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A Critique of Revised Basel II

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  • Robert Jarrow

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  • Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
  • Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:1-16
    DOI: 10.1007/s10693-007-0006-3
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    References listed on IDEAS

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    1. Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
    2. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
    3. Jarrow, Robert A., 2008. "Operational risk," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 870-879, May.
    4. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577 World Scientific Publishing Co. Pte. Ltd..
    5. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    6. Umut Çetin & Robert A. Jarrow & Philip Protter, 2008. "Liquidity risk and arbitrage pricing theory," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 8, pages 153-183 World Scientific Publishing Co. Pte. Ltd..
    7. Edward Kane, 2007. "Basel II: A Contracting Perspective," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 39-53, October.
    8. Anil K. Kashyap & Jeremy C. Stein, 2004. "Cyclical implications of the Basel II capital standards," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 18-31.
    9. Black, Fischer & Miller, Merton H & Posner, Richard A, 1978. "An Approach to the Regulation of Bank Holding Companies," The Journal of Business, University of Chicago Press, vol. 51(3), pages 379-412, July.
    10. Kim, Daesik & Santomero, Anthony M, 1988. " Risk in Banking and Capital Regulation," Journal of Finance, American Finance Association, vol. 43(5), pages 1219-1233, December.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. repec:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9229-y is not listed on IDEAS
    2. Kao, Lie-Jane, 2015. "A portfolio-invariant capital allocation scheme penalizing concentration risk," Economic Modelling, Elsevier, vol. 51(C), pages 560-570.
    3. Warren Bailey & Lin Zheng, 2013. "Banks, Bears, and the Financial Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 1-51, August.
    4. Robert Jarrow, 2013. "Capital adequacy rules, catastrophic firm failure, and systemic risk," Review of Derivatives Research, Springer, vol. 16(3), pages 219-231, October.
    5. Clovis Rugemintwari & Alain Sauviat & Amine Tarazi, 2012. "Bâle 3 et la réhabilitation du ratio de levier des banques. Pourquoi et comment ?," Revue économique, Presses de Sciences-Po, vol. 63(4), pages 809-820.
    6. Jarrow, Robert, 2013. "A leverage ratio rule for capital adequacy," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 973-976.
    7. Ana Paula Matias Gama & Helena Susana Amaral Geraldes, 2012. "Credit risk assessment and the impact of the New Basel Capital Accord on small and medium-sized enterprises: An empirical analysis," Management Research Review, Emerald Group Publishing, vol. 35(8), pages 727-749, July.
    8. Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
    9. Kane, Edward J., 2012. "Missing elements in US financial reform: A Kübler-Ross interpretation of the inadequacy of the Dodd-Frank Act," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 654-661.

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