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Citations for "A survey of cyclical effects in credit risk measurement model"

by Linda Allen & Anthony Saunders

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  1. Inês Drumond, 2008. "Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis," FEP Working Papers 277, Universidade do Porto, Faculdade de Economia do Porto.
  2. Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007. "Common Failings: How Corporate Defaults Are Correlated," Journal of Finance, American Finance Association, vol. 62(1), pages 93-117, 02.
  3. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  4. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
  5. Koopman, Siem Jan & Lucas, André, 2008. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 510-525.
  6. Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2005. "Model-based Measurement of Latent Risk in Time Series with Applications," Tinbergen Institute Discussion Papers 05-118/4, Tinbergen Institute.
  7. Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given default on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
  8. Mejra Festić, 2006. "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, University of Economics, Prague, vol. 2006(4), pages 315-349.
  9. Petr Jakubík, 2007. "Credit Risk and the Finnish Economy," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(3), pages 254-285, November.
  10. Maximilian J. B. Hall & Dadang Muljawan & Suprayogi & Lolita Moorena, 2008. "Using The Artificial Neural Network (ANN) to Assess Bank Credit Risk: A Case Study of Indonesia," Discussion Paper Series 2008_06, Department of Economics, Loughborough University, revised Jul 2008.
  11. Mark Illing & Graydon Paulin, 2005. "Basel II and the Cyclicality of Bank Capital," Canadian Public Policy, University of Toronto Press, vol. 31(2), pages 161-180, June.
  12. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre.
  13. Arnab Bhattacharjee & Jie Han, 2010. "Financial Distress in Chinese Industry: Microeconomic, Macroeconomic and Institutional Influences," CRIEFF Discussion Papers 1001, Centre for Research into Industry, Enterprise, Finance and the Firm.
  14. Lucas, Andre & Klaassen, Pieter, 2006. "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 23-35, January.
  15. Jesús Saurina & Carlos Trucharte, 2004. "The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data," Journal of Financial Services Research, Springer, vol. 26(2), pages 121-144, October.
  16. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
  17. Pesola, Jarmo, 2007. "Financial fragility, macroeconomic shocks and banks’ loan losses: evidence from Europe," Research Discussion Papers 15/2007, Bank of Finland.
  18. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
  19. Hayette Gatfaoui, 2004. "From Fault Tree to Credit Risk Assessment: A Case Study," EERI Research Paper Series EERI_RP_2004_05, Economics and Econometrics Research Institute (EERI), Brussels.
  20. Hayette GATFAOUI, 2005. "From Fault Tree to Credit Risk Assessment: A Case Study," Econometrics 0509002, EconWPA.
  21. Bojan Markovic, 2006. "Bank capital channels in the monetary transmission mechanism," Bank of England working papers 313, Bank of England.
  22. Petr JAKUBÍK, 2007. "Macroeconomic Environment and Credit Risk (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
  23. Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Working Papers 04-30, Bank of Canada.