org/research/epr/98v04n3/9810jone.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of New York in its journal Economic Policy Review.

    Volume (Year): (1998)
    Issue (Month): Oct ()
    Pages: 53-60

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    Handle: RePEc:fip:fednep:y:1998:i:oct:p:53-60:n:v.4no.3

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    Related research

    Keywords: Risk ; Econometric models ; Bank capital;

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    Cited by:
    1. Maximilian J.B. Hall, 2001. "The basle Committee's proposals for a new capital adequacy assessment framework: a critique," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(217), pages 111-179.
    2. Beverly J. Hirtle, 2003. "What market risk capital reporting tells us about bank risk," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 37-54.
    3. Abel Elizalde & Rafael Repullo, 2007. "Economic and Regulatory Capital in Banking: What Is the Difference?," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 87-117, September.
    4. Zhuang Cai & Peter Wheale, 2009. "Managing Efficient Capital Allocation with Emphasis on the Chinese Experience," Journal of Business Ethics, Springer, vol. 87(1), pages 111-135, April.
    5. Mingo, John J., 2000. "Policy implications of the Federal Reserve study of credit risk models at major US banking institutions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 15-33, January.
    6. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
    7. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2002. "Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays?," Center for Financial Institutions Working Papers 02-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
    8. Larry D. Wall & Pamela P. Peterson, 1998. "The choice of capital instruments," Economic Review, Federal Reserve Bank of Atlanta, issue Q 2, pages 4-17.
    9. Stanley C. W. Salvary, 2005. "Financial Accounting Information And The Relevance/Irrelevance Issue," Finance 0502016, EconWPA.

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