Optimal look-back period for adequate and less procyclical credit capital forecasts-Reference-Cited by-同舟云学术

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Optimal look-back period for adequate and less procyclical credit capital forecasts

Published:2021-08-23 Issue:46 Volume:53 Page:5337-5353
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Lee Yongwoong¹,Cho Yongbok²,Yang Kisung³

Affiliation:

1. Department of International Finance, College of Economics and Business, Hankuk University of Foreign Studies, Yongin-si, Republic of Korea

2. Department of Financial Engineering, College of Political Science and Economics, Korea University, Seoul, Republic of Korea

3. School of Finance, College of Business Administration, Soongsil University, Seoul, Republic of Korea

Funder

Hankuk University of Foreign Studies

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1914317

Reference40 articles.

1. A theory of systemic risk and design of prudential bank regulation

2. The contribution of bank regulation and fair value accounting to procyclical leverage

3. Structural Credit Loss Distributionsunder Non-Normality

4. BCBS. 2001. “The New Basel Capital Accord”. Basel Committee on Banking Supervision Consultative Document.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asymmetric asset correlation in credit portfolios;Finance Research Letters;2022-10

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