Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?
Year of publication: |
2004-04-01
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Authors: | Jacobson, Tor ; Lindé, Jesper ; Roszbach, Kasper |
Institutions: | Sveriges Riksbank |
Subject: | Internal ratings | Credit risk | Value-at-Risk | Banks | Basel II | Retail credit | SME | risk weights |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Journal of Financial Services Research, 2005, pages 43-75. The text is part of a series Working Paper Series Number 162 29 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; G33 - Bankruptcy; Liquidation |
Source: |
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Jacobson, Tor, (2004)
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Jacobson, Tor, (2004)
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Jacobson, Tord, (2003)
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Exploring Interactions between Real Activity and the Financial Stance
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Jacobson, Tor, (2008)
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Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
Carling, Kenneth, (2002)
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