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A survey of cyclical effects in credit risk measurement model

Allen, Linda; Saunders, Anthony - Bank for International Settlements (BIS) - 2003

We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors. Few models adjust loss rates (loss...

Persistent link: https://www.econbiz.de/10005127748

Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature

Allen, Linda; Saunders, Anthony - In: Journal of Financial Services Research 26 (2004) 2, pp. 161-191

Persistent link: https://www.econbiz.de/10005680171

Deposit Insurance and Regulatory Forbearance: Are Caps on Insured Deposits Optimal?

Dreyfus, Jean-Francois; Saunders, Anthony; Allen, Linda - In: Journal of Money, Credit and Banking 26 (1994) 3, pp. 412-38

Persistent link: https://www.econbiz.de/10005530179

Bank size, collateral, and net purchase behavior in the federal funds market: empirical evidence a note

Allen, Linda; Peristiani, Stavros; Saunders, Anthony - Federal Reserve Bank of Philadelphia - 1987

Persistent link: https://www.econbiz.de/10005389660

Incentives to engage in bank window-dressing: manager vs. stockholder conflicts

Allen, Linda; Saunders, Anthony - Federal Reserve Bank of Philadelphia - 1988

Persistent link: https://www.econbiz.de/10005389690

The pricing of retail deposits: Concentration and information

Allen, Linda; Saunders, Anthony; Udell, Gregory F. - In: Journal of Financial Intermediation 1 (1991) 4, pp. 335-361

Persistent link: https://www.econbiz.de/10005117943

Issues in the credit risk modeling of retail markets

Allen, Linda; Delong, Gayle; Saunders, Anthony - In: Journal of banking & finance 28 (2004) 4, pp. 727-752

Persistent link: https://www.econbiz.de/10005884531

The Role of Banks in Dividend Policy

Allen, Linda; Gottesman, Aron; Saunders, Anthony; Tang, Yi - In: Financial Management 41 (2012) 3, pp. 591-613

Persistent link: https://www.econbiz.de/10010569955

Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms

Saunders, Anthony; Allen, Linda - 2010 - 3. ed.

Persistent link: https://www.econbiz.de/10004956494

Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms

Saunders, Anthony - 2010 - 3rd ed (Online-Ausg.)

A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology....

Persistent link: https://www.econbiz.de/10012683458