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,"
Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2005. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo Group Munich.
- 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.
- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
- 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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- Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
- Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
- Yong Kim, 2013. "Modeling of commercial real estate credit risks," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1977-1989, December.
- Christian Gourieroux & Wei Liu, 2009. "Control and Out-of-Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707.
- Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
- Tarashev, Nikola, 2010.
"Measuring portfolio credit risk correctly: Why parameter uncertainty matters,"
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Elsevier, vol. 34(9), pages 2065-2076, September.
- Nikola Tarashev, 2009. "Measuring portfolio credit risk correctly: why parameter uncertainty matters," BIS Working Papers 280, Bank for International Settlements.
- Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 11/83, International Monetary Fund.
- Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
- Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
- Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
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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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