Regulatory treatment of the double default effect under the New Basel Accord: how conservative is it?
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- Sebastian Ebert & Eva Lütkebohmert, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers bgse24_2009, University of Bonn, Germany.
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More about this item
KeywordsAsset return correlation; Concentration risk; Double default effect; New Basel Accord; Wrong-way-risk; G21; G28;
- 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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