Regulatory treatment of the double default effect under the New Basel Accord: how conservative is it?
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Bibliographic InfoArticle provided by Springer in its journal Review of Managerial Science.
Volume (Year): 2 (2008)
Issue (Month): 1 (March)
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Web page: http://www.springer.com/business/journal/11846
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
- Norbert_Jobst & Arnaud_de_Servigny, 2005. "An Empirical Analysis of Equity Default Swaps (II): Multivariate Insights," Finance 0503025, EconWPA.
- Sebastian Ebert & Eva Lütkebohmert, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers bgse24_2009, University of Bonn, Germany.
- Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
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