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

Author

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  • Paul S. Calem
  • James R. Follain

Abstract

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Suggested Citation

  • Paul S. Calem & James R. Follain, 2003. "The asset-correlation parameter in Basel II for mortgages on single-family residences," Basel II White Paper 5, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgwp:5
    as

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    File URL: http://www.federalreserve.gov/generalinfo/basel2/docs2003/asset-correlation.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Myron L. Kwast & Wayne Passmore, 1998. "The subsidy provided by the federal safety net: theory and measurement," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
    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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Richard Herring, 2007. "The Rocky Road to Implementation of Basel II in the United States," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 35(4), pages 411-429, December.

    More about this item

    Keywords

    Bank capital ; Risk management ; Basel capital accord ; Mortgages;

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