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The asset-correlation parameter in Basel II for mortgages on single-family residences

  • Paul S. Calem
  • James R. Follain
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    File URL: http://www.federalreserve.gov/generalinfo/basel2/docs2003/asset-correlation.pdf
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    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Basel II White Paper with number 5.

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    Date of creation: 2003
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    Handle: RePEc:fip:fedgwp:5
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    Web page: http://www.federalreserve.gov/

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    1. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
    2. Douglas W. Diamond & Raghuram G. Rajan, . "A Theory of Bank Capital," CRSP working papers 363, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    3. Berger, Allen N. & Herring, Richard J. & Szego, Giorgio P., 1995. "The role of capital in financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 393-430, June.
    4. Yair E. Orgler & Robert A. Taggart, Jr., 1981. "Implications of Corporate Capital Structure Theory for Banking Institutions," NBER Working Papers 0737, National Bureau of Economic Research, Inc.
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