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Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

In: Prudential Supervision: What Works and What Doesn't


  • Mark Carey


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  • Mark Carey, 2001. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Chapters,in: Prudential Supervision: What Works and What Doesn't, pages 197-232 National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberch:10761

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    References listed on IDEAS

    1. Douglas W. Diamond & Raghuram G. Rajan, 2000. "A Theory of Bank Capital," Journal of Finance, American Finance Association, vol. 55(6), pages 2431-2465, December.
    2. Calomiris, Charles W., 1999. "Building an incentive-compatible safety net," Journal of Banking & Finance, Elsevier, vol. 23(10), pages 1499-1519, October.
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    Cited by:

    1. Rodriguez, Adolfo & Trucharte, Carlos, 2007. "Loss coverage and stress testing mortgage portfolios: A non-parametric approach," Journal of Financial Stability, Elsevier, vol. 3(4), pages 342-367, December.
    2. 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.).
    3. 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.
    4. 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.
    5. Carey, Mark, 2002. "A guide to choosing absolute bank capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 929-951, May.

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