Granularity adjustment for Basel II
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References listed on IDEAS
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007.
"Learning, Structural Instability, and Present Value Calculations,"
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- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
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- Pesaran, Mohammad Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2006. "Learning, structural instability and present value calculations," Discussion Paper Series 1: Economic Studies 2006,27, Deutsche Bundesbank.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sebastian Ebert & Eva Lütkebohmert, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers bgse24_2009, University of Bonn, Germany.
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More about this item
KeywordsBasel II; granularity adjustment; value-at-risk; idiosyncratic risk;
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-03 (All new papers)
- NEP-BAN-2007-03-03 (Banking)
- NEP-RMG-2007-03-03 (Risk Management)
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