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Citations for "Credit Risk in Private Debt Portfolios"

by Mark Carey

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  1. Schmit, Mathias, 2004. "Credit risk in the leasing industry," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 811-833, April.
  2. Park, Yun W. & Bang, Doo Won, 2014. "Loss given default of residential mortgages in a low LTV regime: Role of foreclosure auction process and housing market cycles," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 192-210.
  3. Holmberg, Ulf & Sjögren, Tomas & Hellström, Jörgen, 2012. "Comparing Centralized and Decentralized Banking: A Study of the Risk-Return Profiles of Banks," Umeå Economic Studies 838, Umeå University, Department of Economics.
  4. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
  5. Mark 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.).
  6. Radovan Chalupka & Juraj Kopecsni, 2009. "Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(4), pages 360-382, Oktober.
  7. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 3-23, January.
  8. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305.
  9. Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58, March.
  10. Andrea Resti & Andrea Sironi, 2005. "The Basel Committee Approach To Risk-Weights And External Ratings: What Do We Learn From Bond Spreads?," Temi di discussione (Economic working papers) 548, Bank of Italy, Economic Research and International Relations Area.
  11. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
  12. Craig Furfine, 2001. "Bank Portfolio Allocation: The Impact of Capital Requirements, Regulatory Monitoring, and Economic Conditions," Journal of Financial Services Research, Springer, vol. 20(1), pages 33-56, September.
  13. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
  14. Edward Altman & Anthony Saunders, 2000. "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-084, New York University, Leonard N. Stern School of Business-.
  15. Lucas, André & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  16. Liuren Wu & Frank Xiaoling Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  17. Calem, Paul S. & LaCour-Little, Michael, 2004. "Risk-based capital requirements for mortgage loans," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 647-672, March.
  18. Mark Carey, 2002. "A guide to choosing absolute bank capital requirements," International Finance Discussion Papers 726, Board of Governors of the Federal Reserve System (U.S.).
  19. Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper F., 2008. "Firm Default and Aggregate Fluctuations," CEPR Discussion Papers 7083, C.E.P.R. Discussion Papers.
  20. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2003. "Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies," Working Paper Series 155, Sveriges Riksbank (Central Bank of Sweden).
  21. Helena Marrez & Mathias Schmit, 2009. "Credit risk analysis in microcredit: How does gender matter?," Working Papers CEB 09-053.RS, ULB -- Universite Libre de Bruxelles.
  22. John Krainer & Elizabeth Laderman, 2014. "Mortgage Loan Securitization and Relative Loan Performance," Journal of Financial Services Research, Springer, vol. 45(1), pages 39-66, February.
  23. Patrick de Fontnouvelle & Virginia DeJesus-Rueff & John Jordan & Eric Rosengren, 2003. "Capital and risk: new evidence on implications of large operational losses," Working Papers 03-5, Federal Reserve Bank of Boston.
  24. Hugues Pirotte & Mathias Schmit & Céline Vaessen, 2004. "Credit risk mitigation evidence in auto leases: LGD and residual value risk," Working Papers CEB 04-008.RS, ULB -- Universite Libre de Bruxelles.
  25. Mingo, John J., 2000. "Policy implications of the Federal Reserve study of credit risk models at major US banking institutions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 15-33, January.
  26. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
  27. Rafael Weißbach & Carsten Lieres und Wilkau, 2010. "Economic capital for nonperforming loans," Financial Markets and Portfolio Management, Springer, vol. 24(1), pages 67-85, March.
  28. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
  29. Rodríguez Dupuy, Analía, 2007. "Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations," MPRA Paper 10697, University Library of Munich, Germany.
  30. Daniel Rosch & Harald Scheule, 2008. "Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans," Working Papers 152008, Hong Kong Institute for Monetary Research.
  31. Bliss, Robert, 2002. "Comments on "Credit ratings and the BIS capital adequacy reform agenda"," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 923-928, May.
  32. Rodriguez, Adolfo & Trucharte, Carlos, 2007. "Loss coverage and stress testing mortgage portfolios: A non-parametric approach," Journal of Financial Stability, Elsevier, vol. 3(4), pages 342-367, December.
  33. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
  34. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
  35. Carey, Mark, 2002. "A guide to choosing absolute bank capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 929-951, May.
  36. Alex Ferrer & José Casals & Sonia Sotoca, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  37. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  38. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
  39. Hakimi, Abdelaziz & Hamdi, Helmi, 2013. "Credit Information, Guarantees and Non-Performing Loans," MPRA Paper 55750, University Library of Munich, Germany, revised 2014.
