| | JEL Classification G18
"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 G18 classification. (sorted by date) Düllmann, Klaus and Nancy Masschelein, "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios", Journal of Financial Services Research, Vol. 32, No. 1-2, (October 2007), pp. 55-79. [Abstract] Default Estimation for Low Default Portfolios
by Nicholas Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) –- 27 pages -- December 23, 2005 Non-Linear Effects of Bond Rating Changes
by Philippe Jorion of the University of California at Irvine, and
Gaiyan Zhang of the University of California at Irvine
(166K PDF) –- 34 pages -- March 2005 Sub-additivity Re-examined: The case for Value-at-Risk
by Jon Danielsson of the London School of Economics,
Bjorn N. Jorgensen of the Columbia Business School,
Mandira Sarma of Eindhoven University of Technology, and
Casper G. de Vries of Erasmus University
(200K PDF) -- 21 pages -- February 28, 2005 Optimal Credit Limit Management Under Different Information Regimes
by Markus Leippold of the University of Zürich,
Paolo Vanini of the Swiss Banking Institute, University of Zürich & Zürcher Kantonalbank, and
Silvan Ebnoether of Zürcher Kantonalbank
(466K PDF) -- 29 pages -- February 27, 2005 How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
by Evan Gatev of Boston College,
Til Schuermann of the Federal Reserve Bank of New York & Wharton, and
Philip E. Strahan of Boston College, Wharton , & NBER
(165K PDF) -- 36 pages -- February 2005 Renault, Olivier and Olivier Scaillet, "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities" Journal of Banking & Finance, Vol. 28, No. 12, (December 2004), pp. 2915-2931. [Abstract] A Simple Model of Credit Contagion
by Daniel Egloff of Zürcher Kantonalbank,
Markus Leippold of the University of Zurich, and
Paolo Vanini of the University of Southern Switzerland & Zürcher Kantonalbank
(1,555K PDF) -- 51 pages -- February 18, 2004 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, Board of Governors of the Federal Reserve System, (January 2000), pp.15-33. [Abstract]
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