JEL Classification G28
"Government Policy and Regulation"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G28 classification. (sorted by date) An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 Kenyon, Chris, and Richard Kenyon, "DVA for Assets", RISK, 26(2), February 2013, pp. 72-75. CVA and Wrong Way Risk
by John Hull of University of Toronto, and
Alan White of University of Toronto
(468K PDF) -- 25 pages -- July 6, 2012 Systemic Risk Contributions: A credit portfolio approach
by Natalia Puzanova of Deutsche Bundesbank, and
Klaus Düllmann of Deutsche Bundesbank
(477K PDF) -- 34 pages -- May 21, 2012 Stress Testing Banks
by Til Schuermann of Oliver Wyman & Wharton Financial Institutions Center
(139K PDF) -- 61 pages -- April 17, 2012 Khieu, Hinh D., Donald J. Mullineaux, Ha-Chin Yi, "The Determinants of Bank Loan Recovery Rates", Journal of Banking & Finance, Vol. 36, No. 4, (April 2012), pp. 923-933. Empirical Evidence for the Structural Recovery Model
by Alexander Becker of University of Duisburg-Essen, Germany,
Alexander F.R. Koivusalo of Koivusalo Capital, Sweden, and
Rudi Schäfer of University of Duisburg-Essen, Germany
(163K PDF) -- 18 pages -- March 14, 2012 Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Vol. 103, No. 3, (March 2012), pp. 611-631. Default Probability Estimation in Small Samples: With an application to sovereign bonds
by Walter Orth of University of Cologne
(256K PDF) -- 24 pages -- February 9, 2012 Qi, Min and Xinlei Zhao, "Comparison of Modeling Methods for Loss Given Default", Journal of Banking & Finance, Vol. 35, No. 11, (November 2011), pp. 2842-2855. CoVaR
by Tobias Adrian of the Federal Reserve Bank of New York, and
Markus K. Brunnermeier of the Princeton University
(350K PDF) -- 44 pages -- September 15, 2011 The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 中监为体、西监为用 or the specifics of Chinese bank regulation
by Violaine Cousin - Freelance, Munich, Germany
(237K PDF) -- 34 pages -- June 2011 Capital Incentives and Adequacy for Securitizations
by Daniel Rösch of Leibniz University of Hannover, and
Harald Scheule of University of Technology, Sydney
(379K PDF) -- 52 pages -- June 2011 Pitfalls in Modeling Loss Given Default of Bank Loans
by Marc Gürtler of the Braunschweig Institute of Technology, and
Martin Hibbeln of the Braunschweig Institute of Technology
(640K PDF) -- 31 pages -- May 12, 2011 Dependence of Defaults and Recoveries in Structural Credit Risk Models
by Rudi Schäfer of the University of Duisburg-Essen, and
Alexander F.R. Koivusalo of Danske Capital
(2,413K PDF) -- 19 pages -- March 30, 2011 Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why bank equity is not expensive
by Anat R. Admati of the Stanford University,
Peter M. DeMarzo of the Stanford University,
Martin F. Hellwig of the Max Planck Institute for Research on Collective Goods, and
Paul Pfleiderer of the Stanford University
(470K PDF) -- 78 pages -- March 23, 2011 Calibration of Structural and Reduced-form Recovery Models
by Alexander F.R. Koivusalo of Danske Capital & the University of Duisburg-Essen, and
Rudi Schäfer of the University of Duisburg-Essen
(452K PDF) -- 16 pages -- February 23, 2011 Transition Probability Matrix Methodology for Incremental Risk Charge
by Tzahi Yavin of the Royal Bank of Canada,
Hu Zhang of the Royal Bank of Canada,
Eugene Wang of the Royal Bank of Canada, and
Michael A. Clayton of the Royal Bank of Canada
(514K PDF) -- 49 pages -- January 17, 2011 Default and Recovery Risk Dependencies in a Simple Credit Risk Model
by Benjamin Bade of the University of Hannover,
Daniel Rösch of the University of Hannover, and
Harald Scheule of the University of Melbourne
(618K PDF) -- 16 pages -- January 2011 Systemic Risk Contributions
by Xin Huang of the Federal Reserve Board,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Federal Reserve Board
(514K PDF) -- 49 pages -- January 2011 Witzany, Jiří, "Estimating LGD Correlation", IUP Journal of Financial Risk Management, Vol. 52, No. 4, (December 2010), pp. 73-83. Credit Allocation, Capital Requirements and Procyclicality
