A risk-factor model foundation for ratings-based bank capital rules
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- 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.
References listed on IDEAS
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KeywordsRisk ; Econometric models ; Capital;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-27 (All new papers)
- NEP-FIN-2003-01-27 (Finance)
- NEP-RMG-2003-01-27 (Risk Management)
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