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Capital Allocation for Portfolio Credit Risk

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  • Paul Kupiec

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Suggested Citation

  • Paul Kupiec, 2007. "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 103-122, October.
  • Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:103-122
    DOI: 10.1007/s10693-007-0013-4
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    References listed on IDEAS

    as
    1. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Citations

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    Cited by:

    1. Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
    2. Pascal François & Weiyu Jiang, 2019. "Credit Value Adjustment with Market-implied Recovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(2), pages 145-166, October.
    3. Edson Bastos e Santos & Neil Esho & Marc Farag & Christopher Zuin, 2020. "Variability in risk-weighted assets: what does the market think?," BIS Working Papers 844, Bank for International Settlements.
    4. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 1-23, February.

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    More about this item

    Keywords

    Economic capital; credit risk internal models; basel II internal ratings approach; G12; G20; G21; G28;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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