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Michael Gordy

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Michael B. Gordy & Alexander J. McNeil, 2017. "Spectral backtests of forecast distributions with application to risk management," Papers 1708.01489, arXiv.org, revised Jul 2019.

    Cited by:

    1. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Jan 2024.
    2. Orla Mccullagh & Mark Cummins & Sheila Killian, 2023. "The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(7), pages 1785-1816, October.
    3. Nick Costanzino & Michael Curran, 2018. "A Simple Traffic Light Approach to Backtesting Expected Shortfall," Risks, MDPI, vol. 6(1), pages 1-7, January.
    4. Alexander J. McNeil, 2020. "Modelling volatile time series with v-transforms and copulas," Papers 2002.10135, arXiv.org, revised Jan 2021.

  2. Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    3. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
    4. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    5. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2019. "Regulatory effects on short-term interest rates," Bank of England working papers 801, Bank of England.
    6. Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A., 2017. "The demand for central clearing: to clear or not to clear, that is the question," ESRB Working Paper Series 62, European Systemic Risk Board.
    7. Hattori, Takahiro, 2018. "Decomposing Japanese municipal bond spreads: Default and liquidity premiums in times of crisis," Journal of Asian Economics, Elsevier, vol. 59(C), pages 16-28.
    8. Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
    9. Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019. "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, vol. 131(1), pages 168-185.
    10. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.

  3. Mark S. Carey & Michael B. Gordy, 2016. "The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds," Finance and Economics Discussion Series 2016-069, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Demirguc-Kunt, Asli & Horvath, Balint L. & Huizinga, Harry, 2023. "Loan Recoveries and the Financing of Zombie Firms over the Business Cycle," Other publications TiSEM f86d5fb2-4829-426b-b026-b, Tilburg University, School of Economics and Management.
    2. Sharjil M. Haque & Anya V. Kleymenova, 2023. "Private Equity and Debt Contract Enforcement: Evidence from Covenant Violations," Finance and Economics Discussion Series 2023-018, Board of Governors of the Federal Reserve System (U.S.).
    3. Michael Schwert, 2020. "Does Borrowing from Banks Cost More than Borrowing from the Market?," Journal of Finance, American Finance Association, vol. 75(2), pages 905-947, April.
    4. Song Ma & Joy Tianjiao Tong & Wei Wang, 2022. "Bankrupt Innovative Firms," Management Science, INFORMS, vol. 68(9), pages 6971-6992, September.
    5. Berlin, Mitchell & Nini, Greg & Yu, Edison G., 2020. "Concentration of control rights in leveraged loan syndicates," Journal of Financial Economics, Elsevier, vol. 137(1), pages 249-271.

  4. Michael B. Gordy & Pawel J. Szerszen, 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.

  5. Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2013. "Expectations of functions of stochastic time with application to credit risk modeling," Finance and Economics Discussion Series 2013-14, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.

  6. Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
    2. Lili Li & Jun Yang & Xin Zou, 2016. "A study of credit risk of Chinese listed companies: ZPP versus KMV," Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2697-2710, June.
    3. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
    4. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
    5. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
    6. García-Céspedes, Rubén & Moreno, Manuel, 2017. "An approximate multi-period Vasicek credit risk model," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 105-113.
    7. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
    8. Ms. Sofiya Avramova & Mrs. Vanessa Le Lesle, 2012. "Revisiting Risk-Weighted Assets," IMF Working Papers 2012/090, International Monetary Fund.

  7. Michael B. Gordy & Søren Willemann, 2010. "Constant proportion debt obligations: a post-mortem analysis of rating models," Finance and Economics Discussion Series 2010-05, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Lee, Hwang Hee & Hyun, Jung-Soon, 2019. "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 125-136.
    2. Baghai, Ramin & Becker, Bo & Pitschner, Stefan, 2018. "The Private Use of Credit Ratings: Evidence from Mutual Fund Investment Mandates," CEPR Discussion Papers 13418, C.E.P.R. Discussion Papers.
    3. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    4. Agostino Capponi & Martin Larsson, 2014. "Will banning naked CDS impact bond prices?," Annals of Finance, Springer, vol. 10(3), pages 481-508, August.
    5. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    6. Baghai, Ramin P. & Becker, Bo, 2020. "Reputations and credit ratings: Evidence from commercial mortgage-backed securities," Journal of Financial Economics, Elsevier, vol. 135(2), pages 425-444.
    7. Baghai, Ramin P. & Becker, Bo, 2018. "Non-rating revenue and conflicts of interest," Journal of Financial Economics, Elsevier, vol. 127(1), pages 94-112.
    8. Michael B. Gordy & Pawel J. Szerszen, 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).

  8. Michael B. Gordy & Sandeep Juneja, 2008. "Nested simulation in portfolio risk measurement," Finance and Economics Discussion Series 2008-21, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
    2. Kun Zhang & Ben Mingbin Feng & Guangwu Liu & Shiyu Wang, 2022. "Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement," Papers 2203.15929, arXiv.org.
    3. Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
    4. Cyril B'en'ezet & J'er'emie Bonnefoy & Jean-Franc{c}ois Chassagneux & Shuoqing Deng & Camilo Garcia Trillos & Lionel Len^otre, 2018. "A sparse grid approach to balance sheet risk measurement," Papers 1811.08706, arXiv.org.
    5. Alfonsi, Aurélien & Cherchali, Adel & Infante Acevedo, Jose Arturo, 2021. "Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 234-260.
    6. Liu, Xiaoyu & Yan, Xing & Zhang, Kun, 2024. "Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1168-1177.
    7. Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.
    8. Michael Ludkovski & James Risk, 2017. "Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement," Papers 1710.05204, arXiv.org, revised May 2018.
    9. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    10. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
    11. David J. Eckman & Shane G. Henderson & Sara Shashaani, 2023. "Diagnostic Tools for Evaluating and Comparing Simulation-Optimization Algorithms," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 350-367, March.
    12. St'ephane Cr'epey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Papers 2304.01207, arXiv.org.
    13. Aur'elien Alfonsi & Bernard Lapeyre & J'er^ome Lelong, 2022. "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Papers 2209.04153, arXiv.org, revised May 2023.
    14. Mingbin Ben Feng & Eunhye Song, 2020. "Optimal Nested Simulation Experiment Design via Likelihood Ratio Method," Papers 2008.13087, arXiv.org, revised Jul 2021.
    15. L. Jeff Hong & Sandeep Juneja & Guangwu Liu, 2017. "Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement," Operations Research, INFORMS, vol. 65(3), pages 657-673, June.
    16. He, Zhijian, 2022. "Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo," European Journal of Operational Research, Elsevier, vol. 298(1), pages 229-242.
    17. Anne-Sophie Krah & Zoran Nikoli'c & Ralf Korn, 2019. "Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies," Papers 1909.02182, arXiv.org.
    18. Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014. "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 93-109.
    19. Stéphane Crépey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04037328, HAL.
    20. Christian Wei{ss} & Zoran Nikoli'c, 2018. "An Aspect of Optimal Regression Design for LSMC," Papers 1811.08509, arXiv.org, revised May 2019.
    21. F Bourgey & S de Marco & Emmanuel Gobet & Alexandre Zhou, 2020. "Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations," Post-Print hal-02430430, HAL.
    22. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
    23. Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo, 2018. "Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-40, September.
    24. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
    25. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Papers 2005.12593, arXiv.org.
    26. Weihuan Huang & Nifei Lin & L. Jeff Hong, 2022. "Monte-Carlo Estimation of CoVaR," Papers 2210.06148, arXiv.org.
    27. Man Wang & Yihan Cheng, 2022. "Forecasting value at risk and expected shortfall using high‐frequency data of domestic and international stock markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1595-1607, December.
    28. Qiyun Pan & Eunshin Byon & Young Myoung Ko & Henry Lam, 2020. "Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models," Naval Research Logistics (NRL), John Wiley & Sons, vol. 67(7), pages 524-547, October.
    29. Helin Zhu & Tianyi Liu & Enlu Zhou, 2015. "Risk Quantification in Stochastic Simulation under Input Uncertainty," Papers 1507.06015, arXiv.org, revised Dec 2017.
    30. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
    31. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
    32. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
    33. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
    34. Abdul-Lateef Haji-Ali & Jonathan Spence, 2023. "Nested Multilevel Monte Carlo with Biased and Antithetic Sampling," Papers 2308.07835, arXiv.org.
    35. Lotfi Boudabsa & Damir Filipovi'c, 2022. "Ensemble learning for portfolio valuation and risk management," Papers 2204.05926, arXiv.org.
    36. Runhuan Feng & Peng Li, 2021. "Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations," Papers 2106.06028, arXiv.org.
    37. Hongjun Ha & Daniel Bauer, 2022. "A least-squares Monte Carlo approach to the estimation of enterprise risk," Finance and Stochastics, Springer, vol. 26(3), pages 417-459, July.
    38. Helin Zhu & Joshua Hale & Enlu Zhou, 2018. "Simulation optimization of risk measures with adaptive risk levels," Journal of Global Optimization, Springer, vol. 70(4), pages 783-809, April.
    39. Fort Gersende & Gobet Emmanuel & Moulines Eric, 2017. "MCMC design-based non-parametric regression for rare event. Application to nested risk computations," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 21-42, March.
    40. Patrick Cheridito & John Ery & Mario V. Wuthrich, 2021. "Assessing asset-liability risk with neural networks," Papers 2105.12432, arXiv.org.
    41. Devang Sinha & Siddhartha P. Chakrabarty, 2022. "Multilevel Monte Carlo and its Applications in Financial Engineering," Papers 2209.14549, arXiv.org.
    42. Bourgey Florian & De Marco Stefano & Gobet Emmanuel & Zhou Alexandre, 2020. "Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations," Monte Carlo Methods and Applications, De Gruyter, vol. 26(2), pages 131-161, June.
    43. Michael B. Giles & Abdul-Lateef Haji-Ali & Jonathan Spence, 2023. "Efficient Risk Estimation for the Credit Valuation Adjustment," Papers 2301.05886, arXiv.org.
    44. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.
    45. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021. "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print hal-02619589, HAL.
    46. G'eraldine Bouveret & Jean-Franc{c}ois Chassagneux & Smail Ibbou & Antoine Jacquier & Lionel Sopgoui, 2023. "Propagation of a carbon price in a credit portfolio through macroeconomic factors," Papers 2307.12695, arXiv.org, revised Apr 2024.
    47. Michael B. Giles & Abdul-Lateef Haji-Ali, 2019. "Sub-sampling and other considerations for efficient risk estimation in large portfolios," Papers 1912.05484, arXiv.org, revised Apr 2022.
    48. Anne-Sophie Krah & Zoran Nikolić & Ralf Korn, 2020. "Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies," Risks, MDPI, vol. 8(1), pages 1-79, February.
    49. Cyril Bénézet & Jérémie Bonnefoy & Jean-François Chassagneux & Shuoqing Deng & Camilo Garcia Trillos & Lionel Lenotre, 2017. "A sparse grid approach to balance sheet risk measurement," Post-Print hal-04133423, HAL.
    50. Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
    51. Daphné Giorgi & Vincent Lemaire & Gilles Pagès, 2020. "Weak Error for Nested Multilevel Monte Carlo," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1325-1348, September.
    52. Wen Shi & Xi Chen, 2018. "Efficient budget allocation strategies for elementary effects method in stochastic simulation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(3), pages 218-241, April.
    53. Yunpeng Sun & Daniel W. Apley & Jeremy Staum, 2011. "Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation," Operations Research, INFORMS, vol. 59(4), pages 998-1007, August.
    54. Dang, Ou & Feng, Mingbin & Hardy, Mary R., 2023. "Two-stage nested simulation of tail risk measurement: A likelihood ratio approach," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 1-24.
    55. Junyao Chen & Tony Sit & Hoi Ying Wong, 2019. "Simulation-based Value-at-Risk for Nonlinear Portfolios," Papers 1904.09088, arXiv.org.
    56. Kleijnen, Jack P.C., 2017. "Regression and Kriging metamodels with their experimental designs in simulation: A review," European Journal of Operational Research, Elsevier, vol. 256(1), pages 1-16.
    57. Aurélien Alfonsi & Bernard Lapeyre & Jérôme Lelong, 2023. "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Post-Print hal-03770051, HAL.
    58. David Barrera & Stéphane Crépey & Babacar Diallo & Gersende Fort & Emmanuel Gobet & Uladzislau Stazhynski, 2019. "Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations," Post-Print hal-01710394, HAL.
    59. Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
    60. Stéphane Crépey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Working Papers hal-04037328, HAL.
    61. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2020. "Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests," Papers 2010.12651, arXiv.org, revised Apr 2021.
    62. Aurélien Alfonsi & Bernard Lapeyre & Jérôme Lelong, 2023. "How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-25, September.
    63. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
    64. Lokman A. Abbas‐Turki & Stéphane Crépey & Bouazza Saadeddine, 2023. "Pathwise CVA regressions with oversimulated defaults," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 274-307, April.
    65. Wang, Tianxiang & Xu, Jie & Hu, Jian-Qiang & Chen, Chun-Hung, 2023. "Efficient estimation of a risk measure requiring two-stage simulation optimization," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1355-1365.
    66. Lotfi Boudabsa & Damir Filipović, 2022. "Machine learning with kernels for portfolio valuation and risk management," Finance and Stochastics, Springer, vol. 26(2), pages 131-172, April.
    67. Lucio Fernandez‐Arjona & Damir Filipović, 2022. "A machine learning approach to portfolio pricing and risk management for high‐dimensional problems," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 982-1019, October.
    68. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & José G López-Salas & Fanny Noubiagain & Alexandre Zhou, 2019. "Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements," Post-Print hal-01686952, HAL.
    69. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
    70. Sascha Desmettre & Ralf Korn & Javier Alejandro Varela & Norbert Wehn, 2016. "Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency," Risks, MDPI, vol. 4(4), pages 1-35, October.

