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Basel-2 capital adequacy : computing the "fair" capital charge for loan commitment "true" credit risk

Chateau, Jean-Pierre D.; Wu, J. - In: International review of financial analysis 16 (2007) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10003407483

Marking-to-model credit and operational risks of loan commitments : a Basel-2 advanced internal ratings-based approach

Chateau, Jean-Pierre D. - In: International review of financial analysis 18 (2009) 5, pp. 260-270

Within a marking-to-model framework, this research computes the bank's capital charge for credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in three steps. The first one prices commitment credit risk as a Gram-Charlier put value and determines the...

Persistent link: https://www.econbiz.de/10003936604

Beyong Basel-2 simplified standardized approach : credit risk valuation of short-term loan commitments

Chateau, Jean-Pierre D. - In: International review of financial analysis 16 (2007) 5, pp. 412-433

Persistent link: https://www.econbiz.de/10003612960

Ratings-based credit risk modelling : an empirical analysis

Nickell, Pamela; Perraudin, William R. M.; Varotto, Simone - In: International review of financial analysis 16 (2007) 5, pp. 434-451

Persistent link: https://www.econbiz.de/10003612970

Macroeconomic determinants of credit risk : recent evidence from a cross country study

Ali, Asghar; Daly, Kevin James - In: International review of financial analysis 19 (2010) 3, pp. 165-171

Persistent link: https://www.econbiz.de/10008992306

Credit contagion in the presence of non-normal shocks

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139

Persistent link: https://www.econbiz.de/10011317232

Bank "ratings arbitrage" : is LGD a blind spot in economic capital calculations?

Sundmacher, Maike; Ellis, Craig - In: International review of financial analysis 20 (2011) 1, pp. 6-11

Persistent link: https://www.econbiz.de/10009295931

The stochastic-volatility American put option of banks' credit line commitments : valuation and policy implications

Chateau, Jean-Pierre D.; Dufresne, D. - In: International review of financial analysis 11 (2002) 2, pp. 159-181

Persistent link: https://www.econbiz.de/10001715955

The real impact of ratings-based capital rules on the finance-growth nexus

Hasan, Iftekhar; Hassan, Gazi M.; Kim, Suk-Joong; Wu, Eliza - In: International review of financial analysis 73 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012803740

Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards

Lin, Che-chun; Prather, Larry J.; Chu, Ting-heng; Tsay, … - In: International review of financial analysis 27 (2013), pp. 115-122

Persistent link: https://www.econbiz.de/10009736923

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