by Esa Jokivuolle of the Bank of Finland,
Ilkka Kiema of the University of Helsinki, and
Timo Vesala of the Tapiola Group
(514K PDF) -- 49 pages -- October 28, 2010 Is Hazard or Probit more Accurate in Predicting Financial Distress? Evidence from U.S. bank failures
by Rebel A. Cole of the DePaul University, and
Qiongbing Wu of the University of Western Sydney
(224K PDF) -- 49 pages -- August 1, 2010 Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(170K PDF) -- 30 pages -- July 24, 2010 A Systematic Approach to Multi-period Stress Testing of Portfolio Credit Risk
by Thomas Breuer of the Fachhochschule Vorarlberg,
Javier Mencia of the Banco de España, and
Martin Summer of the Oesterreichische Nathionalbank
(754K PDF) -- 26 pages -- June 2010 Structured Finance Influence on Financial Market Stability: Evaluation of current regulatory developments
by Sebastian A. Schuetz of the University of Lüneburg
(1,187K PDF) -- 43 pages -- June 2010 Bank Loan Recovery Rates: Measuring and nonparametric density estimation
by Raffaella Calabrese of the University of Milano-Bicocca, and
Michele Zenga of the University of Milano-Bicocca
(392K PDF) -- 9 pages -- May 2010 Too Interconnected To Fail: Financial contagion and systemic risk in network model of CDS and other credit enhancement obligations of US banks
by Sheri Markose of the University of Essex,
Simone Giansante of the University of Essex,
Mateusz Gatkowski of the University of Essex, and
Ali Rais Shaghaghi of the University of Essex
(1,264K PDF) -- 60 pages -- April 21, 2010 Correlation in Credit Risk Changes
by Xiaoling Pu of Kent State University, and
Xinlei Zhao of the Office of the Comptroller of the Currency
(206K PDF) --41 pages -- February 2, 2010 Modeling Bank Loan LGD of Corporate and SME Segments: A case study
by Radovan Chalupka of Charles University in Prague, and
Juraj Kopecsni of Charles University in Prague
(470K PDF) -- 23 pages -- October 2009 Measuring Concentration Risk for Regulatory Purposes
by Marc Gürtler of the Technical University at Braunschweig,
Martin Hibbeln of the Technical University at Braunschweig, and
Clemens Vöhringer of the Technical University at Braunschweig
(656K PDF) -- 49 pages -- September 5, 2009 French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009 How to Find Plausible, Severe and Useful Stress Scenarios
by Thomas Breuer of the Fachhochschule Vorarlberg,
Martin Jandačka of the Fachhochschule Vorarlberg,
Klaus Rheinberger of the Fachhochschule Vorarlberg, and
Martin Summer of the Oesterreichische Nathionalbank
(496K PDF) -- 20 pages -- September 2009 A New Capital Regulation for Large Financial Institutions
by Oliver Hart of Harvard University, and
Luigi Zingales of the University of Chicago
(147K PDF) -- 30 pages -- June 2009 Predicting Bank Failures Using a Simple Dynamic Hazard Model
by Rebel A. Cole of DePaul University, and
Qiongbing Wu of the University of Newcastle
(159K PDF) -- 30 pages -- April 13, 2009 A Framework for Assessing the Systemic Risk of Major Financial Institutions
by Xin Huang of the University of Oklahoma,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(377K PDF) -- 44 pages -- April 2009 Recovery Rates, Default Probabilities, and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(217K PDF) -- 36 pages -- March 30, 2009 Bank Monitoring Incentives and Optimal CDOs
by Henri Pagès of Banque de France
(295K PDF) -- 33 pages -- March 27, 2009 Stefanescu, Catalina, Radu Tunaru, Stuart M. Turnbull, "The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian approach", Journal of Empirical Finance, Vol. 16, No. 2, (March 2009), pp. 216-234. The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 Witzany, Jiří, "Unexpected Recovery Risk and LGD Discount Rate Determination", European Financial and Accounting Journal, Vol. 4, No. 1, (2009), pp. 61-84. The Future of Securitization
by Günter Franke of the University of Konstanz & Goethe University, and