  9. Lütkebohmert, Eva & Gordy, Michael B., 2007. "Granularity adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007,01, Deutsche Bundesbank.

    Cited by:

    1. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
    2. Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
    3. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Treatment of Double Default Effects within the Granularity Adjustment for Basel II," Bonn Econ Discussion Papers 10/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
    4. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    5. Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
    6. Lütkebohmert, Eva, 2009. "Failure of saddle-point method in the presence of double defaults," Bonn Econ Discussion Papers 19/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
    7. Tarashev, Nikola, 2010. "Measuring portfolio credit risk correctly: Why parameter uncertainty matters," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2065-2076, September.
    8. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    9. Silvio Tarca & Marek Rutkowski, 2014. "Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia," Papers 1412.0064, arXiv.org, revised Jul 2016.
    10. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers 24/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
    11. Chris Humphrey, 2017. "He who pays the piper calls the tune: Credit rating agencies and multilateral development banks," The Review of International Organizations, Springer, vol. 12(2), pages 281-306, June.
    12. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
    13. Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
    14. Baviera, Roberto, 2022. "The measure of model risk in credit capital requirements," Finance Research Letters, Elsevier, vol. 44(C).
    15. Yong Kim, 2013. "Modeling of commercial real estate credit risks," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1977-1989, December.
    16. Roberto Baviera, 2020. "The measure of model risk in credit capital requirements," Papers 2010.08028, arXiv.org.
    17. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
    18. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank.
    19. C. Gourieroux & A. Monfort, 2013. "Granularity Adjustment for Efficient Portfolios," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 449-468, December.
    20. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
    21. Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.

  10. Mark S. Carey & Michael B. Gordy, 2007. "The bank as grim reaper: debt composition and recoveries on defaulted debt," Proceedings 1056, Federal Reserve Bank of Chicago.

    Cited by:

    1. Dionne, Georges & Laajimi, Sadok, 2012. "On the determinants of the implied default barrier," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 395-408.
    2. Joshua D. Rauh & Amir Sufi, 2010. "Capital Structure and Debt Structure," The Review of Financial Studies, Society for Financial Studies, vol. 23(12), pages 4242-4280, December.
    3. Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo, 2021. "Determinants of corporate exposure at default under distressed economic and financial conditions in a developing economy: the case of Zimbabwe," Risk Management, Palgrave Macmillan, vol. 23(1), pages 123-149, June.
    4. Michael Moise & James M. O'Brien & John Tschirhart & Emily Yang, 2007. "Bank commercial loan fair value practices," Finance and Economics Discussion Series 2007-29, Board of Governors of the Federal Reserve System (U.S.).
    5. Michael Jacobs, Jr, 2011. "An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 257-285, Bank for International Settlements.
    6. Bourgeon, Jean-Marc & Dionne, Georges, 2013. "On debt service and renegotiation when debt-holders are more strategic," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 353-372.
    7. Zhang, Zhipeng, 2009. "Recovery Rates and Macroeconomic Conditions: The Role of Loan Covenants," MPRA Paper 17521, University Library of Munich, Germany.
    8. Jorge Cruz Lopez & Alfredo Ibanez, 2020. "European Puts, Credit Protection, and Endogenous Default," University of Western Ontario, Departmental Research Report Series 20205, University of Western Ontario, Department of Economics.
    9. Zhang, Zhipeng, 2009. "Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions," MPRA Paper 17676, University Library of Munich, Germany, revised 05 Oct 2009.
    10. Devjak Srečko, 2018. "Modeling of Cash Flows from Nonperforming Loans in a Commercial Bank," Naše gospodarstvo/Our economy, Sciendo, vol. 64(4), pages 3-9, December.
    11. Mili, Medhi & Sahut, Jean-Michel & Teulon, Frédéric, 2018. "Modeling recovery rates of corporate defaulted bonds in developed and developing countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 28-44.

