The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates-Reference-Cited by-同舟云学术

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The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Tasche Dirk

Publisher

Elsevier BV

Reference9 articles.

1. The New Basel Capital Accord;Basel Committee on Banking Supervision (BCBS),2003

2. Depressing recoveries;J Frye;RISK,2000

3. A false sense of security;J Frye;RISK,2003

4. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules;M Gordy;Journal of Financial Intermediation,2003

Cited by 22 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. Credit loss modelling using beta distribution in a Bayesian approach;Bank i Kredyt;2024-06-30

2. Application of the Bayesian approach in loss given default modelling;Bank i Kredyt;2023-12-31

3. Data Analytics for Credit Risk Models in Retail Banking: a new era for the banking system;Risk Management Magazine;2023-12

4. Introducing Two Parsimonious Standard Power Mixture Models for Bimodal Proportional Data with Application to Loss Given Default;Mathematics;2022-11-30

5. Is the regulatory downturn LGD adequate? Performance analysis and alternative methods;Journal of the Operational Research Society;2021-09-22

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