Lopez, Jose A.; Saidenberg, Marc R. - Federal Reserve Bank of San Francisco - 1999
example, the 1997 Market Risk Amendment (MRA) formally incorporates banks' internal, value-at-risk models into regulatory … as by the IIF (1998) and ISDA (1998), argue that credit risk models should also be used to determine risk … forecasts available due to the long planning horizons typical of credit risk models. Using a panel data approach, we propose …