  11. Paul S. Calem & Michael B. Gordy & Loretta J. Mester, 2005. "Switching costs and adverse selection in the market for credit cards: new evidence," Working Papers 05-16, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Viktar Fedaseyeu, 2015. "Debt collection agencies and the supply of consumer credit," Working Papers 15-23, Federal Reserve Bank of Philadelphia.
    2. Ippei Fujiwara & Yuki Teranishi, 2013. "Financial Stability in Open Economies," CAMA Working Papers 2013-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Robert Hunt & Viktar Fedaseyeu, 2015. "The Economics of Debt Collection: Enforcement of Consumer Credit Contracts," 2015 Meeting Papers 1244, Society for Economic Dynamics.
    4. Fajar Oktiyanto & Harmanta & Nur M. Adhi Purwanto & Aditya Rachmanto, 2014. "Monetary Macroprudential Policy Mix under Financial Frictions Mechanism with DSGE Model," EcoMod2014 6840, EcoMod.
    5. Suting Hong & Robert M. Hunt & Konstantinos Serfes, 2021. "Dynamic Pricing of Credit Cards and the Effects of Regulation," Working Papers 21-38, Federal Reserve Bank of Philadelphia.
    6. Carbó Valverde Santiago & Massoud Nadia & Rodríguez-Fernández Francisco & Saunders Anthony & Scholnick Barry, 2007. "The Economics of Credit Cards, Debit Cards and ATMs: A Survey and Some New Evidence," Working Papers 201074, Fundacion BBVA / BBVA Foundation.
    7. Andreas Fuster & Stephanie Lo & Paul S. Willen, 2017. "The time-varying price of financial intermediation in the mortgage market," Staff Reports 805, Federal Reserve Bank of New York.
    8. Lawrence Santucci, 2016. "What Happened to the Revolving Credit Card Balances of 2009?," Consumer Finance Institute discussion papers 16-1, Federal Reserve Bank of Philadelphia.
    9. Juha-Pekka Niinimäki, 2014. "Relationship Lending, Bank Competition and Financial Stability," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 8(3), pages 102-124, December.
    10. Victor Stango & Jonathan Zinman, 2013. "Borrowing High vs. Borrowing Higher: Sources and Consequences of Dispersion in Individual Borrowing Costs," NBER Working Papers 19069, National Bureau of Economic Research, Inc.
    11. David ARISTEI & Manuela Gallo, 2012. "Interest Rate Pass-Through in the Euro Area during the Financial Crisis: a Multivariate Regime-Switching Approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 107/2012, Università di Perugia, Dipartimento Economia.
    12. Gabriel Jiménez & Jose A. Lopez & Jesus Saurina, 2009. "Empirical Analysis of Corporate Credit Lines," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5069-5098, December.
    13. Tal Gross & Raymond Kluender & Feng Liu & Matthew J. Notowidigdo & Jialan Wang, 2020. "The Economic Consequences of Bankruptcy Reform," Working Papers 2020-164, Becker Friedman Institute for Research In Economics.
    14. Emilio Fernandez-Corugedo & John Muellbauer, 2006. "Consumer credit conditions in the United Kingdom," Bank of England working papers 314, Bank of England.
    15. Meylis Orazov, 2023. "The Interaction of Monetary and Macroprudential Policies in the Presence of Financial Frictions," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 3-43, December.
    16. Charles Sprenger & Joanna Stavins, 2012. "Credit Card Debt and Payment Use," NFI Working Papers 2012-WP-06, Indiana State University, Scott College of Business, Networks Financial Institute.
    17. Tal Gross & Raymond Kluender & Feng Liu & Matthew J. Notowidigdo & Jialan Wang, 2019. "The Economic Consequences of Bankruptcy Reform," NBER Working Papers 26254, National Bureau of Economic Research, Inc.
    18. Sumit Agarwal & Souphala Chomsisengphet & Chunlin Liu & Nicholas S. Souleles, 2006. "Do consumers choose the right credit contracts?," Working Paper Series WP-06-11, Federal Reserve Bank of Chicago.
    19. Athreya, Kartik & Tam, Xuan S. & Young, Eric R., 2009. "Unsecured credit markets are not insurance markets," Journal of Monetary Economics, Elsevier, vol. 56(1), pages 83-103, January.
    20. Borghan Nezami Narajabad, 2012. "Information Technology and the Rise of Household Bankruptcy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(4), pages 526-550, October.
    21. Elif Incekara-Hafalir, 2015. "Credit Card Competition and Naive Hyperbolic Consumers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 153-175, April.
    22. Cash, Alyxandra & Tsai, Hui-Ju, 2018. "Readability of the credit card agreements and financial charges," Finance Research Letters, Elsevier, vol. 24(C), pages 145-150.
    23. Inklaar, R. & Colangelo, A., 2010. "Banking sector output measurement in the euro area – a modified approach," GGDC Research Memorandum GD-117, Groningen Growth and Development Centre, University of Groningen.
    24. Kevin Amess & Leigh Drake & Helen Knight, 2010. "An Empirical Analysis of UK Credit Card Pricing," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 37(2), pages 101-117, September.
    25. Kartik B. Athreya & Xuan S. Tam & Eric Young, 2009. "Are harsh penalties for default really better?," Working Paper 09-11, Federal Reserve Bank of Richmond.
    26. N. Narajabad, Borghan, 2010. "Information Technology and the Rise of Household Bankruptcy," MPRA Paper 21058, University Library of Munich, Germany.
    27. G. Gulsun Akin & Ahmet Faruk Aysan & Denada Boriçi & Levent Yildiran, 2011. "The Role of Simultaneous Regulations of Credit Services and Payment Services on Competition," Working Papers 604, Economic Research Forum, revised 08 Jan 2011.
    28. Cheng, X. & Degryse, H.A., 2010. "Information Sharing and Credit Rationing : Evidence from the Introduction of a Public Credit Registry," Other publications TiSEM cd9dc3c1-4146-4d2a-8a9a-f, Tilburg University, School of Economics and Management.
    29. L C Thomas, 2010. "Consumer finance: challenges for operational research," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(1), pages 41-52, January.
    30. Kartik B. Athreya & Xuan S. Tam & Eric Young, 2011. "A quantitative theory of information and unsecured credit," Working Paper 08-06, Federal Reserve Bank of Richmond.
    31. Allen N. Berger & Christa H. S. Bouwman & Lars Norden & Raluca A. Roman & Gregory F. Udell & Teng Wang, 2021. "Piercing Through Opacity: Relationships and Credit Card Lending to Consumers and Small Businesses During Normal Times and the COVID-19 Crisis," Working Papers 21-19, Federal Reserve Bank of Philadelphia.
    32. Calem, Paul S. & Firestone, Simon & Wachter, Susan M., 2010. "Credit impairment and housing tenure status," Journal of Housing Economics, Elsevier, vol. 19(3), pages 219-232, September.
    33. Apergis, Nicholas & Cooray, Arusha, 2015. "Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 155-172.
    34. Fedaseyeu, Viktar, 2020. "Debt collection agencies and the supply of consumer credit," Journal of Financial Economics, Elsevier, vol. 138(1), pages 193-221.
    35. Fujiwara, Ippei & Teranishi, Yuki, 2017. "Financial frictions and policy cooperation: A case with monopolistic banking and staggered loan contracts," Journal of International Economics, Elsevier, vol. 104(C), pages 19-43.
    36. Muellbauer, John, 2008. "Housing, Credit and Consumer Expenditure," CEPR Discussion Papers 6782, C.E.P.R. Discussion Papers.
    37. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and Banking in a DSGE Model of the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 107-141, September.
    38. Kartik B. Athreya & Xuan S. Tam & Eric Young, 2011. "Loan guarantees for consumer credit markets," Working Paper 11-06, Federal Reserve Bank of Richmond.
    39. Madeira, Carlos, 2021. "The potential impact of financial portability measures on mortgage refinancing: Evidence from Chile," Journal of International Money and Finance, Elsevier, vol. 117(C).
    40. Dawsey, Amanda E., 2015. "State bankruptcy laws and the responsiveness of credit card demand," Journal of Economics and Business, Elsevier, vol. 81(C), pages 54-76.
    41. Notheisen, Benedikt & Weinhardt, Christof, 2019. "The blockchain, plums, and lemons: Information asymmetries & transparency in decentralized markets," Working Paper Series in Economics 130, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    42. Yiwei Dou & Geng Li & Joshua Ronen, 2019. "Does Price Regulation Affect Competition? Evidence from Credit Card Solicitations," Finance and Economics Discussion Series 2019-018, Board of Governors of the Federal Reserve System (U.S.).
    43. Yan Yuan & Toshiyuki Sueyoshi, 2017. "Effects of balance transfer offers on consumer short-term finance: evidence from credit card data," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 6(1), pages 1-30, December.
    44. Artashes Karapetyan & Bogdan Stacescu, 2012. "Does information sharing reduce the role of collateral as a screening device?," Working Paper 2012/19, Norges Bank.
    45. Massoud, Nadia & Saunders, Anthony & Scholnick, Barry, 2011. "The cost of being late? The case of credit card penalty fees," Journal of Financial Stability, Elsevier, vol. 7(2), pages 49-59, June.
    46. Lawrence Santucci, 2015. "A tale of two vintages: credit limit management before and after the CARD act and Great Recession," Consumer Finance Institute discussion papers 15-1, Federal Reserve Bank of Philadelphia.
    47. Abbas Valadkhani & Sajid Anwar & Amir Arjonandi, 2012. "How to capture the full extent of price stickiness in credit card interest rates?," Economics Working Papers wp12-02, School of Economics, University of Wollongong, NSW, Australia.
    48. G. Gulsun Akin & Ahmet Faruk Aysan & Ezgi Özer & Levent Yildiran, 2018. "Consumer Preferences and Market Structure in Credit Card Markets: Evidence from Turkey," Working Papers 1258, Economic Research Forum, revised 19 Nov 2018.
    49. Karagiannis, Stelios & Panagopoulos, Yannis & Vlamis, Prodromos, 2010. "Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 323-338, May.
    50. Akin, Guzin Gulsun & Aysan, Ahmet Faruk & Borici, Denada & Yildiran, Levent, 2013. "Regulate one service, tame the entire market: Credit cards in Turkey," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1195-1204.
    51. Alan Schwartz, 2008. "How Much Irrationality Does the Market Permit?," The Journal of Legal Studies, University of Chicago Press, vol. 37(1), pages 131-159, January.
    52. Quan Dong & Juan Carlos Bàrcena-Ruiz, 2017. "Privatization and Entry with Switching Costs," Manchester School, University of Manchester, vol. 85(4), pages 491-510, July.