  40. repec:dgr:uvatin:2001023 is not listed on IDEAS
  41. Jose A. Lopez & Marc R. Saidenberg, 1999. "Evaluating credit risk models," Working Papers in Applied Economic Theory 99-06, Federal Reserve Bank of San Francisco.
  42. Bernd Hofmann, 2005. "Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 179-200, August.
  43. Altman, Edward I. & Suggitt, Heather J., 2000. "Default rates in the syndicated bank loan market: A mortality analysis," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 229-253, January.
  44. Dermine, J. & de Carvalho, C. Neto, 2006. "Bank loan losses-given-default: A case study," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1219-1243, April.
  45. Rösch, Daniel & Scheule, Harald, 2009. "The Empirical Relation between Credit Quality, Recovery and Correlation," Hannover Economic Papers (HEP) dp-418, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  46. Inessa Love & Rima Turk Ariss, 2013. "Macro-Financial Linkages in Egypt: A Panel Analysis of Economic Shocks and Loan Portfolio Quality," IMF Working Papers 13/271, International Monetary Fund.
  47. Rudiger Kiesel & William Perraudin & Alex Taylor, 2001. "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England.
  48. Van Roy, Patrick, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Working Paper Series 0517, European Central Bank.
  49. John Krainer & Elizabeth Laderman, 2009. "Mortgage loan securitization and relative loan performance," Working Paper Series 2009-22, Federal Reserve Bank of San Francisco.
  50. William B. English & William R. Nelson, 1998. "Bank risk rating of business loans," Finance and Economics Discussion Series 1998-51, Board of Governors of the Federal Reserve System (U.S.).
  51. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2004. "Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Working Paper Series 162, Sveriges Riksbank (Central Bank of Sweden).
  52. Weißbach, Rafael & von Lieres und Wilkau, Carsten, 2006. "On partial defaults in portfolio credit risk: Comparing economic and regulatory view," Technical Reports 2006,02, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  53. Ozili, PK, 2015. "How Bank Managers Anticipate Non-Performing Loans. Evidence from Europe, US, Asia and Africa," MPRA Paper 63681, University Library of Munich, Germany.
  54. Altman, Edward I. & Saunders, Anthony, 2001. "An analysis and critique of the BIS proposal on capital adequacy and ratings," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 25-46, January.
  55. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October.
  56. Andrew Winton, 1999. "Don’t Put All Your Eggs in One Basket? Diversification and Specialization in Lending," Center for Financial Institutions Working Papers 00-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  57. Louzis, Dimitrios P. & Vouldis, Angelos T. & Metaxas, Vasilios L., 2012. "Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1012-1027.
  58. Hartmann-Wendels, Thomas & Mählmann, Thomas & Versen, Tobias, 2009. "Determinants of banks' risk exposure to new account fraud - Evidence from Germany," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 347-357, February.
  59. Cowan, Adrian M. & Cowan, Charles D., 2004. "Default correlation: An empirical investigation of a subprime lender," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 753-771, April.
  60. 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.
  61. Rösch, Daniel & Scheule, Harald, 2009. "Credit rating impact on CDO evaluation," Global Finance Journal, Elsevier, vol. 19(3), pages 235-251.
  62. Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
  63. Ji, Tingting, 2004. "Consumer Credit Delinquency And Bankruptcy Forecasting Using Advanced Econometrc Modeling," MPRA Paper 3187, University Library of Munich, Germany.
  64. Riachi, Ilham & Schwienbacher, Armin, 2013. "Securitization of corporate assets and executive compensation," Journal of Corporate Finance, Elsevier, vol. 21(C), pages 235-251.
  65. Gutierrez Girault, Matias, 2006. "Non – parametric estimation of conditional and unconditional loan portfolio loss distributions with public credit registry data," MPRA Paper 9798, University Library of Munich, Germany, revised Jun 2007.
  66. Altman, Edward I. & Bharath, Sreedhar T. & Saunders, Anthony, 2002. "Credit ratings and the BIS capital adequacy reform agenda," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 909-921, May.
  67. Sundmacher, Maike & Ellis, Craig, 2011. "Bank 'ratings arbitrage': Is LGD a blind spot in economic capital calculations?," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 6-11, January.
  68. Andre Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans, 2003. "Tail behaviour of credit loss distributions for general latent factor models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(4), pages 337-357.
  69. Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden).
  70. Mark Carey & Mark Hrycay, 2000. "Parameterizing credit risk models with rating data," Finance and Economics Discussion Series 2000-47, Board of Governors of the Federal Reserve System (U.S.).
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