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) Risk Transfer with CDOs
by Jan Pieter Krahnen of Goethe University Frankfurt,
Christian Wilde of Goethe University Frankfurt
(190K PDF) -- 23 pages -- April 28, 2008 Adjusting Multi-Factor Models for Basel II-consistent Economic Capital
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
(611K PDF) -- 45 pages -- February 22, 2008 Recovery Rates, Default Probabilities and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(378K PDF) -- 41 pages -- January 23, 2008 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 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. [Abstract] Regulatory Treatment of the Double Default Effect under the New Basel Accord: How conservative is it
by Peter Grundke of the University of Cologne
(282K PDF) –- 34 pages -- February 2007 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 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 Recovery Rates, Default Probabilities and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos González-Aguado of CEMFI
(455K PDF) -- 40 pages -- November 28, 2006 Modeling Credit Risk for SMEs: Evidence from the US market
by Edward I. Altman of New York University, and
Gabriele Sabato of the University of Rome "La Sapienza"
(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 and UPNA, and
Rafael Repullo of CEMFI and 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 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 Forward-Looking Estimation of Default Probabilities with Italian Data
by Giuseppe Marotta of the University of Modena and Reggio Emilia,
Chiara Pederzoli of the University of Milano Bicocca, and
Costanza Torricelli of the University of Modena and 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 On Sovereign Credit Migration: Small-sample properties and rating evolution
by Ana-Maria Fuertes of the City University London, and
Elena Kalotychou of the City University London
(621K PDF) -- 45 pages -- September 15, 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 at Irvine, and
Gaiyan Zhang of the University of California at 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 Modeling: A Review of the Literature and Empirical Evidence", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 183-208. [Abstract] 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 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
(5,676K PDF) -- 72 pages -- February 20, 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 Stress Testing: A Review of Key Concepts
by Martin Čihák of the Cez National Bank
(333K PDF) -- 34 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 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 and Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia and 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. [Abstract] 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", Vol. 12, No. 1, (March 2003), pp. 99-126. [Abstract] 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 and Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi and 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 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. [Abstract] 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 Board of Governors of the Federal Reserve System
(76K PDF) -- 33 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. 2-3, (October 2001), pp. 233-266. [Abstract] 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 and 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 Board of Governors of the Federal Reserve System
(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., Stuart M. Turnbull, "The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, Cornell University, Canadian Imperial Bank of Commerce, (January 1, 2000) pp. 271-299. [Abstract] 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, Board of Governors of the Federal Reserve System, (January 2000), pp.15-33. [Abstract] Do Capital Adequacy Requirements Reduce Risks in Banking?
by Jürg Blum of the University of Freiburg
(148K PDF) -- 17 pages -- May 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 A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
by Chunsheng Zhou of the Board of Governors of the Federal Reserve System
(349K PDF) -- 49 pages -- March 1997 Duffee Gregory R., "On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, Federal Reserve Board, (June 1, 1996), pp. 805-833. [Abstract]
[Home] [JEL Classification] | 