  12. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Working Papers hal-04141595, HAL.
    2. Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Post-Print hal-01671522, HAL.
    3. Jose Lopez, 2009. "Empirical analysis of the average asset correlation for real estate investment trusts," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 217-229.
    4. de Andrade, Fabio Wendling Muniz & Thomas, Lyn, 2007. "Structural models in consumer credit," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1569-1581, December.
    5. Rösch, Daniel & Scheule, Harald, 2009. "Credit rating impact on CDO evaluation," Global Finance Journal, Elsevier, vol. 19(3), pages 235-251.
    6. Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
    7. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
    8. Makoto Okawara & Akihiko Takahashi, 2023. "Optimal Loan Portfolio under Regulatory and Internal Constraints," CIRJE F-Series CIRJE-F-1214, CIRJE, Faculty of Economics, University of Tokyo.
    9. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2003. "Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies," Working Paper Series 155, Sveriges Riksbank (Central Bank of Sweden).
    10. Kristen Regehr & Rajdeep Sengupta, 2016. "Sectoral Loan Concentration and Bank Performance (2001-2014)," Research Working Paper RWP 16-13, Federal Reserve Bank of Kansas City.
    11. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    12. David VanHoose, 2006. "Bank Behavior Under Capital Regulation: What Does The Academic Literature Tell Us?," NFI Working Papers 2006-WP-04, Indiana State University, Scott College of Business, Networks Financial Institute.
    13. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    14. Paul S. Calem & Michael LaCour-Little, 2001. "Risk-based capital requirements for mortgage loans," Finance and Economics Discussion Series 2001-60, Board of Governors of the Federal Reserve System (U.S.).
    15. Adonis Antoniades & Nikola Tarashev, 2014. "Securitisations: tranching concentrates uncertainty," BIS Quarterly Review, Bank for International Settlements, December.
    16. Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
    17. Jacobs, Michael & Kiefer, Nicholas M., 2010. "The Bayesian Approach to Default Risk: A Guide," Working Papers 10-01, Cornell University, Center for Analytic Economics.
    18. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
    19. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, University of Reading.
    20. Arturo Cortés Aguilar, 2011. "Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del merca," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 50-64.
    21. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
    22. M. Hashem Pesaran & Til Schuermann & Bjorn-Jakob Treutler, 2007. "Global Business Cycles and Credit Risk," NBER Chapters, in: The Risks of Financial Institutions, pages 419-469, National Bureau of Economic Research, Inc.
    23. Rosen, Dan & Saunders, David, 2010. "Risk factor contributions in portfolio credit risk models," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 336-349, February.
    24. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    25. Frédéric Vrins, 2018. "Sampling the multivariate standard normal distribution under a weighted sum constraint," LIDAM Reprints CORE 2980, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    26. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2017. "Strengthening and Streamlining Bank Capital Regulation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(2 (Fall)), pages 479-565.
    27. Henrik Andersen, 2009. "Norwegian banks in a recession: Procyclical implications of Basel II," Working Paper 2009/04, Norges Bank.
    28. Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM 0b64ec97-95cc-45bf-b271-4, Tilburg University, School of Economics and Management.
    29. Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin & Rubio-Ramírez, Juan Francisco & Supera, Dominik, 2020. "Twin Defaults and Bank Capital Requirements," CEPR Discussion Papers 14427, C.E.P.R. Discussion Papers.
    30. Rodriguez, Analía, 2007. "Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas," MPRA Paper 12637, University Library of Munich, Germany.
    31. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 308, Sveriges Riksbank (Central Bank of Sweden).
    32. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Working Paper Document 120, National Bank of Belgium.
    33. Rainer Masera, 2014. "CRR/CRD IV: the trees and the forest," PSL Quarterly Review, Economia civile, vol. 67(271), pages 381-422.
    34. Victoria Geyfman, 2005. "Risk-adjusted performance measures at bank holding companies with section 20 subsidiaries," Working Papers 05-26, Federal Reserve Bank of Philadelphia.
    35. Repullo, Rafael & Suarez, Javier, 2003. "Loan Pricing Under Basel Capital Requirements," CEPR Discussion Papers 3917, C.E.P.R. Discussion Papers.
    36. Aikman, David & Haldane, Andrew & Hinterschweiger, Marc & Kapadia, Sujit, 2018. "Rethinking financial stability," Bank of England working papers 712, Bank of England.
    37. Trueck, Stefan & Rachev, Svetlozar T., 2008. "Rating Based Modeling of Credit Risk," Elsevier Monographs, Elsevier, edition 1, number 9780123736833.
    38. Yang, Bill Huajian & Du, Zunwei, 2015. "Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework - Empirical approaches and technical implementation," MPRA Paper 65168, University Library of Munich, Germany.
    39. Yi-Ping Chang & Chih-Tun Yu, 2014. "Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk," Computational Statistics, Springer, vol. 29(1), pages 331-361, February.
    40. J. Lara‐Rubio & A. Blanco‐Oliver & R. Pino‐Mejías, 2017. "Promoting Entrepreneurship at the Base of the Social Pyramid via Pricing Systems: A case Study," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(1), pages 12-28, January.
    41. Cipollini, Andrea & Missaglia, Giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany.
    42. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
    43. Kiefer, Nicholas M., 2008. "Default Estimation, Correlated Defaults, and Expert Information," Working Papers 08-02, Cornell University, Center for Analytic Economics.
    44. Bandyopadhyay, Arindam, 2011. "Internal Assessment of Credit Concentration Risk Capital: A Portfolio Analysis of Indian Public Sector Bank," MPRA Paper 28672, University Library of Munich, Germany.
    45. Jan Nokkala, 2022. "Are large credit exposures a source of concentration risk?," Bank i Kredyt, Narodowy Bank Polski, vol. 53(4), pages 375-398.
    46. Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 37-52, January.
    47. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2005. "Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(3), pages 217-242, September.
    48. Albert H. De Wet & Renee´ Van Eyden & Rangan Gupta, 2007. "Linking Global Economic Dynamics to a South African-Specific Credit Risk Correlation Model," Working Papers 200719, University of Pretoria, Department of Economics.
    49. Abel Elizalde & Rafael Repullo, 2007. "Economic and Regulatory Capital in Banking: What Is the Difference?," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 87-117, September.
    50. Eichberger, Jürgen & Rheinberger, Klaus & Summer, Martin, 2012. "Credit risk in general equilibrium," Working Paper Series 1445, European Central Bank.
    51. David Saunders & Costas Xiouros & Stavros Zenios, 2007. "Credit risk optimization using factor models," Annals of Operations Research, Springer, vol. 152(1), pages 49-77, July.
    52. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
    53. Acharya, Viral V. & Schnabl, Philipp & Suarez, Gustavo, 2013. "Securitization without risk transfer," Journal of Financial Economics, Elsevier, vol. 107(3), pages 515-536.
    54. Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
    55. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    56. Blümke, Oliver, 2018. "On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 65-77.
    57. Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
    58. Jinyu Yang & Weiguo Zhang & Donglai Li, 2015. "Pricing Model for Financial Guaranty Products Using Actuarial Methodology and Most Prudent Principle," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 101-110, January.
    59. Adam Gersl, 2008. "Three Indirect Effects of Foreign Direct Investment: Evidence from the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 15-37.
    60. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
    61. Pérez Montes, Carlos & Trucharte Artigas, Carlos & Cristófoli, María Elizabeth & Lavín San Segundo, Nadia, 2018. "The impact of the IRB approach on the risk weights of European banks," Journal of Financial Stability, Elsevier, vol. 39(C), pages 147-166.
    62. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.
    63. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    64. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
    65. Caterina Mendicino & Kalin Nikolov & Juan Rubio-Ramirez & Javier Suarez, 2020. "Twin Default Crises," Working Papers 2020-01, FEDEA.
    66. Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers & Justin A. Sirignano, 2011. "Large Portfolio Asymptotics for Loss From Default," Papers 1109.1272, arXiv.org, revised Feb 2015.
    67. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
    68. Dirk Tasche & Ursula Theiler, 2003. "Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk," Papers cond-mat/0309003, arXiv.org, revised Feb 2004.
    69. Neu, Peter & Kühn, Reimer, 2004. "Credit risk enhancement in a network of interdependent firms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 639-655.
    70. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research.
    71. Kim, Joocheol & Kim, KiHyung, 2006. "Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption," MPRA Paper 860, University Library of Munich, Germany.
    72. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
    73. Uberti, Pierpaolo & Figini, Silvia, 2010. "How to measure single-name credit risk concentrations," European Journal of Operational Research, Elsevier, vol. 202(1), pages 232-238, April.
    74. Bernd Engelmann, 2024. "Spurious Default Probability Projections in Credit Risk Stress Testing Models," Papers 2401.08892, arXiv.org.
    75. Pankaj Baag, 2014. "Predicting The Probability Of Default Using Asset Correlation Of A Loan Portfolio," Working papers 151, Indian Institute of Management Kozhikode.
    76. Sergio Masciantonio & Andrea Zaghini, 2017. "Systemic risk and systemic importance measures during the crisis," Temi di discussione (Economic working papers) 1153, Bank of Italy, Economic Research and International Relations Area.
    77. Nicholas M. Kiefer, 2017. "Correlated defaults, temporal correlation, expert information and predictability of default rates," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 699-712, October.
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  13. Michael B. Gordy, 2000. "Credit VAR and risk-bucket capital rules: a reconciliation," Proceedings 685, Federal Reserve Bank of Chicago.

    Cited by:

    1. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
    2. Repullo, Rafael & Suarez, Javier, 2003. "Loan Pricing Under Basel Capital Requirements," CEPR Discussion Papers 3917, C.E.P.R. Discussion Papers.
    3. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
    4. Michel Dietsch, 2003. "De Bâle II vers Bâle III : les enjeux et les problèmes du nouvel Accord," Revue d'Économie Financière, Programme National Persée, vol. 73(4), pages 325-342.
    5. Estrella, Arturo, 2004. "The cyclical behavior of optimal bank capital," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1469-1498, June.
    6. 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.
    7. Ibragimov, Rustam & Jaffee, Dwight & Walden, Johan, 2011. "Diversification disasters," Journal of Financial Economics, Elsevier, vol. 99(2), pages 333-348, February.
    8. Mark S. Carey, 2002. "A guide to choosing absolute bank capital requirements," International Finance Discussion Papers 726, Board of Governors of the Federal Reserve System (U.S.).
    9. Bernd Hofmann, 2005. "Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 179-200, August.
    10. Anthony M. Santomero & William Lang, 2003. "Risk Quantification of Retail Credit: Current Practices and Future Challenges," CEIS Research Paper 13, Tor Vergata University, CEIS.

  14. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).

