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Credit ratings and the standardised approach to credit risk in Basel II

Van Roy, Patrick - 2005

This paper simulates the minimum capital requirements for the wholesale exposures of a medium-sized bank in each EMU country depending on the credit rating agencies chosen by the bank to risk-weight its exposures in the standardised approach to credit risk in Basel II. Three main results emerge...

Persistent link: https://www.econbiz.de/10011604563

An improved multivariate Markov chain model for credit risk

Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; … - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 83-106

Persistent link: https://www.econbiz.de/10003927496

From actual to risk-neutral default probabilities : Merton and beyond

Berg, Tobias - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 55-86

Persistent link: https://www.econbiz.de/10003965724

Treatment of double default effects within the granularity adjustment for Basel II

Ebert, Sebastian; Lütkebohmert-Holtz, Eva - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 3-33

Persistent link: https://www.econbiz.de/10009010639

Evaluating the performance of static versus dynamic models of credit default : evidence from long-term small business administration-guaranteed loans

Glennon, Dennis C.; Nigro, Peter J. - In: The journal of credit risk : published quarterly by … 7 (2011/12) 2, pp. 3-35

Persistent link: https://www.econbiz.de/10009241313

Valuation differences between credit default swap and corporate bond markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 3-46

Persistent link: https://www.econbiz.de/10010233818

Dynamic affordability assessment : predicting an applicant's ability to repay over the life of the loan

Bijak, Katarzyna; Thomas, Lyn C.; Mues, Christophe - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10010373359

Informed bond trading, corporate yield spreads, and corporate default prediction

Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694

Persistent link: https://www.econbiz.de/10010347894

Default predictors in credit scoring : evidence from France's retail banking instiution

Nguyen, Ha-thu - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 41-66

Persistent link: https://www.econbiz.de/10011298057

A parametric approach to counterparty and credit risk

Orlando, Giuseppe; Härtel, Maximilian - In: The journal of credit risk : published quarterly by … 10 (2014) 4, pp. 97-133

Persistent link: https://www.econbiz.de/10010495826