Jan Pieter Krahnen of Goethe-University Frankfurt
(321K PDF) -- 59 pages -- November 28, 2008 Macro-model-based Stress Testing of Basel II Capital Requirements
by Esa Jokivuolle of the Bank of Finland,
Kimmo Virolainen of the Bank of Finland, and
Oskari Vähämaa of the Bank of Finland
(1,390K PDF) -- 30 pages -- September 2008 Risk Transfer with CDOs
by Jan Pieter Krahnen of Goethe University Frankfurt, and
Christian Wilde of Goethe University Frankfurt
(190K PDF) -- 23 pages -- April 28, 2008 Regulatory Treatment of the Double Default Effect under the New Basel Accord: How conservative is it
by Peter Grundke of the University of Cologne
(453K PDF) -- 23 pages -- March 2008 An Empirical Evaluation of Structural Credit Risk Models
by Nikola A Tarashev of the Bank for International Settlements
(674K PDF) -- 53 pages -- March 2008 Hamerle, Alfred, Daniel Rösch, "Parameterizing Credit Risk Models", Journal of Credit Risk, Vol. 2, No. 4, (Winter 2006/2007), pp. 101-122. Estimating Spillover Risk Among Large EU Banks
by Martin Čihák of the International Monetary Fund, and
Li Lian Ong of the International Monetary Fund
(604K PDF) -- 28 pages -- November 2007 Recovery Rates of Commercial Lending: Empirical evidence for German companies
by Jens Grunert of University of Tuebingen, and
Martin Weber of University of Mannheim & Centre for Economic Policy Research
(339K PDF) -- 50 pages -- October 2007 Rösch, Daniel and Harald Scheule, " Stress-Testing Credit Risk Parameters: An application to retail loan portfolios", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 55-75. Liebig, Thilo, Daniel Porath, Beatrice Weder, Michael Wedow, "Basel II and Bank Lending to Emerging Markets: Evidence from the German banking sector", Journal of Banking & Finance, Vol. 31, No. 2, (February 2007), pp. 401-418. Estimating Credit Contagion in a Standard Factor Model
by Daniel Rösch of the University of Regensburg, and
Birker Winterfeldt of the University of Regensburg
(253K PDF) -- 16 pages -- January 30, 2007 Rating Philosophies: Some Clarifications
by Zoltan Varsanyi of the Magyar Nemzeti Bank
(245K PDF) -- 16 pages -- January 2007 Granularity Adjustment for Basel II
by Michael B. Gordy of Federal Reserve Board, and
Eva Lütkebohmert of University of Bonn
(375K PDF) -- 40 pages -- 2007 Do Economic Downturns Have an Impact on the Loss Given Default of Mobile Lease Contracts? An Empirical Study for the German Leasing Market
by Thomas Hartmann-Wendels of the University of Cologne, and
Martin Honal of the University of Cologne
(268K PDF) -- 34 pages -- December 2006 Modeling Credit Risk for SMEs: Evidence from the US market
by Edward I. Altman of New York University, and
Gabriele Sabato of ABN AMRO, Amsterdam
(333K PDF) -- 43 pages -- November 2006 Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
by Edward Altman of New York University
(190K PDF) -- 36 pages -- November 2006 Are Corporates' Target Leverage Ratios Time-Dependent?
by Cho-Hoi Hui of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the Chinese University of Hong Kong
(227K PDF) -- 17 pages -- September 2006 Capital Allocation for Portfolio Credit Risk
by Paul H. Kupiec of the Federal Deposit Insurance Corporation
(871K PDF) -- 35 pages -- August 2006 The Basel II IRB approach revisited: do we use the correct model?
by Zoltan Varsanyi of Magyar Nemzeti Bank
(132K PDF) -- 6 pages -- August 2006 Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
by Stephan Tilke of the University of Regensburg
(189K PDF) -- 15 pages -- August 2006 Estimation of the Default Risk of Publicly Traded Canadian Companies
by Georges Dionne of HEC Montréal,
Sadok Laajimi of HEC Montréal,
Sofiane Mejri of HEC Montréal, and
Madalina Petrescu of HEC Montréal
(605K PDF) -- 63 pages -- August 2006 The Effect of Fair vs. Book Value Accounting on Banks
by Katrin Burkhardt of Bundesverband Deutscher Banken, and
Roland Strausz of the Free University Berlin
(222K PDF) -- 27 pages -- July 3, 2006 Economic and Regulatory Capital in Banking: What is the Difference?
