Downloadable Papers (sorted by date)
NEW: The Top 20 books referenced/cited in these (below listed) papers.
I've put a gray background on the top five most browsed papers in this category. (April-1)
What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
by Andrew Kuritzkes of Mercer Oliver Wyman, and
Til Schuermann of the Federal Reserve Bank of New York
(195K PDF) -- 58 pages -- March 23, 2008
Banking and Securitization
by Wenying Jiangli of the Federal Deposit Insurance Corporation,
Matthew Pritsker of the Board of Governors of the Federal Reserve System, and
Peter Raupach of the Bundesbank
(529K PDF) -- 80 pages -- November 7, 2007
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
Credit Concentration Risk: Extended multi-factor adjustment IRB model
by Yun-Hoan Oh of f1 Consulting, Korea
(565K PDF) -- 51 pages -- July 19, 2007
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
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
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
A Loss Default Simulation Model of the Federal Bank Deposit Insurance Funds
by Rosalind L. Bennett of the FDIC,
Daniel A. Nuxoll of the FDIC,
Robert A. Jarrow of Cornell University,
Michael C. Fu of the University of Maryland, and
Huiju Zhang of the University of Maryland
(144K PDF) -- 9 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
Implementing Basel II in Retail Banking: A simple statistical approach
by Alexandre Adam of BNP Paribas,
Antoine Chouillou of BNP Paribas, and
Olivier Scaillet of HEC Genève and FAME
(425K PDF) –- 17 pages -- September 16, 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
Guidance on Paragraph 468 of the Framework Document
by Basel Committee on Banking Supervision
(51K PDF) -- 12 pages -- July 2005
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
Background Note on LGD Quantification
by the Basel Committee on Banking Supervision
(142K PDF) -- 9 pages -- December 6, 2004
Market Indicators Bank Fragility and Indirect Market Discipline
by Reint Gropp of the European Central Bank,
Jukka Vesala of the Finnish Supervisory Authority, and
Giuseppe Vulpes of UniCredit Banca d'Impresa
(139K PDF) -- 10 pages -- September 2004
Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
by Leonid V. Philosophov of Moscow Committee of Bankruptcy Affairs
(405K PDF) -- 25 pages -- August 9, 2004
Loan Pricing under Basel Capital Requirements
by Rafael Repullo of CEMFI & CEPR, and
Javier Suarez of CEMFI & CEPR
(328K PDF) -- 37 pages -- July 2004
International Convergence of Capital Measurement and Capital Standards: A Revised Framework
by Basel Committee on Banking Supervision
(1,939K PDF) –- 251 pages -- June 2004
Equity and Bond Market Signals as Leading Indicators of Bank Fragility
by Reint Gropp at the European Central Bank,
Jukka Vesala at UniCredit Banca d.Impresa, and
Giuseppe Vulpes at Kaiserstrasse
(233K PDF) -- 34 pages -- June 2004
Using Securities Market Information for Bank Supervisory Monitoring
by John Krainer of the Federal Reserve Bank of San Francisco, and
Jose A. Lopez of the Federal Reserve Bank of San Francisco
(169K PDF) -- 48 pages -- May 5, 2004
Rating System Dynamics and Bank-Reported Default Probabilities under the New Basel Capital Accord
by Erik Heitfield of the Board of Governors of the Federal Reserve System
(383K PDF) -- 32 pages -- April 1, 2004
Loan-Portfolio Quality and the Diffusion of Technological Innovation
by Robert Hauswald of American University, and
Robert Marquez of the University of Maryland
(305K PDF) -- 33 pages -- March 2004
An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund,
Arnaud Jobert of the International Monetary Fund, and
Janet Kong of the International Monetary Fund
(470K PDF) -- 22 pages -- February 2004
Credit Risk Transfer and Financial Sector Performance
by Wolf Wagner of CERF and the Cambridge University, and
Ian Marsh of CERF and the City University of London
(230K PDF) -- 32 pages -- December 12, 2003
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
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
Credit Risk Factor Modeling and the Basel II IRB Approach
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Daniel Rösch of the University of Regensburg
(478K PDF) -– 32 pages -- 2003
Capital Allocation for Securitizations with Uncertainty in Loss Prioritization
by Michael Gordy of the Federal Reserve Board, and
David Jones of the Federal Reserve Board
(319K PDF) – 23 pages -- December 6, 2002
A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
by Michael B. Gordy of the Board of Governors of the Federal Reserve System
(213K PDF) -- 25 pages -- October 22, 2002
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
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
The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size
by Jose A. Lopez of the Federal Reserve Bank of San Francisco
(438K PDF) -- 65 pages -- June 17, 2002
Incorporating Equity Market Information into Supervisory Monitoring Models
by John Krainer of Federal Reserve Bank of San Francisco, and
