Using credit risk models for regulatory capital: issues and options
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References listed on IDEAS
- M.J.B. Hall, 1996.
"The amendment to the capital accord to incorporate market risk,"
Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
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Citations
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Cited by:
- Maximilian J.B. Hall, 2001.
"The basle Committee's proposals for a new capital adequacy assessment framework: a critique,"
Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(217), pages 111-179.
- Maximilian J.B. Hall, 2001. "The basle Committee's proposals for a new capital adequacy assessment framework: a critique," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(217), pages 111-179.
- Skander J. van den Heuvel, 2002. "Does bank capital matter for monetary transmission?," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 259-265.
- Lopez, Jose A., 2004.
"The empirical relationship between average asset correlation, firm probability of default, and asset size,"
Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April.
- Jose A. Lopez, 2002. "The empirical relationship between average asset correlation, firm probability of default and asset size," Working Paper Series 2002-05, Federal Reserve Bank of San Francisco.
- Erol Muzir, 2013. "Impact of Placement Choices and Governance Issues on Credit Risk in Banking: Nonparametric Evidence from an Emerging Market," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 3(4), pages 1-6, August.
- Ho Hwang, Jong, 2013. "A proposal for an open-source financial risk model," LSE Research Online Documents on Economics 59298, London School of Economics and Political Science, LSE Library.
- Allen, Linda & DeLong, Gayle & Saunders, Anthony, 2004. "Issues in the credit risk modeling of retail markets," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 727-752, April.
- Hayette Gatfaoui, 2003. "Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit," Risk and Insurance 0308005, University Library of Munich, Germany.
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Keywords
Bank supervision; Risk; Bank capital; Bank loans;Statistics
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