by Abel Elizalde of CEMFI & UPNA, and
Rafael Repullo of CEMFI & CEPR
(334K PDF) -- 30 pages -- July 2006 Measuring Provisions for Collateralised Retail Lending
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong,
Tak-Chuen Wong of the Hong Kong Monetary Authority, and
Po-Kong Man of the Chinese University of Hong Kong
(383K PDF) - 19 pages -- July 2006 Estimating Probabilities of Default for German Savings Banks and Credit Cooperatives
by Daniel Porath of the University of Applied Sciences at Mainz
(371K PDF) -- 20 pages -- July 2006 Should Banks Be Diversified? Evidence from individual bank loan portfolios
by Viral V. Acharya of the London Business School,
Iftekhar Hasan of the Rensselaer Polytechnic Institute, and
Anthony Saunders of New York University
(301K PDF) -- 58 pages -- May 2006 Bank Failure Prediction: A Two-Step Survival Time Approach
by Michael Halling of the University of Vienna, and
Evelyn Hayden of the Austrian National Bank
(1,244K PDF) -- 31 pages -- May 2006 The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
by Andrea Resti of Bocconi University, and
Andrea Sironi of Bocconi University
(337K PDF) -- 35 pages -- May 2006 On Sovereign Credit Migration: A study of alternative estimators and rating dynamics
by Ana-Maria Fuertes of the City University London, and
Elena Kalotychou of the City University London
(2,967K PDF) -- 39 pages -- February 2006 Pederzoli, Chiara and Costanza Torricelli, " Capital Requirements and Business Cycle Regimes: Forward-looking modelling of default probabilities", Journal of Banking & Finance, Vol. 29, No. 12, (December 2005), pp. 3121-3140. Forward-Looking Estimation of Default Probabilities with Italian Data
by Giuseppe Marotta of the University of Modena & Reggio Emilia,
Chiara Pederzoli of the University of Milano Bicocca, and
Costanza Torricelli of the University of Modena & Reggio Emilia
(160K PDF) -- 18 pages -- November 2005 The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
by Edward I. Altman of New York University,
Brooks Brady of Standard & Poor's,
Andrea Resti of Bergamo University, and
Andrea Sironi of Bocconi University
(428K PDF) -- 26 pages -- November 2005 Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
by Edward I. Altman of New York University, and
Gabriele Sabato of the University of Rome "La Sapienza"
(342K PDF) -- 28 pages -- October 2005 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(668K PDF) -- 73 pages -- October 2005 Kuritzkes, Andrew, Til Schuermann, Scott M. Weiner, "Deposit Insurance and Risk Management of the U.S. Banking System: What is the loss distribution faced by the FDIC?", Journal of Financial Services Research, Vol. 27, No. 3, (September 2005), pp. 217-242. Stress Testing of Banking Systems
by Martin Čihák of the International Monetary Fund
(329K PDF) -- 23 pages -- September 2005 A Multifactor Approach for Systematic Default and Recovery Risk
by Daniel Rösch of the University of Regensburg, and
Harald Scheule of the University of Melbourne
(320K PDF) -- 32 pages -- September 2005 Benchmarking Model of Default Probabilities of Listed Companies
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Tak-Chuen Wong of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the The Chinese University of Hong Kong
(2,054K PDF) -- 11 pages -- September 2005 Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(325K PDF) -- 33 pages -- August 5, 2005 Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(763K PDF) -- 29 pages -- August 1, 2005 Confidence Intervals for Probabilities of Default
by Samuel Hanson of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(388K PDF) -- 44 pages -- July 19, 2005 Economic and Regulatory Capital What is the Difference?
