We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … the Basel II (and III) regulations to “strengthen the soundness and stability of banks”. --Banking ; regulation ; credit …

-risk borrowers in the foreign bank’s loan profile and correspondingly, higher default rates. We analyze the results to derive …

the regulatory risk measures easily interpretable figures i.e. the Worst-Case Default Rate (WCDR) and the Worst-Case Loss …

the regulatory risk measures easily interpretable figures i.e. the Worst-Case Default Rate (WCDR) and the Worst-Case Loss …

default and not the estimation of the asset correlation given that, in practice, banks are not allowed to modify this … parameter. We study the stochastic characteristics of the probability of default estimator that can be derived from the … easily implemented correction ensures that the probability of observing an exception (i.e. a default rate higher than the …

This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities … default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by …