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    1. Jose Lopez, 2009. "Empirical analysis of the average asset correlation for real estate investment trusts," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 217-229.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Dionisio Buendía-Carrillo & Juan Lara-Rubio & Andrés Navarro-Galera & María Elena Gómez-Miranda, 2020. "The impact of population size on the risk of local government default," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 27(5), pages 1264-1286, October.
    4. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
    5. Rösch, Daniel & Scheule, Harald, 2009. "Credit rating impact on CDO evaluation," Global Finance Journal, Elsevier, vol. 19(3), pages 235-251.
    6. Verónica Balzarotti & Christian Castro & Andrew Powell, 2004. "Reforming Capital Requirements in Emerging Countries: Calibrating Basel II using Historical Argentine Credit Bureau Data and CreditRisk+," Business School Working Papers capitalreqemerging, Universidad Torcuato Di Tella.
    7. Kern, Markus & Rudolph, Bernd, 2001. "Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios," CFS Working Paper Series 2001/03, Center for Financial Studies (CFS).
    8. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, "undated". "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Paul S. Calem & Michael LaCour-Little, 2001. "Risk-based capital requirements for mortgage loans," Finance and Economics Discussion Series 2001-60, Board of Governors of the Federal Reserve System (U.S.).
    10. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
    11. Dimitrios P Tsomocos & Eva Catarineu-Rabell & Patricia Jackson, 2003. "Procyclicality and the new Basel Accord - Banks` choice of loan rating system," Economics Series Working Papers 2003-FE-06, University of Oxford, Department of Economics.
    12. M. Hashem Pesaran & Til Schuermann & Bjorn-Jakob Treutler, 2007. "Global Business Cycles and Credit Risk," NBER Chapters, in: The Risks of Financial Institutions, pages 419-469, National Bureau of Economic Research, Inc.
    13. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    14. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
    15. Philip Lowe & Miguel Angel Segoviano, 2002. "Internal ratings, the business cycle, and capital requirements: some evidence from an emerging market economy," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
    16. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Staff Working Papers 06-28, Bank of Canada.
    17. Ebnother, Silvan & Vanini, Paolo, 2007. "Credit portfolios: What defines risk horizons and risk measurement?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3663-3679, December.
    18. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute.
    19. Arsalan Azamighaimasi, 2013. "Portfolio Risk and Dependence Modeling," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 151-158, January.
    20. Georges Dionne, 2003. "The Foundationsof Banks' Risk Regulation: A Review of Literature," THEMA Working Papers 2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    21. Patricia Jackson & William Perraudin & Victoria Saporta, 2002. "Regulatory and 'economic' solvency standards for internationally active banks," Bank of England working papers 161, Bank of England.
    22. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2005. "Exploring Interactions between Real Activity and the Financial Stance," Working Paper Series 184, Sveriges Riksbank (Central Bank of Sweden).
    23. Colliard, Jean-Edouard, 2017. "Strategic Selection of Risk Models and Bank Capital Regulation," HEC Research Papers Series 1229, HEC Paris, revised 29 Nov 2017.
    24. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 308, Sveriges Riksbank (Central Bank of Sweden).
    25. Bag, Pinaki, 2010. "Exposure at Default Model for Contingent Credit Line," MPRA Paper 20387, University Library of Munich, Germany.
    26. Javier Márquez Diez-Canedo, 2005. "A simplified credit risk model for supervisory purposes in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 328-60, Bank for International Settlements.
    27. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
    28. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
    29. M. Dietsch & C. Welter-Nicol, 2014. "Do LTV and DSTI caps make banks more resilient?," Débats économiques et financiers 13, Banque de France.
    30. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2010. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers 10-6, HEC Montreal, Canada Research Chair in Risk Management.
    31. Bandyopadhyay, Arindam & Ganguly, Sonali, 2011. "Empirical estimation of default and asset correlation of large corporates and banks in India," MPRA Paper 33057, University Library of Munich, Germany.
    32. Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
    33. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
    34. Babbs, Simon H & Johnson, Andrew E, 1999. "Severe Loss Probabilities in Portfolio Credit Risk Models," MPRA Paper 22929, University Library of Munich, Germany, revised 14 Jan 2004.
    35. Henry Penikas, 2020. "IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights," Bank of Russia Working Paper Series wps56, Bank of Russia.
    36. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2005. "Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(3), pages 217-242, September.
    37. Kiema, Ilkka & Jokivuolle, Esa, 2011. "Leverage ratio requirement and credit allocation and bank stability," Bank of Finland Research Discussion Papers 10/2011, Bank of Finland.
    38. Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
    39. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
    40. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
    41. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    42. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
    43. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.
    44. Kanno, Masayasu, 2020. "Credit rating migration risk and interconnectedness in a corporate lending network," Research in International Business and Finance, Elsevier, vol. 54(C).
    45. Michel Dietsch, 2003. "De Bâle II vers Bâle III : les enjeux et les problèmes du nouvel Accord," Revue d'Économie Financière, Programme National Persée, vol. 73(4), pages 325-342.
    46. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    47. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
    48. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
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  15. Michael B. Gordy, 1998. "A generalization of generalized beta distributions," Finance and Economics Discussion Series 1998-18, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Vladimir Hlasny, 2020. "Parametric Representation of the Top of Income Distributions: Options, Historical Evidence and Model Selection," Commitment to Equity (CEQ) Working Paper Series 90, Tulane University, Department of Economics.
    2. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.
    3. Dorothée Boccanfuso & Bernard Decaluwé & Luc Savard, 2008. "Poverty, income distribution and CGE micro-simulation modeling: Does the functional form of distribution matter?," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 6(2), pages 149-184, June.
    4. D. Boccanfuso & F. Cabral & F. Cissé & A. Diagne & L. Savard, 2003. "Pauvreté et distribution de revenus au Sénégal: une approche par la modélisation en équilibre général calculable micro-simulé," Cahiers de recherche 0333, CIRPEE.
    5. Tevfik Aktekin & Nicholas G. Polson & Refik Soyer, 2020. "A family of multivariate non‐gaussian time series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 691-721, September.
    6. Dorothée Boccanfuso & Bernard Decaluwé & Luc Savard, 2003. "Poverty, Income Distribution and CGE Modeling: Does the Functional Form of Distribution Matter?," Cahiers de recherche 0332, CIRPEE.

  16. Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics 9702002, University Library of Munich, Germany.

    Cited by:

    1. Xavier Vives, 2011. "Strategic Supply Function Competition With Private Information," Econometrica, Econometric Society, vol. 79(6), pages 1919-1966, November.
    2. Monostori, Zoltan, 2013. "Diszkriminatív áras és egyenáras aukciók [Discriminatory versus uniform-price auctions]," MPRA Paper 54254, University Library of Munich, Germany, revised Apr 2013.
    3. Francisco Alvarez & Cristina Mazón, 2016. "Price volatility in the secondary market and bidders’ heterogeneous behavior in Spanish Treasury auctions," Empirical Economics, Springer, vol. 50(4), pages 1435-1466, June.
    4. Nielsen, Kurt, 2005. "Auctioning Payment Entitlements," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24566, European Association of Agricultural Economists.
    5. Zhang, Ning, 2009. "Market performance and bidders' bidding behavior in the New York Transmission Congestion Contract market," Energy Economics, Elsevier, vol. 31(1), pages 61-68, January.
    6. Sara Castellanos, 2001. "Mexican treasury securities primary auctions," Theory workshop papers 357966000000000025, UCLA Department of Economics.
    7. Anderson Caputo Silva, 2003. "Bidding Strategies in Brazilian Treasury Auctions," Brazilian Review of Finance, Brazilian Society of Finance, vol. 1(1), pages 113-161.
    8. Abbink, Klaus & Brandts, Jordi & Pezanis-Christou, Paul, 2006. "Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs," Journal of Economic Behavior & Organization, Elsevier, vol. 61(2), pages 284-303, October.
    9. Linzert, Tobias & Nautz, Dieter & Breitung, Jorg, 2006. "Bidder behavior in central bank repo auctions: Evidence from the Bundesbank," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 215-230, July.
    10. Linzert, Tobias & Nautz, Dieter & Bindseil, Ulrich, 2007. "Bidding behavior in the longer term refinancing operations of the European Central Bank: Evidence from a panel sample selection model," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1521-1543, May.
    11. Raphaële Préget, 2004. "Adjudications des valeurs du Trésor," Revue Française d'Économie, Programme National Persée, vol. 18(4), pages 63-110.
    12. Francisco Alvarez & Cristina Mazon, 2019. "Overpricing in Spanish Treasury Auctions," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 199-220, May.
    13. Alvarez, Francisco & Mazon, Cristina, 2007. "Comparing the Spanish and the discriminatory auction formats: A discrete model with private information," European Journal of Operational Research, Elsevier, vol. 179(1), pages 253-266, May.
    14. Han, Bing & Longstaff, Francis A. & Merrill, Craig, 2005. "The Cherry-Picking Option in the U.S. Treasury Buyback Auctions," Working Paper Series 2004-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    15. Song, Zhaogang & Zhu, Haoxiang, 2018. "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, vol. 128(1), pages 103-124.
    16. Sara Castellanos, 2001. "A New Empirical Study of the Mexican Treasury Securities Primary Auctions: Is there more underpricing?," Levine's Working Paper Archive 625018000000000206, David K. Levine.
    17. Francisco Álvarez & Cristina Mazón, 2002. "Treasury actions: The Spanish format," Documentos de Trabajo del ICAE 0228, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    18. Michael B. Gordy, "undated". "Multiple Bids in a Multiple-Unit Common Value Auction," Computing in Economics and Finance 1996 _021, Society for Computational Economics.
    19. Sara G. Castellanos & Marco A. Oviedo, 2004. "Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results from a Structural Econometrics Approach," Levine's Working Paper Archive 122247000000000118, David K. Levine.
    20. Longstaff, Francis A & Han, Bing & Merrill, Craig, 2004. "Revenue Implications of Multi-Item Multi-Unit Auction Designs: Empirical Evidence from the U.S. Treasury Buyback Auctions," University of California at Los Angeles, Anderson Graduate School of Management qt7344v866, Anderson Graduate School of Management, UCLA.
    21. Zhaogang Song & Haoxiang Zhu, 2014. "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series 2014-48, Board of Governors of the Federal Reserve System (U.S.).
    22. Michał Krawczyk, 2009. "Demand functions in Polish Treasury auctions," Bank i Kredyt, Narodowy Bank Polski, vol. 40(4), pages 31-49.
    23. Jaclyn Beierlein & Hideaki Kiyoshi Kato, 2003. "Do Uniform Price Auctions Trade‐off Higher Risk for Higher Return?," International Review of Finance, International Review of Finance Ltd., vol. 4(1‐2), pages 1-27, March.
    24. Saikat Nandi, 1997. "Treasury auctions: what do the recent models and results tell us?," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 4), pages 4-15.
    25. Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019. "Auction Mechanisms and Treasury Revenue," Working Papers 267027285, Lancaster University Management School, Economics Department.
    26. Eisenschmidt, Jens & Hirsch, Astrid & Linzert, Tobias, 2009. "Bidding behaviour in the ECB's main refinancing operations during the financial crisis," Working Paper Series 1052, European Central Bank.
    27. Philippe Février & Raphaële Preget & Michael Visser, 2002. "Econometrics of Share Auctions," Working Papers 2002-09, Center for Research in Economics and Statistics.
    28. Kurt Nielsen & Jesper Troelsgaard Nielsen, 2010. "An Allocatively Efficient Auction Market for Payment Entitlements?," MSAP Working Paper Series 03_2010, University of Copenhagen, Department of Food and Resource Economics.