by Abel Elizalde of CEMFI and UPNA, and
Rafael Repullo of CEMFI and CEPR
(315K PDF) -- 30 pages -- June 2005 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(594K PDF) -- 70 pages -- April 2005 Bank Loan Losses-Given-Default: A case study
by Jean Dermine of INSEAD (Fontainebleau), and
Cristina Neto de Carvalho of Universidade Catolica Portuguesa (Lisbon)
(133K PDF) -- 40 pages -- March 10, 2005 Modelling the Economic Value of Credit Rating Systems
by Rainer Jankowitsch of Vienna University of Economics and Business Administration, and
Stefan Pichler of Vienna University of Economics and Business Administration
(258K PDF) -- 38 pages -- March 2005 Non-Linear Effects of Bond Rating Changes
by Philippe Jorion of the University of California, Irvine, and
Gaiyan Zhang of the University of California, Irvine
(166K PDF) -- 34 pages -- March 2005 A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
by Joshua Rosenberg of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(641K PDF) - 69 pages -- February 4, 2005 Loan Pricing under Basel Capital Requirements
by Rafael Repullo of CEMFI & CEPR, and
Javier Suarez of CEMFI & CEPR
(328K PDF) -- 37 pages -- July 2004 Altman, Edward, Andrea Resti, and Andrea Sironi, " Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 183-208. Structural Models in Consumer Credit
by Fabio Wendling Muniz de Andrade of EAESP-FGV / SERASA - Brazil, and
Lyn Thomas of the University of Southampton
(183K PDF) -- 29 pages -- July 2004 Estimating Probabilities of Default
by Til Schuermann of the Federal Reserve Bank of New York, and
Samuel Hanson of the Federal Reserve Bank of New York
(382K PDF) -- 36 pages -- July 2004 Measurement, Estimation and Comparison of Credit Migration Matrices
by Yusuf Jafry of the Risk Integrated Group, and
Til Schuermann of the Federal Reserve Bank of New York
(389K PDF) -- 53 pages -- March 5, 2004 What Do We Know About Loss-Given-Default?
by Til Schuermann of the Federal Reserve Bank of New York
(272K PDF) -- 30 pages -- February 2004 Classification and Rating of Firms in the Presence of Financial and Non-financial Information
by Thomas Mählmann of the University of Cologne
(422K PDF) -- 23 pages -- February 2004 Credit Risk Transfer and Financial Sector Performance
by Wolf Wagner of Cambridge University, and
Ian Marsh of the City University of London
(199K PDF) -- 31 pages -- January 2004 Risk Trading, Network Topology, and Banking Regulation
by Stefan Thurner of Universität Wien,
Rudolf Hanel of Universität Wien, and
Stefan Pichler of Technische Universität Wien
(402K PDF) -- 31 pages -- September 25, 2003 Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia & Università "LUISS-Guido Carli"
(122K PDF) -- 29 pages -- August 2003 Frerichs, Hergen and Gunter Löffler, " Evaluating Credit Risk Models Using Loss Density Forecasts", Journal of Risk, Vol. 5, No. 4, University of Frankfurt -- Main, (Summer 2003), pp. 1-23. Pricing Corporate Bonds with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Shun-Wai Tsang of the Chinese University of Hong Kong
(202K PDF) -- 22 pages -- Spring 2003 Sironi, Andrea and Cristiano Zazzara, " The Basel Committee Proposals for a New Capital Accord: Implications for Italian banks", Review of Financial Economics, Vol. 12, No. 1, (March 2003), pp. 99-126. An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
by Richard Johnson of the Federal Reserve Bank of Kansas City
(394K PDF) -- 34 pages -- February 2003 Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi & Università LUISS-Guido Carli
(401K PDF) -- 28 pages -- January 2003 Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
by Daniel Rösch of the University of Regensburg
(293K PDF) -- 30 pages -- November 2002 Estimation of Default Probability by Three-Factor Structural Model
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi Fai Lo of the Chinese University of Hong Kong, and
Ming Xi Huang of the Chinese University of Hong Kong
(273K PDF) -- 14 pages -- October 10, 2002 Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach
by Rosalind L. Bennett of the Federal Deposit Insurance Corporation
(222K PDF) -- 63 pages -- July 2002 Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
by Hans Rau-Bredow of the Universität Würzburg
(134K PDF) -- 16 pages -- June 14, 2002 Valuation Model of Defaultable Bond Values in Emerging Markets
by Cho-Hoi Hui of the Hong Kong Monetary Authority, and
