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Treatment of double-default and double-recovery effects for hedged exposures under pillar I of the proposed New Basel Capital Accord

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Author Info
Erik Heitfield
Norah Barger
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File URL: http://www.federalreserve.gov/generalinfo/basel2/docs2003/doubledefault.pdf
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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Basel II White Paper with number 2.

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Date of creation: 2003
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Handle: RePEc:fip:fedgwp:2

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Related research
Keywords: Bank capital ; Risk management ; Basel capital accord;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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!]
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  1. 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. [Downloadable!]
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This page was last updated on 2009-12-6.

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