  17. Michael B. Gordy, 1997. "Computationally convenient distributional assumptions for common value auctions," Finance and Economics Discussion Series 1997-5, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Saralees Nadarajah & Malick Kebe, 2023. "The Confluent Hypergeometric Beta Distribution," Mathematics, MDPI, vol. 11(9), pages 1-23, May.
    2. Carlo Orsi, 2022. "On the conditional noncentral beta distribution," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 164-189, May.
    3. Rafid S. A. Alshkaki, 2021. "A Six Parameters Beta Distribution with Application for Modeling Waiting Time of Muslim Early Morning Prayer," Annals of Data Science, Springer, vol. 8(1), pages 57-90, March.
    4. Horowitz, John K. & Lynch, Lori & Stocking, Andrew, 2007. "Competition-Based Environmental Policy: An Analysis of Farmland Preservation in Maryland," Working Papers 7340, University of Maryland, Department of Agricultural and Resource Economics.
    5. Gómez-Déniz, Emilio & Sordo, Miguel A. & Calderín-Ojeda, Enrique, 2014. "The Log–Lindley distribution as an alternative to the beta regression model with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 49-57.
    6. Maha A. Omair & Yusra A. Tashkandy & Sameh Askar & Abdulhamid A. Alzaid, 2022. "Family of Distributions Derived from Whittaker Function," Mathematics, MDPI, vol. 10(7), pages 1-23, March.
    7. Emilio Gómez-Déniz & José María Sarabia & Enrique Calderín-Ojeda, 2019. "Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem," Risks, MDPI, vol. 7(2), pages 1-16, June.
    8. Emilio Gómez-Déniz & José María Sarabia, 2018. "A Family of Generalised Beta Distributions: Properties and Applications," Annals of Data Science, Springer, vol. 5(3), pages 401-420, September.
    9. Chu, J. & Nadarajah, S., 2018. "Estimating order statistics of network degrees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 869-885.
    10. Mariem Tounsi, 2020. "The Extended Matrix-Variate Beta Probability Distribution on Symmetric Matrices," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 647-676, June.

  18. Robert B. Avery & Michael Gordy, "undated". "Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data," Computing in Economics and Finance 1997 95, Society for Computational Economics.

    Cited by:

    1. Donald Morgan & Adam Ashcraft, 2003. "Using Loan Rates to Measure and Regulate Bank Risk: Findings and an Immodest Proposal," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 181-200, October.
    2. Allen N. Berger & Seth D. Bonime & Daniel M. Covitz & Diana Hancock, 1999. "Why are bank profits so persistent: the roles of product market competition, informational opacity, and regional/macroeconomic shocks," Finance and Economics Discussion Series 1999-28, Board of Governors of the Federal Reserve System (U.S.).

  19. Michael B. Gordy, "undated". "Multiple Bids in a Multiple-Unit Common Value Auction," Computing in Economics and Finance 1996 _021, Society for Computational Economics.

    Cited by:

    1. Abbink, Klaus & Brandts, Jordi & Pezanis-Christou, Paul, 2006. "Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs," Journal of Economic Behavior & Organization, Elsevier, vol. 61(2), pages 284-303, October.
    2. Raphaële Préget, 2004. "Adjudications des valeurs du Trésor," Revue Française d'Économie, Programme National Persée, vol. 18(4), pages 63-110.
    3. Alvarez, Francisco & Mazon, Cristina, 2007. "Comparing the Spanish and the discriminatory auction formats: A discrete model with private information," European Journal of Operational Research, Elsevier, vol. 179(1), pages 253-266, May.
    4. Hoidal Bjonnes, Geir, 2001. "Winner's Curse in Discriminatory Price Auctions: Evidence from the Norwegian Treasury Bill Auctions," SIFR Research Report Series 3, Institute for Financial Research.
    5. Jaclyn Beierlein & Hideaki Kiyoshi Kato, 2003. "Do Uniform Price Auctions Trade‐off Higher Risk for Higher Return?," International Review of Finance, International Review of Finance Ltd., vol. 4(1‐2), pages 1-27, March.
    6. Francisco Alvarez & Cristina Mazón, 2012. "Multi-unit auctions with private information: an indivisible unit continuous price model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 51(1), pages 35-70, September.

Articles

  1. Carey, Mark & Gordy, Michael B., 2021. "The bank as Grim Reaper: Debt composition and bankruptcy thresholds," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1092-1108.
    See citations under working paper version above.
  2. Gordy, Michael B. & McNeil, Alexander J., 2020. "Spectral backtests of forecast distributions with application to risk management," Journal of Banking & Finance, Elsevier, vol. 116(C).
    See citations under working paper version above.
  3. Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016. "Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
    See citations under working paper version above.
  4. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.

    Cited by:

    1. Caccioli, Fabio & Shrestha, Munik & Moore, Cristopher & Farmer, J. Doyne, 2014. "Stability analysis of financial contagion due to overlapping portfolios," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 233-245.
    2. Rainer Masera, 2014. "CRR/CRD IV: the trees and the forest," PSL Quarterly Review, Economia civile, vol. 67(271), pages 381-422.
    3. Jan Nokkala, 2022. "Are large credit exposures a source of concentration risk?," Bank i Kredyt, Narodowy Bank Polski, vol. 53(4), pages 375-398.
    4. Pierpaolo Grippa & Lucyna Gornicka, 2016. "Measuring Concentration Risk - A Partial Portfolio Approach," IMF Working Papers 2016/158, International Monetary Fund.
    5. Jens Fittje, 2023. "Risk-shifting, concentration risk, and heterogeneous borrowers," International Economics and Economic Policy, Springer, vol. 20(4), pages 509-536, October.
    6. Chris Humphrey, 2017. "He who pays the piper calls the tune: Credit rating agencies and multilateral development banks," The Review of International Organizations, Springer, vol. 12(2), pages 281-306, June.
    7. Annalisa Di Clemente, 2020. "Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio," JRFM, MDPI, vol. 13(6), pages 1-24, June.
    8. Álvaro Chamizo & Alexandre Fonollosa & Alfonso Novales, 2019. "Forward-looking asset correlations in the estimation of economic capital," Documentos de Trabajo del ICAE 2019-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    9. Chamizo, Álvaro & Fonollosa, Alexandre & Novales, Alfonso, 2019. "Forward-looking asset correlations in the estimation of economic capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 264-288.
    10. Regele, Fabian & Gründl, Helmut, 2021. "Asset concentration risk and insurance solvency regulation," ICIR Working Paper Series 40/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    11. Henry Penikas, 2023. "Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example," Bank of Russia Working Paper Series wps121, Bank of Russia.
    12. Neumann, Tobias, 2018. "Mortgages: estimating default correlation and forecasting default risk," Bank of England working papers 708, Bank of England.

  5. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
    See citations under working paper version above.
  6. Michael B. Gordy & SØren Willemann, 2012. "Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models," Management Science, INFORMS, vol. 58(3), pages 476-492, March.
    See citations under working paper version above.
  7. Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
    See citations under working paper version above.
  8. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.

