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The asset-correlation parameter in Basel II for mortgages on single-family residences

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  • Paul S. Calem
  • James R. Follain
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    File URL: http://www.federalreserve.gov/generalinfo/basel2/docs2003/asset-correlation.pdf
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    Bibliographic Info

    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Basel II White Paper with number 5.

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    Date of creation: 2003
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    Handle: RePEc:fip:fedgwp:5

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    Related research

    Keywords: Bank capital ; Risk management ; Basel capital accord ; Mortgages;

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    References

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    1. Douglas W. Diamond & Raghuram G. Rajan, 1999. "A Theory of Bank Capital," NBER Working Papers 7431, National Bureau of Economic Research, Inc.
    2. Allen N. Berger & Richard J. Herring & Giorgio P. Szegö, 1995. "The Role of Capital in Financial Institutions," Center for Financial Institutions Working Papers 95-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Yair E. Orgler & Robert A. Taggart, Jr., 1983. "Implications of Corporate Capital Structure Theory for Banking Institutions," NBER Working Papers 0737, National Bureau of Economic Research, Inc.
    4. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
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    Cited by:
    1. Richard Herring, 2007. "The Rocky Road to Implementation of Basel II in the United States," Atlantic Economic Journal, International Atlantic Economic Society, vol. 35(4), pages 411-429, December.

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