Extending the Basel II approach to estimate capital requirements for equity investments
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- Cardone-Riportella, Clara & Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio, 2010. "What drives bank securitisation? The Spanish experience," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2639-2651, November.
- Tsai, Ming-Shann & Chen, Lien-Chuan, 2011. "The calculation of capital requirement using Extreme Value Theory," Economic Modelling, Elsevier, vol. 28(1), pages 390-395.
- Rainer Masera, 2014. "CRR/CRD IV: the trees and the forest," PSL Quarterly Review, Economia civile, vol. 67(271), pages 381-422.
- Clara Cardone-Riportella & Antonio Trujillo-Ponce & Anahí Briozzo, 2013. "Analyzing the role of mutual guarantee societies on bank capital requirements for small and medium-sized enterprises," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 16(2), pages 142-159, June.
- Maskara, Pankaj Kumar, 2010. "Economic value in tranching of syndicated loans," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 946-955, May.
- Tsai, Ming-Shann & Chen, Lien-Chuan, 2011. "The calculation of capital requirement using Extreme Value Theory," Economic Modelling, Elsevier, vol. 28(1-2), pages 390-395, January.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
- Farruggio, Christian & Uhde, André, 2015. "Determinants of loan securitization in European banking," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 12-27.
- Matthew C. Chang & Jui-Cheng Hung, 2012. "Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 147-162, December.
- Uhde, André & Michalak, Tobias C., 2010. "Securitization and systematic risk in European banking: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3061-3077, December.
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Keywords
Capital allocation Economic capital Equity Basel II ASRF Factor model CAPM;Statistics
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