    Cited by:

    1. Yu-Hsiu Lin & Len-Kuo Hu, 2015. "The cyclicality of bank regulation in a general economic framework," Applied Economics, Taylor & Francis Journals, vol. 47(53), pages 5791-5804, November.
    2. Taejin Kim & Vishal Mangla, 2019. "Capital Regulation with Two Banking Sectors: Cyclicality and Implementation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 485-537, March.
    3. Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Working Papers hal-04141595, HAL.
    4. Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Post-Print hal-01671522, HAL.
    5. Andersen, Henrik, 2011. "Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?," Journal of Financial Stability, Elsevier, vol. 7(3), pages 138-154, August.
    6. Marcel Brautigam & Michel Dacorogna & Marie Kratz, 2019. "Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source," Papers 1903.03969, arXiv.org, revised Dec 2019.
    7. Joseph G. Haubrich, 2020. "How Cyclical Is Bank Capital?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(1), pages 27-38, August.
    8. Tuuli, Saara, 2019. "Model-based regulation and firms' access to finance," Bank of Finland Research Discussion Papers 4/2019, Bank of Finland.
    9. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    10. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
    11. Mr. Pau Rabanal & Mr. Christopher W. Crowe & Mr. Giovanni Dell'Ariccia & Ms. Deniz O Igan, 2011. "How to Deal with Real Estate Booms: Lessons from Country Experiences," IMF Working Papers 2011/091, International Monetary Fund.
    12. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    13. Huang, Chao & Moreira, Fernando & Archibald, Thomas & Yu, Kaidong & Zhang, Xuan, 2023. "The impact of a systemic tax on bank capital holdings, optimal capital requirements and social welfare," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 124-142.
    14. David VanHoose, 2008. "Bank Capital Regulation, Economic Stability, and Monetary Policy: What Does the Academic Literature Tell Us?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(1), pages 1-14, March.
    15. Markus Behn & Rainer Haselmann & Paul Wachtel, 2013. "Pro-Cyclical Capital Regulation and Lending," Working Papers 13-11, New York University, Leonard N. Stern School of Business, Department of Economics.
    16. Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
    17. Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM 0b64ec97-95cc-45bf-b271-4, Tilburg University, School of Economics and Management.
    18. Rodriguez, Analía, 2007. "Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas," MPRA Paper 12637, University Library of Munich, Germany.
    19. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Working Paper Document 120, National Bank of Belgium.
    20. Claudio Borio, 2011. "Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward," BIS Working Papers 354, Bank for International Settlements.
    21. Morrison, Alan & Lóránth, Gyöngyi, 2009. "Internal Reporting Systems, Compensation Contracts, and Bank Regulation," CEPR Discussion Papers 7155, C.E.P.R. Discussion Papers.
    22. Ly, Kim Cuong & Shimizu, Katsutoshi, 2021. "Did Basel regulation cause a significant procyclicality?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    23. International Monetary Fund, 2011. "Chile: Selected Issues," IMF Staff Country Reports 2011/262, International Monetary Fund.
    24. Gutiérrez López, Cristina & Abad González, Julio, 2014. "¿Permitían los estados financieros predecir los resultados de los tests de estrés de la banca española? Una aplicación del modelo logit," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 17(1), pages 58-70.
    25. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    26. Simona Malovana, 2018. "The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic," Working Papers 2018/12, Czech National Bank.
    27. Kim, Teakdong & Koo, Bonwoo & Park, Minsoo, 2013. "Role of financial regulation and innovation in the financial crisis," Journal of Financial Stability, Elsevier, vol. 9(4), pages 662-672.
    28. Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    29. Gersbach, Hans & Hahn, Volker, 2010. "Banking-on-the-Average Rules," CEPR Discussion Papers 7819, C.E.P.R. Discussion Papers.
    30. Castro-Iragorri, Carlos & Gómez, Fabio & Quiceno, Nancy, 2024. "Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality," Documentos de Trabajo 21048, Universidad del Rosario.
    31. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
    32. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
    33. Lea Zicchino, 2006. "A Model Of Bank Capital, Lending And The Macroeconomy: Basel I Versus Basel Ii," Manchester School, University of Manchester, vol. 74(s1), pages 50-77, September.
    34. Ethan Cohen-Cole & Enrique Martinez-Garcia, 2009. "The Balance Sheet Channel," Working Papers Central Bank of Chile 537, Central Bank of Chile.
    35. Jesús Saurina & Carlos Trucharte, 2007. "An Assessment of Basel II Procyclicality in Mortgage Portfolios," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 81-101, October.
    36. Rafael Repullo, 2012. "Cyclical Adjustment of Capital Requirements. A Simple Framework," Working Papers wp2012_1205, CEMFI.
    37. Staszkiewicz, Piotr W., 2013. "Mechanizm wczesnego ostrzegania firm inwestycyjnych [Early warning mechanism of bankruptcy for investment companies]," MPRA Paper 44290, University Library of Munich, Germany.
    38. Gabriel Jiménez & Jesús Saurina, 2005. "Credit cycles, credit risk, and prudential regulation," Working Papers 0531, Banco de España.
    39. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
    40. Martinez-Miera, David & Repullo, Rafael, 2019. "Monetary policy, macroprudential policy, and financial stability," Working Paper Series 2297, European Central Bank.
    41. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    42. Jokivuolle, Esa & Kiema, Ilkka & Vesala, Timo, 2009. "Credit allocation, capital requirements and procyclicality," Bank of Finland Research Discussion Papers 23/2009, Bank of Finland.
    43. Benyovszki Annamaria & Bordas Eszter & Kurti Laszlo - Adam & Szodorai Melinda, 2011. "Troubleshooting Basel Ii: The Issue Of Procyclicality," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 461-468, July.
    44. Banerjee, Sreejata & Velamuri, Malathi, 2015. "The conundrum of profitability versus soundness for banks by ownership type: Evidence from the Indian banking sector," Review of Financial Economics, Elsevier, vol. 26(C), pages 12-24.
    45. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    46. Christoph Basten, 2020. "Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Counter-Cyclical Capital Buffer," Review of Finance, European Finance Association, vol. 24(2), pages 453-495.
    47. Kauko, Karlo, 2012. "Triggers for countercyclical capital buffers," MPRA Paper 85692, University Library of Munich, Germany.
    48. Anton Korinek, 2011. "Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses," NFI Working Papers 2011-WP-13, Indiana State University, Scott College of Business, Networks Financial Institute.
    49. Esa Jokivuolle & Ilkka Kiema & Timo Vesala, 2014. "Why Do We Need Countercyclical Capital Requirements?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(1), pages 55-76, August.
    50. Mr. Jorge A Chan-Lau, 2012. "Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? a Study of the Chilean Banking System," IMF Working Papers 2012/124, International Monetary Fund.
    51. Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017. "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 169-191, September.
    52. Sreejata Banerjee, 2012. "Basel I and Basel II Compliance: Issues for Banks in India," Working Papers 2012-068, Madras School of Economics,Chennai,India.
    53. Rafael Repullo & Jesús Saurina, 2011. "The Countercyclical Capital Buffer of Basel III: A Critical Assessment," Working Papers wp2011_1102, CEMFI, revised Jun 2011.
    54. Martin Mandel & Vladimír Tomšík, 2011. "Regulace bankovního sektoru z pohledu ekonomické teorie [Regulation of the Banking Sector From the Economic Theory´s Point of View]," Politická ekonomie, Prague University of Economics and Business, vol. 2011(1), pages 58-81.
    55. Constantin ANGHELACHE & Marian SFETCU & Gyorgy BODO, 2017. "Analysis Of Banking Risks In The Context Of The Basel Agreements," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(12), pages 83-89, December.
    56. Marcel, Bräutigam & Michel, Dacorogna & Marie, Kratz, 2018. "Predicting risk with risk measures : an empirical study," ESSEC Working Papers WP1803, ESSEC Research Center, ESSEC Business School.
    57. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring countercyclical capital buffers: the role of credit aggregates," BIS Working Papers 355, Bank for International Settlements.
    58. Paul Glasserman & Wanmo Kang, 2014. "OR Forum—Design of Risk Weights," Operations Research, INFORMS, vol. 62(6), pages 1204-1220, December.
    59. Francis, William B. & Osborne, Matthew, 2012. "Capital requirements and bank behavior in the UK: Are there lessons for international capital standards?," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 803-816.
    60. Ambrocio, Gene & Hasan, Iftekhar & Jokivuolle, Esa & Ristolainen, Kim, 2020. "Are bank capital requirements optimally set? Evidence from researchers’ views," Journal of Financial Stability, Elsevier, vol. 50(C).
    61. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    62. Arndt Claußen & Sebastian Löhr & Daniel Rösch, 2014. "An analytical approach for systematic risk sensitivity of structured finance products," Review of Derivatives Research, Springer, vol. 17(1), pages 1-37, April.
    63. Mr. Tobias Adrian, 2018. "Risk Management and Regulation," IMF Departmental Papers / Policy Papers 2018/014, International Monetary Fund.
    64. Paul Calem & Francisco Covas & Jason Wu, 2013. "The Impact of the 2007 Liquidity Shock on Bank Jumbo Mortgage Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s1), pages 59-91, August.
    65. Ludwig, Björn, 2011. "Warum der Baseler Ausschluss für Bankenaufsicht mit seinem antizyklischen Kapitalpuffer falsch liegt," CIW Discussion Papers 7/2011, University of Münster, Center for Interdisciplinary Economics (CIW).
    66. Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2010. "Mitigating the pro-cyclicality of Basel II," Working Papers 1028, Banco de España.
    67. Benbouzid, Nadia & Kumar, Abhishek & Mallick, Sushanta K. & Sousa, Ricardo M. & Stojanovic, Aleksandar, 2022. "Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer," Journal of Financial Stability, Elsevier, vol. 63(C).
    68. Kogler, Michael, 2016. "Optimal Bank Capital Regulation, the Real Sector, and the State of the Economy," Economics Working Paper Series 1615, University of St. Gallen, School of Economics and Political Science.
    69. Kroot, Jan & Giouvris, Evangelos, 2016. "Dutch mortgages: Impact of the crisis on probability of default," Finance Research Letters, Elsevier, vol. 18(C), pages 205-217.
    70. Jose Fique & Frank Page, 2013. "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, vol. 10(2), pages 213-230, June.
    71. Torsten Wezel & Mr. Jorge A Chan-Lau & Mr. Francesco Columba, 2012. "Dynamic Loan Loss Provisioning: Simulationson Effectiveness and Guide to Implementation," IMF Working Papers 2012/110, International Monetary Fund.
    72. Cohen-Cole, Ethan & Morse, Jonathan, 2010. "Monetary policy and capital regulation in the US and Europe," Working Paper Series 1222, European Central Bank.
    73. Jokivuolle, Esa & Vesala, Timo, 2007. "Portfolio effects and efficiency of lending under Basel II," Bank of Finland Research Discussion Papers 13/2007, Bank of Finland.
    74. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, September.
    75. Ambrocio, Gene & Jokivuolle, Esa, 2017. "Should bank capital requirements be less risk-sensitive because of credit constraints?," Bank of Finland Research Discussion Papers 10/2017, Bank of Finland.
    76. Dietrich, Diemo & Vollmer, Uwe, 2004. "Why do banks hold capital in excess of regulatory requirements? A functional approach," IWH Discussion Papers 192/2004, Halle Institute for Economic Research (IWH).
    77. Mark J. Flannery, 2014. "Maintaining Adequate Bank Capital," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 157-180, February.
    78. Haibin Zhu, 2007. "Capital regulation and banks' financial decisions," BIS Working Papers 232, Bank for International Settlements.
    79. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
    80. Mark J. Flannery & Paul Glasserman & David K.A. Mordecai & Cliff Rossi, 2012. "Forging Best Practices in Risk Management," Working Papers 12-02, Office of Financial Research, US Department of the Treasury.
    81. Chiara Pederzoli & Costanza Torricelli & Dimitrios Tsomocos, 2010. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," Annals of Finance, Springer, vol. 6(1), pages 33-49, January.
    82. Ruthenberg, David & Landskroner, Yoram, 2008. "Loan pricing under Basel II in an imperfectly competitive banking market," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2725-2733, December.
    83. Ho, Kung-Cheng & Lee, Shih-Cheng & Chen, Jiun-Lin, 2022. "Book-to-market equity and asset correlations—An international study," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 258-274.
    84. Mario Tonveronachi, 2009. "Implications of Basel II for financial stability. Clouds are darker for developing countries," PSL Quarterly Review, Economia civile, vol. 62(248-251), pages 117-142.
    85. Paul Glasserman & Wanmo Kang, 2014. "Design of Risk Weights," Working Papers 14-06, Office of Financial Research, US Department of the Treasury.
    86. Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
    87. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
    88. Tetiana Davydiuk, 2017. "Dynamic Bank Capital Requirements," 2017 Meeting Papers 1328, Society for Economic Dynamics.
    89. Giuseppe Mastromatteo & Giuseppe Mastromatteo, 2016. "Minsky at Basel: A Global Cap to Build an Effective Postcrisis Banking Supervision Framework," Economics Working Paper Archive wp_875, Levy Economics Institute.
    90. Inga Heiland & Erdal Yalcin, 2021. "Export market risk and the role of state credit guarantees," International Economics and Economic Policy, Springer, vol. 18(1), pages 25-72, February.
    91. Wolff, Christian & Papanikolaou, Nikolaos I., 2015. "Does the CAMEL bank ratings system follow a procyclical pattern?," CEPR Discussion Papers 10965, C.E.P.R. Discussion Papers.
    92. Guangling Liu & Thabang Molise, 2018. "Is Basel III counter-cyclical: The case of South Africa?," Working Papers 10/2018, Stellenbosch University, Department of Economics.
    93. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
    94. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, December.
    95. Gábor Vadas, 2007. "Wealth portfolio of Hungarian households – Urban legends and facts," MNB Occasional Papers 2007/68, Magyar Nemzeti Bank (Central Bank of Hungary).
    96. Bernd Engelmann & Ha Pham, 2020. "Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL," Risks, MDPI, vol. 8(3), pages 1-21, September.
    97. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
    98. Hamed Ghiaie, 2018. "Macroeconomic Consequences of Bank’s Assets Reallocation After Mortgage Defaults," THEMA Working Papers 2018-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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    101. Borio, C., 2009. "Implementing the macroprudential approach to financial regulation and supervision," Financial Stability Review, Banque de France, issue 13, pages 31-41, September.
    102. Lin, Karen Lai Kai, 2020. "The Cyclical Patterns of Capital Buffers: Evidence from Japanese Banks," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 53(1), pages 49-68, February.
    103. Délio José Cordeiro Galvão & Helder Ferreira De Mendonça & Renato Falci Villela Loures, 2011. "Economic Activity And Financialinstitutional Risk: An Empirical Analysis For The Banking Industry," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    104. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
    105. Agenor, Pierre-Richard & Pereira da Silva, Luiz A., 2009. "Cyclical effects of bank capital requirements with imperfect credit markets," Policy Research Working Paper Series 5067, The World Bank.
    106. Hervé Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?," Post-Print hal-01622782, HAL.
    107. Ki Young Park, 2018. "New Evidence on Procyclical Bank Capital Regulation: The Role of Bank Loan Commitments," Working papers 2018rwp-130, Yonsei University, Yonsei Economics Research Institute.
    108. Flannery, Mark J. & Giacomini, Emanuela, 2015. "Maintaining adequate bank capital: An empirical analysis of the supervision of European banks," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 236-249.
    109. Koh,Wee Chian & Yu,Shu, 2020. "A Decade after the 2009 Global Recession : Macroeconomic and Financial Sector Policies," Policy Research Working Paper Series 9289, The World Bank.
    110. Jean Roy, 2019. "Optimal Pricing of Deposit Insurance: Aiming at Fairness and Stability," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 37-52, January.
    111. Dobromił Serwa, 2013. "Measuring Non-Performing Loans During (and After) Credit Booms," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(3), pages 163-183, September.
    112. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
    113. Katsutoshi Shimizu & Kim Cuong Ly, 2018. "Did Basel regulations cause a significant procyclicality?," Working Papers 2018-06, Swansea University, School of Management.
    114. Schoenmaker, Dirk & Wierts, Peter, 2015. "Regulating the financial cycle: An integrated approach with a leverage ratio," Economics Letters, Elsevier, vol. 136(C), pages 70-72.
    115. Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, University of Reading.
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    134. Alberto Montagnoli & Konstantinos Mouratidis & Kemar Whyte, 2018. "Assessing the Cyclical Behaviour of Bank Capital Buyers in a Finance-Augmented Macro-Economy," Working Papers 2018003, The University of Sheffield, Department of Economics.
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  9. Calem, Paul S. & Gordy, Michael B. & Mester, Loretta J., 2006. "Switching costs and adverse selection in the market for credit cards: New evidence," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1653-1685, June.
    See citations under working paper version above.
  10. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    See citations under working paper version above.
  11. Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.

