Extending the scope of prudential supervision: Regulatory developments during and beyond the “effective” periods of the Post BCCI and the Capital Requirements directives
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References listed on IDEAS
- Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
- Düllmann, Klaus & Trapp, Monika, 2004. "Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures," Discussion Paper Series 2: Banking and Financial Studies 2004,02, Deutsche Bundesbank.
- Li, Hui, 2009. "Extension of Spot Recovery Model for Gaussian Copula," MPRA Paper 17944, University Library of Munich, Germany.
- Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
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More about this item
KeywordsCapital Requirements Directive (CRD); Post BCCI Directive; prudential supervision; liquidity; capital; maturity mismatches; regulation;
- E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
- K2 - Law and Economics - - Regulation and Business Law
- G3 - Financial Economics - - Corporate Finance and Governance
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G01 - Financial Economics - - General - - - Financial Crises
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- F3 - International Economics - - International Finance
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2010-01-23 (Accounting & Auditing)
- NEP-ALL-2010-01-23 (All new papers)
- NEP-BAN-2010-01-23 (Banking)
- NEP-LAW-2010-01-23 (Law & Economics)
- NEP-REG-2010-01-23 (Regulation)
- NEP-RMG-2010-01-23 (Risk Management)
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