Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?
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- Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005. "Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 43-75, October.
References listed on IDEAS
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More about this item
Keywords
Internal ratings; Credit risk; Value-at-Risk; Banks; Basel II; Retail credit; SME; risk weights;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2004-06-07 (European Economics)
- NEP-REG-2004-06-07 (Regulation)
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