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Capital Allocation for Portfolio Credit Risk

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  • Paul Kupiec

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    File URL: http://hdl.handle.net/10.1007/s10693-007-0013-4
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Financial Services Research.

    Volume (Year): 32 (2007)
    Issue (Month): 1 (October)
    Pages: 103-122
    Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
    Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:103-122

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    Web page: http://www.springerlink.com/link.asp?id=102934

    For corrections or technical questions regarding this item, or to correct its listing, contact: (Guenther Eichhorn) or (Christopher F. Baum).

    Related research

    Keywords: Economic capital; credit risk internal models; basel II internal ratings approach; G12; G20; G21; G28;

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    References

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    1. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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    Cited by:
    1. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer, vol. 37(1), pages 1-23, February.

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