Citations for "A survey of cyclical effects in credit risk measurement model"
by Linda Allen & Anthony Saunders
- 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.
- 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.
- 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.
- 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.
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- 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.
- 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.
- Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
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"Modelling dynamic portfolio risk using risk drivers of elliptical processes,"
Insurance: Mathematics and Economics,
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"Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward,"
BIS Working Papers
354, Bank for International Settlements.
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- 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.
- Hayette GATFAOUI, 2005. "From Fault Tree to Credit Risk Assessment: A Case Study," Econometrics 0509002, EconWPA.
- 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.
- André Lucas & Siem Jan Koopman, 2005.
"Business and default cycles for credit risk,"
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John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
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- Bojan Markovic, 2006. "Bank capital channels in the monetary transmission mechanism," Bank of England working papers 313, Bank of England.
- Virolainen, Kimmo, 2003. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
- André Lucas & Pieter Klaassen, 2003.
"Discrete versus Continuous State Switching Models for Portfolio Credit Risk,"
Tinbergen Institute Discussion Papers
03-075/2, Tinbergen Institute, revised 30 Sep 2003.
- Lucas, Andre & Klaassen, Pieter, 2006. "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 23-35, January.
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"A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk,"
Journal of Business & Economic Statistics,
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- Siem Jan Koopman & André 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.
- Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute.
- 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;Western Finance Association, vol. 26(2), pages 121-144, October.
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- Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2005. "Model-based Measurement of Latent Risk in Time Series with Applications," Tinbergen Institute Discussion Papers 05-118/4, Tinbergen Institute.
- 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".
- 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.
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"Financial Distress in Chinese Industry: Microeconomic, Macroeconomic and Institutional Influences,"
CRIEFF Discussion Papers
1001, Centre for Research into Industry, Enterprise, Finance and the Firm.
- 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).
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- 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.