Skewness of Returns, Capital Adequacy, and Mortgage Lending
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- Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
- Allen, Bill & Chan, Ka Kei & Milne, Alistair & Thomas, Steve, 2012. "Basel III: Is the cure worse than the disease?," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 159-166.
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KeywordsBasel accord; IRB; credit risk; cost of regulatory capital; skewness of returns; capital adequacy; mortgage markets;
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