Pillar I treatment of concentrations in the banking book – a multifactor approach
Download full text from publisher
More about this item
KeywordsBasel regulation; multifactor model; NORTA; numerical integration.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-BAN-2007-01-23 (Banking)
- NEP-CFN-2007-01-23 (Corporate Finance)
- NEP-REG-2007-01-23 (Regulation)
- NEP-RMG-2007-01-23 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mnb:wpaper:2006/11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lorant Kaszab). General contact details of provider: http://edirc.repec.org/data/mnbgvhu.html .
We have no references for this item. You can help adding them by using this form .