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Stress-Testing Probability of Default and Migration Rate with Respect to Basel II Requirements

Miu, Peter - 2009

Basel II implementation requires the estimations of probability of default (PD) and migration rate under hypothetical or historically observed stress scenarios. Typically, financial institutions first forecast selected macroeconomic variables under these stress scenarios and then estimate the...

Persistent link: https://www.econbiz.de/10012718459

Determining hurdle rate and capital allocation in credit portfolio management

Miu, Peter; Ozdemir, Bogie; Cubukgil, Evren; Giesinger, … - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011667855

Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9

Miu, Peter; Ozdemir, Bogie - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 53-83

Persistent link: https://www.econbiz.de/10011777684

Is an oligopolistic banking system more resilient and at what cost? A study of the competitiveness of the Canadian banking structure

Ozdemir, Bogie; Giesinger, Michael - In: Journal of risk management in financial institutions 13 (2019/2020) 4, pp. 308-337

Persistent link: https://www.econbiz.de/10012504398

Basel II - Validating Internal Rating Systems: The Move from Basel II Compliance to Continuous Improvement - A continually improving credit rating system will reduce losses in the...

Ozdemir, Bogie - In: The RMA-journal 91 (2009) 4, pp. 80-86

Persistent link: https://www.econbiz.de/10008162884

Value optimisation in a regulatory constrained regime : a new look at risk vs return optimisation

Miu, Peter; Ozdemir, Bogie; Giesinger, Michael - In: Journal of risk management in financial institutions 5 (2011/12) 1, pp. 10-35

Persistent link: https://www.econbiz.de/10009883710

Can Basel III work? : examining the new capital stability rules by the Basel Committee ; a theoretical and empirical study of capital buffers

Miu, Peter; Ozdemir, Bogie; Giesinger, Michael - In: Journal / The Capco Institute : journal of financial … 29 (2010), pp. 31-42

Persistent link: https://www.econbiz.de/10009895936

Stress-testing probability of default and migration rate with respect to Basel II requirements

Miu, Peter; Ozdemir, Bogie - In: The journal of risk model validation 3 (2009/10) 4, pp. 3-38

Persistent link: https://www.econbiz.de/10009911485

Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?

Liu, Wenchien; Miu, Peter; Chang, Yuanchen; Ozdemir, Bogie - In: Journal of financial intermediation 21 (2012) 1, pp. 123-151

Persistent link: https://www.econbiz.de/10009819831

A coherent economic framework to model correlations between PD, LGD and EaD, and its applications in EaD modelling and IFRS-9

Miu, Peter; Ozdemir, Bogie - In: Journal of risk management in financial institutions 16 (2022/2023) 1, pp. 52-78

Persistent link: https://www.econbiz.de/10014293052

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