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Quantifying and explaining implicit public guarantees for European banks

Toader, Oana - In: International review of financial analysis 41 (2015), pp. 136-147

Persistent link: https://www.econbiz.de/10011508621

Are corporates' target leverage ratios time-dependent?

Hui, Cho H.; Lo, C. F.; Huang, M. X. - In: International review of financial analysis 15 (2006) 3, pp. 220-236

Persistent link: https://www.econbiz.de/10003348579

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

Special issue: Credit ; aspects of credit risk

2007

Persistent link: https://www.econbiz.de/10003612681

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

A simple continous measure of credit risk

Byström, Hans N. E.; Kwon, Oh Kang - In: International review of financial analysis 16 (2007) 5, pp. 508-523

Persistent link: https://www.econbiz.de/10003612983

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

Covered interest rate parity in emerging markets

Skinner, Frank S.; Mason, Andrew - In: International review of financial analysis 20 (2011) 5, pp. 355-363

Persistent link: https://www.econbiz.de/10009492093

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