Citations for "A survey of cyclical effects in credit risk measurement model"
by Linda Allen & Anthony Saunders
- Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007.
"Common Failings: How Corporate Defaults Are Correlated,"
Journal of Finance,
American Finance Association, vol. 62(1), pages 93-117, 02.
- Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc.
- Mejra Festić, 2006. "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, University of Economics, Prague, vol. 2006(4), pages 315-349.
- Mark Illing & Graydon Paulin, 2005. "Basel II and the Cyclicality of Bank Capital," Canadian Public Policy, University of Toronto Press, vol. 31(2), pages 161-180, June.
- André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
- Schmidt, Rafael & Schmieder, Christian, 2009.
"Modelling dynamic portfolio risk using risk drivers of elliptical processes,"
Insurance: Mathematics and Economics,
Elsevier, vol. 44(2), pages 229-244, April.
- Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre.
- Koopman, Siem Jan & Lucas, AndrÃ©, 2008.
"A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 26, pages 510-525.
- Siem Jan Koopman & Andr� Lucas & Robert J. Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," DNB Working Papers 055, Netherlands Central Bank, Research Department.
- Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Bhattacharjee, Arnab & Hany, Jie, 2010.
"Financial Distress in Chinese Industry: Microeconomic, Macroeconomic and Institutional Infuences,"
SIRE Discussion Papers
2010-53, Scottish Institute for Research in Economics (SIRE).
- Arnab Bhattacharjee & Jie Han, 2010. "Financial Distress in Chinese Industry: Microeconomic, Macroeconomic and Institutional Influences," CRIEFF Discussion Papers 1001, Centre for Research into Industry, Enterprise, Finance and the Firm.
- Petr Jakubík, 2007. "Credit Risk and the Finnish Economy," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(3), pages 254-285, November.
- repec:dgr:uvatin:20050060 is not listed on IDEAS
- Inês Drumond, 2008.
"Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis,"
FEP Working Papers
277, Universidade do Porto, Faculdade de Economia do Porto.
- Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
- repec:dgr:uvatin:20050118 is not listed on IDEAS
- Hayette GATFAOUI, 2005.
"From Fault Tree to Credit Risk Assessment: A Case Study,"
- Hayette Gatfaoui, 2004. "From Fault Tree to Credit Risk Assessment: A Case Study," EERI Research Paper Series EERI_RP_2004_05, Economics and Econometrics Research Institute (EERI), Brussels.
- Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Working Papers 04-30, Bank of Canada.
- Bhattacharjee, Arnab & Han, Jie, 2014. "Financial distress of Chinese firms: Microeconomic, macroeconomic and institutional influences," China Economic Review, Elsevier, vol. 30(C), pages 244-262.
- Jesús Saurina & Carlos Trucharte, 2004. "The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data," Journal of Financial Services Research, Springer, vol. 26(2), pages 121-144, October.
- Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
- repec:dgr:uvatin:20030075 is not listed on IDEAS
- repec:dgr:uvatin:20030062 is not listed on IDEAS
- Maximilian J. B. Hall & Dadang Muljawan & Suprayogi & Lolita Moorena, 2008. "Using The Artificial Neural Network (ANN) to Assess Bank Credit Risk: A Case Study of Indonesia," Discussion Paper Series 2008_06, Department of Economics, Loughborough University, revised Jul 2008.
- Pesola, Jarmo, 2007. "Financial fragility, macroeconomic shocks and banks’ loan losses: evidence from Europe," Research Discussion Papers 15/2007, Bank of Finland.
- Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given default on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
- Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
- Petr JAKUBÍK, 2007. "Macroeconomic Environment and Credit Risk (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
- Bojan Markovic, 2006. "Bank capital channels in the monetary transmission mechanism," Bank of England working papers 313, Bank of England.