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Basel regulatory capital formula revised

Yang, Yimin; Wu, Min - In: International journal of financial engineering 8 (2021) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10012655060

An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework

Bertagna, Andrea; Deliu, Dragos; Lopez, Luca; Nassigh, Aldo - In: Journal of risk 22 (2019/2020) 3, pp. 21-38

Persistent link: https://www.econbiz.de/10013177133

An assessment of the Fundamental Review of the Trading Book : the capital requirement impact on a stylised financial portfolio

Pederzoli, Chiara; Torricelli, Costanza - In: International journal of banking, accounting and … 12 (2021) 4, pp. 389-403

Persistent link: https://www.econbiz.de/10012694431

Credit risk capital estimation under IRB approach for banks in India

Bajaj, Richa Verma - In: Journal of quantitative economics 16 (2018) 2, pp. 475-500

Persistent link: https://www.econbiz.de/10012418500

Forward-looking asset correlations in the estimation of economic capital

Chamizo, Álvaro; Fonollosa, Alexandre; Novales, Alfonso - In: Journal of international financial markets, … 61 (2019), pp. 264-288

Persistent link: https://www.econbiz.de/10012128297

A new multi-factor risk model to evaluate funding liquidity risk of banks

Fall, Malick; Viviani, Jean-Laurent - In: The European journal of finance 22 (2016) 10/12, pp. 985-1003

Persistent link: https://www.econbiz.de/10011715289

Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23

This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...

Persistent link: https://www.econbiz.de/10012309082

The impact of asset price bubbles on credit risk measures

Jacobs, Michael <Jr.> - In: Inventi impact: emerging economies (2016) 3, pp. 160-175

Persistent link: https://www.econbiz.de/10011567800

Unexpected shortfalls of Expected Shortfall : extreme default profiles and regulatory arbitrage

Koch Medina, Pablo; Munari, Cosimo-Andrea - In: Journal of banking & finance 62 (2016), pp. 141-151

Persistent link: https://www.econbiz.de/10011634091

Capital charges under Basel II : corporate credit risk modelling and the macro economy

Carling, Kenneth; Jacobson, Tor; Lindé, Jesper; … - 2002

The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...

Persistent link: https://www.econbiz.de/10011584521