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Parameterizing credit risk models with rating data
Carey, Mark S.; Hrycay, Mark - 2000
Persistent link: https://www.econbiz.de/10001527071
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A review of backtesting and backtesting procedures
Campbell, Sean D. - 2005
Persistent link: https://www.econbiz.de/10002798350
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Economic and regulatory capital allocation for revolving retail exposures
Perli, Roberto; Nayda, William I. - 2003
Persistent link: https://www.econbiz.de/10001787394
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How accurate are value-at-risk models at commercial banks?
Berkowitz, Jeremy; O'Brian, James - 2001
Persistent link: https://www.econbiz.de/10001601694
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A framework for assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009
Persistent link: https://www.econbiz.de/10003911902
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Credit spreads as predictors of real-time economic activity : a Bayesian model-averaging approach
Faust, Jon; Gilchrist, Simon; Wright, Jonathan H.; … - 2012
Persistent link: https://www.econbiz.de/10009715491
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A risk-factor model foundation for ratings-based bank capital rules
Gordy, Michael B. - 2002
Persistent link: https://www.econbiz.de/10001725288
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Economic and regulatory capital allocation for revolving retail exposures
Perli, Roberto (contributor); Nayda, William I. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001900990
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Dimensions of credit risk and their relationship to economic capital requirements
Carey, Mark S. - 2000
Persistent link: https://www.econbiz.de/10001469148
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The effects of bank capital buffers on bank lending and firm activity : what can we learn from five years of stress-test results?
Berróspide, José M.; Edge, Rochelle M. - 2019
Persistent link: https://www.econbiz.de/10012181763