    Cited by:

    1. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    2. Kexue Liu & Jean Salvati & Mr. Renzo G Avesani & Mr. Alin T Mirestean, 2006. "Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)," IMF Working Papers 2006/134, International Monetary Fund.
    3. Herbertsson, Alexander, 2022. "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics 823, University of Gothenburg, Department of Economics.
    4. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
    5. A. Karas & K. Schoors & G. Lanine, 2008. "Liquidity matters: Evidence from the Russian interbank market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/520, Ghent University, Faculty of Economics and Business Administration.
    6. Mengzhe Zhang & Leunglung Chan, 2016. "Saddlepoint approximations to option price in a regime-switching model," Annals of Finance, Springer, vol. 12(1), pages 55-69, February.
    7. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
    8. D. Seese & F. Schlottmann, "undated". "The building blocks of complexity: a unified criterion and selected applications in risk management," Modeling, Computing, and Mastering Complexity 2003 14, Society for Computational Economics.
    9. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers 24/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
    10. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration.
    11. Glenn D. Pederson & Lyubov Zech, 2009. "Assessing Credit Risk in an Agricultural Loan Portfolio," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 57(2), pages 169-185, June.
    12. Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul, 2008. "On the parameterization of the CreditRisk + model for estimating credit portfolio risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 736-745, April.
    13. Kyoung-Kuk Kim & Sojung Kim, 2016. "Simulation of Tempered Stable Lévy Bridges and Its Applications," Operations Research, INFORMS, vol. 64(2), pages 495-509, April.
    14. Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, September.
    15. Stefan Gerhold & Uwe Schmock & Richard Warnung, 2010. "A generalization of Panjer’s recursion and numerically stable risk aggregation," Finance and Stochastics, Springer, vol. 14(1), pages 81-128, January.
    16. Amogh Deshpande & Srikanth Iyer, 2009. "The credit risk + model with general sector correlations," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 17(2), pages 219-228, June.
    17. Yang Lu, 2021. "The predictive distributions of thinning‐based count processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 42-67, March.
    18. Spiliopoulos, Konstantinos & Sowers, Richard B., 2011. "Recovery rates in investment-grade pools of credit assets: A large deviations analysis," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2861-2898.
    19. Darolles, Serge & Fol, Gaëlle Le & Lu, Yang & Sun, Ran, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 181-203.

  12. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
    See citations under working paper version above.
  13. Michael B. Gordy, 1999. "Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 448-465, August.
    See citations under working paper version above.
  14. Gordy, Michael B, 1998. "Computationally Convenient Distributional Assumptions for Common-Value Auctions," Computational Economics, Springer;Society for Computational Economics, vol. 12(1), pages 61-78, August.
    See citations under working paper version above.

Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Michael B. Gordy & Erik Heitfield, 2010. "Small-Sample Estimation of Models of Portfolio Credit Risk," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 2, pages 43-63, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, September.
    2. Dietsch, Michel & Düllmann, Klaus & Fraisse, Henri & Koziol, Philipp & Ott, Christine, 2016. "Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans," Discussion Papers 45/2016, Deutsche Bundesbank.
    3. Christoph Wunderer, 2017. "Asset correlation estimation for inhomogeneous exposure pools," Papers 1701.02028, arXiv.org, revised Sep 2019.
    4. Henry Penikas, 2023. "IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-27, March.
    5. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2021. "Systematic credit risk in securitised mortgage portfolios," Journal of Banking & Finance, Elsevier, vol. 122(C).
    6. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.

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