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Do banks’ internal Basel risk estimates reflect risk?
Barakova, Irina; Palvia, Ajay - In: Journal of financial stability 13 (2014), pp. 167-179
Persistent link: https://www.econbiz.de/10011288864
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Does Basel II affect the market valuation of discretionary loan loss provisions?
Hamadi, Malika; Heinen, Andréas; Linder, Stefan; … - In: Journal of banking & finance 70 (2016), pp. 177-192
Persistent link: https://www.econbiz.de/10011635194
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Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?
Jacobson, Tor; Lindé, Jesper; Roszbach, Kasper - In: Journal of Financial Services Research 28 (2005) 1, pp. 43-75
Persistent link: https://www.econbiz.de/10005810175
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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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The measure of model risk in credit capital requirements
Baviera, Roberto - In: Finance research letters 44 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014494868
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Optimal loan portfolio under regulatory and internal constraints
Okawara, Makoto; Takahashi, Akihiko - 2023
Persistent link: https://www.econbiz.de/10014266283
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....
Persistent link: https://www.econbiz.de/10009751062
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ROM simulation : applications to stress testing and VaR
Alexander, Carol; Ledermann, Daniel - 2012
Persistent link: https://www.econbiz.de/10009722161
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Concentration risk model for Greek bank's credit portfolio
Lefcaditis, Constantinos; Tsamis, Anastasios; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10010252215