Chi-Fai Lo of the Chinese University of Hong Kong
(158K PDF) -- 16 pages -- June 2002 Jackson, Patricia, William Perraudin, and Victoria Saporta, "Regulatory and "Economic" Solvency Standards for Internationally Active Banks", Journal of Banking & Finance, Vol. 26, No. 5, (May 2002), pp. 953-976. Sironi, Andrea, "Strengthening banks' market discipline and leveling the playing field: Are the two compatible?", Journal of Banking & Finance, Vol. 26, No. 5, (May 2002), pp. 1065-1091. Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
by Aurelio Maccario of the Università Luiss,
Andrea Sironi of the Università Bocconi, and
Cristiano Zazzara of the Università Luiss"
(357K PDF) -- 33 pages -- May 2002 Evaluating credit risk models: A critique and a proposal
by Hergen Frerichs of the University of Frankfurt, and
Gunter Löffler of the University of Frankfurt
(258K PDF) -- 52 pages -- May 2002 A Guide to Choosing Absolute Bank Capital Requirements
by Mark Carey of the Federal Reserve Board
(156K PDF) -- 23 pages -- May 2002 Sironi, Andrea, " An Analysis of European Banks' SND Issues and its Implications for the Design of a Mandatory Subordinated Debt Policy", Journal of Financial Services Research, Vol. 20, No. 2, (October 2001), pp. 233-266. Dermine, Jean, Fatma Lajeri, "Credit Risk and the Deposit Insurance Premium: A note", Journal of Economics and Business, Vol. 53, No. 5, (September-October 2001), pp. 497-508. Models of Joint Defaults in Credit Risk Management: An Assessment
by Ulrich Erlenmaier of the University of Heidelberg
(702K PDF) -- 55 pages -- July 2001 Using Credit Risk Models for Regulatory Capital: Issues and Options
by Beverly J. Hirtle of the Federal Reserve Bank of New York,
Mark Levonian of the Federal Reserve of San Francisco,
Marc Saidenberg of the Federal Reserve of New York,
Stefan Walter of the Federal Reserve of New York, and
David Wright Federal Reserve Board of Governors
(203K PDF) -- 18 pages -- March 2001 From Value at Risk to Stress Testing: The Extreme Value Approach
by François M. Longin of the Cergy-Pontoise Cedex
(498K PDF) -- 34 pages -- July 2000 Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of New York University, NBER, & the Oliver Wyman Institute, and
Til Schuermann of Oliver, Wyman & Company
(141K PDF) -- 45 pages -- April 11, 2000 Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
by Mark Carey of the Federal Reserve Board
(174K PDF) -- 40 pages -- March 15, 2000 A Comparative Analysis of Current Credit Risk Models
by Michel Crouhy of the Canadian Imperial Bank of Commerce,
Dan Galai of the Hebrew University, and
Robert Mark of the Canadian Imperial Bank of Commerce
(1,585K PDF) -- 59 pages -- January 2000 Jarrow, Robert A. and Stuart M. Turnbull, " The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 271-299. Regulatory Implications of Credit Risk Modelling
by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College
(105K PDF) -- 14 pages -- January 2000 Mingo, John J., " Policy Implications of the Federal Reserve Study of Credit Risk Models at Major U.S. Banking Institutions", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp.15-33. Do Capital Adequacy Requirements Reduce Risks in Banking?
by Jürg Blum of the University of Freiburg
(148K PDF) -- 17 pages -- May 1999 Credit Risk Modeling and Internal Capital Allocation Processes: Implications for a models-based regulatory bank capital standard
by David Jones of the Federal Reserve Board of Governors, and
John Mingo of the Federal Reserve Board of Governors
(175K PDF) -- 30 pages -- March 1999 Public Disclosure and Bank Failures
by Tito Cordella of the International Monetary Fund, and
Eduardo Levy Yeyati of the International Monetary Fund
(1,219K PDF) -- 22 pages -- March 1998 Altman, Edward I. and Anthony Saunders, "Credit Risk Measurement: Developments over the last 20 years", Journal of Banking & Finance, Vol. 21, No. 11-12, (December 1997), pp. 1721-1742. Fries, Steven, Pierre Mella-Barral, William Perraudin, "Optimal Bank Reorganization and the Fair Pricing of Deposit Guarantees", Journal of Banking & Finance, Vol. 21, No. 4, (April 1997), pp. 441-468. A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
by Chunsheng Zhou of the Federal Reserve Board
(349K PDF) -- 49 pages -- March 1997 Duffee Gregory R., " On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, (June 1996), pp. 805-833.
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