Endogenous/Exogenous Segmentation In The A-Irb Framework And The Pro-Cyclicality Of Capital: An Application To Mortgage Portfolios
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References listed on IDEAS
- Merton, Robert C, 1974.
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More about this item
Keywordsmortgages; credit risk; Basel Accord; regulatory capital;
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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