Advanced Search
MyIDEAS: Login

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

by Linda Allen & Anthony Saunders

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
  2. 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.
  3. Petr Jakubík, 2007. "Credit Risk and the Finnish Economy," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(3), pages 254-285, November.
  4. 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, Money Macro and Finance Research Group 151, Money Macro and Finance Research Group.
  5. Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc.
  6. 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.
  7. Pesola, Jarmo, 2007. "Financial fragility, macroeconomic shocks and banks’ loan losses: evidence from Europe," Research Discussion Papers, Bank of Finland 15/2007, Bank of Finland.
  8. Bojan Markovic, 2006. "Bank capital channels in the monetary transmission mechanism," Bank of England working papers, Bank of England 313, Bank of England.
  9. Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Working Papers, Bank of Canada 04-30, Bank of Canada.
  10. Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 23(5), pages 798-830, December.
  11. Lucas, Andre & Klaassen, Pieter, 2006. "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(1), pages 23-35, January.
  12. Schmidt, Rafael & Schmieder, Christian, 2009. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 229-244, April.
  13. Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given default on mortgage loans," Research Discussion Papers, Bank of Finland 3/2009, Bank of Finland.
  14. 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, Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
  15. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers, Bank of Finland 18/2004, Bank of Finland.
  16. 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, Springer, vol. 26(2), pages 121-144, October.
  17. Hayette GATFAOUI, 2005. "From Fault Tree to Credit Risk Assessment: A Case Study," Econometrics, EconWPA 0509002, EconWPA.
  18. Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2008. "Model-based measurement of latent risk in time series with applications," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 265-277.
  19. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute.
  20. Bhattacharjee, Arnab & Hany, Jie, 2010. "Financial Distress in Chinese Industry: Microeconomic, Macroeconomic and Institutional Infuences," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2010-53, Scottish Institute for Research in Economics (SIRE).
  21. Mejra Festić, 2006. "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2006(4), pages 315-349.
  22. 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, Department of Economics, Loughborough University 2008_06, Department of Economics, Loughborough University, revised Jul 2008.
  23. Arnab Bhattacharjee & Jie Han, 2010. "Financial Distress in Chinese Industry: Microeconomic, Macroeconomic and Institutional Influences," CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm 1001, Centre for Research into Industry, Enterprise, Finance and the Firm.
  24. 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), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" 08014, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".