Jose A. Lopez of Federal Reserve Bank of San Francisco
(430K PDF) -- 56 pages -- June 6, 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
Proposal for a DIRECTIVE OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on financial collateral arrangements
by the Commission of the European Communities
(153K PDF) -- 28 pages -- March 27, 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
The New Basel Capital Accord: an explanatory note
by Secretariat of the Basel Committee on Banking Supervision
(72K PDF) -- 16 pages -- January 2001
Best Practices for Credit Risk Disclosure
A discussion paper by the Basel Committee on Banking Supervision
(91K PDF) -- 27 pages -- September 2000
Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature
by João A. C. Santos of the Bank for International Settlements
(181K PDF) -- 44 pages -- September 2000
Credit Ratings and Complementary Sources of Credit Quality Information
by Basel Committee on Banking Supervision of the Bank for International Settlements
(888K PDF) -- 186 pages -- August 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
Sound Practices for Managing Liquidity in Banking Organisations
by Basel Committee for Banking Supervision of the Bank for International Settlements
(119K PDF) -- 27 pages -- February 2000
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
Range of Practice in Banks' Internal Ratings Systems
A discussion paper by the Basel Committee on Banking Supervision
(177K PDF) -- 46 pages -- January 2000
Principles for the Management of Credit Risk
A discussion paper by the Basel Committee on Banking Supervision
(135K PDF) -- 30 pages -- July 1999
Sound Practices for Loan Accounting and Disclosure
by Basel Committee for Banking Supervision of the Bank for International Settlements
(172K PDF) -- 47 pages -- July 1999
A New Capital Adequacy Framework
by Basel Committee on Banking Supervision of the Bank for International Settlements
(255K PDF) -- 62 pages -- June 1999
Do Capital Adequacy Requirements Reduce Risks in Banking?
by Jürg Blum of the University of Freiburg
(148K PDF) -- 17 pages -- May 1999
Credit Risk Rating at Large U.S. Banks
by William F. Treacy of the Federal Reserve Board of Governors, and
Mark S. Carey of the Federal Reserve Board of Governors
(142K PDF) -- 25 pages -- November 1998
Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a Models-Based Regulatory Capital Standard
by David Jones of the Federal Reserve Board of Governors, and
John Mingo of the Federal Reserve Board of Governors
(71K PDF) -- 8 pages -- October 1998
Sound Credit Risk Management and the Use of Internal Credit Risk Ratings at Large Banking Organizations
by the Board of Governors of the Federal Reserve System, Division of Banking Supervision and Regulation, SR 98-25
(36K HTML) -- 8 pages -- September 21, 1998
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
Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risk
by Steven R. Grenalier of Stanford University, and
Brian J. Hall of Harvard University
(1,946K PDF) -- 42 pages -- July 1995
Financial Innovation and the Management and Regulation of Financial Institutions
by Robert C. Merton for the National Bureau of Economic Research
(1,713K PDF) -- 46 pages -- April 1995
Additional References (sorted by author)
Akhigbe, Aigbe, and Jeff Madura. "Why do contagion effects vary among bank failures?", Journal of Banking & Finance, Vol. 25, No. 4, (April 2001), The University of Akron, and Florida Atlantic University, pp. 657-680. [Abstract]
Allen, Franklin and Elena Carletti, "Credit Risk Transfer and Contagion", Journal of Monetary Economics, Vol. 53, No. 1, (January 2006), pp. 89-111. [Abstract]
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. [Abstract]
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. [Abstract]
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. [Abstract]
Sironi, Andrea, "Testing for Market Discipline in the European Banking Industry: Evidence from subordinated debt issues", Journal of Money, Credit & Banking, Vol. 35, No. 3, (June 2003), pp. 443-472. [Abstract]
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. [Abstract]
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]
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]
 | The Basel Handbook: A Guide for Financial Practitioners (2nd edition)
by Michael K. Ong (editor),
Risk Books in association with KPMG, (December 18, 2006), Hard cover, 500 pages |
 | Credit Risk Management and Basel II
by Mohan Bhatia,
Risk Books, (August 7, 2006), Hardcover, 450 pages |
 | The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
by Bernd Engelmann (Editor), Robert Rauhmeier (Editor),
Springer, (August 2006), Hardcover, 376 pages |
 | Economic Capital: A Practical Guide
by Ashish Dev (Editor)
Risk Books, December 2004, Hardcover, 498 pages
OK, so this is the antithesis of BASEL. But readers interested in BASEL will be interested in this. --G.M.Gupton |
 | The New Basel Capital Accord
by Benton E. Gup (editor),
South-Western Educational Publishing, July 1, 2004, Hardcover, 462 pages |
