JEL Classification G38
"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 G38 classification. (sorted by date) Analytical Pricing of CDOs in a Multi-factor Setting by a Moment Matching Approach
by Antonio Castagna of iason Ltd.,
Fabio Mercurio of Bloomberg LP & iason Ltd., and
Paola Mosconi of Banca IMI
(213K PDF) -- 18 pages -- January 16, 2012 Debt Structure, Market Value of Firm, and Recovery Rate
by Min Qi of Office of the Comptroller of the Currency, and
Xinlei Zhao of Office of the Comptroller of the Currency
(640K PDF) -- 31 pages -- October 2011 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 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 Regulation of Credit Rating Agencies: Evidence from recent crisis
by Mai Hassan of the German University in Cairo, and
Christian Kalhoefer of the German University in Cairo
(132K PDF) -- 15 pages -- February 2011 Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries
by Antonio Castagna of iason Ltd.,
Fabio Mercurio of Bloomberg & Iason ltd., and
Paola Mosconi of Iason ltd.
(293K PDF) -- 32 pages -- June 1, 2009 Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
by Michele Bonollo of Banco Popolare & Università di Padova
Paola Mosconi of Iason Ltd, and
Fabio Mercurio of Bloomberg & Iason Ltd
(174K PDF) -- 17 pages -- January 29, 2009 Simulation Based Approach for Measuring Concentration Risk
by Joocheol Kim of Yonsei University, and
Duyeol Lee of Yonsei University
(256K PDF) -- 15 pages -- April 2007 Gordy, Michael B., Bradley Howells, "Procyclicality in Basel II: Can we treat the disease without killing the patient?", Journal of Financial Intermediation, Vol. 15, No. 3, (July 2006), pp. 395-417. Gordy, Michael B., " A Risk-factor Model Foundation for Ratings-based Bank Capital Rules", Journal of Financial Intermediation, Vol. 12, No. 3, (July 2003), pp. 199-232. The Firm's Reorganization Decision: Empirical Evidence from Canada
by Timothy C.G. Fisher of Wilfrid Laurier University, and
Jocelyn Martel of the Université de Cergy-Pontoise
(157K PDF) -- 19 pages -- May 2003 Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
by Kenneth Carling of Sveriges Riksbank,
Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(1,629K PDF) -- 54 pages -- September 2002 Morck, Randall, Bernard Yeung, and Wayne Yu, " The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260.
[Home] [JEL Classification] | 
