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Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

In: Prudential Supervision: What Works and What Doesn't

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Mark Carey
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This chapter was published in: Mark Carey Prudential Supervision: What Works and What Doesn't, , pages 197-232, 2001.

This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 10761.

Handle: RePEc:nbr:nberch:10761

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Related research
This chapter was published in the following book, which is listed on IDEAS:
Frederic S. Mishkin, 2001. "Prudential Supervision: What Works and What Doesn't," NBER Books, National Bureau of Economic Research, Inc, number mish01-1.
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  1. Roman Kraeussl, 2003. "A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II," CFS Working Paper Series 2003/23, Center for Financial Studies. [Downloadable!]
    Other versions:
  2. 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!]
  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. [Downloadable!]
  4. Mark Carey, 2002. "A guide to choosing absolute bank capital requirements," International Finance Discussion Papers 726, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. Hergen Frerichs & Gunter Löffler, 2001. "Evaluating credit risk models: A critique and a proposal," Working Paper Series: Finance and Accounting 84, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
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This page was last updated on 2009-12-19.


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