Non – parametric estimation of conditional and unconditional loan portfolio loss distributions with public credit registry data
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References listed on IDEAS
- Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation,
Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, August.
- Mark S. Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series 2000-18, Board of Governors of the Federal Reserve System (U.S.).
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rodriguez, Analía, 2007. "Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas," MPRA Paper 12637, University Library of Munich, Germany.
- Girault, Matias Gutierrez & Hwang, Jane, 2010. "Public credit registries as a tool for bank regulation and supervision," Policy Research Working Paper Series 5489, The World Bank.
- Gutierrez Girault, Matias Alfredo, 2008. "Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System," MPRA Paper 16378, University Library of Munich, Germany.
- Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
More about this item
KeywordsCredit Risk; Unconditional loss distribution; Bootstrapping;
- G2 - Financial Economics - - Financial Institutions and Services
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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