History of the Basel internal-ratings-based (IRB) credit risk regulation-Reference-Cited by-同舟云学术

History of the Basel internal-ratings-based (IRB) credit risk regulation

Published:2020-03-23 Issue:1 Volume:15 Page:81-98
ISSN:1574-1699
Container-title:Model Assisted Statistics and Applications
language:
Short-container-title:MAS

Author:

Penikas Henry¹²³

Affiliation:

1. Department of Applied Economics, International Centre of Decision Choice and Analysis, The National Research University Higher School of Economics, Moscow, Russia

2. Research and Forecasting Department, the Bank of Russia, Moscow, Russia

3. Laboratory of Mathematical Modeling of Complex Systems of the P.N. Lebedev Physical Institute, Moscow, Russia

Publisher

IOS Press

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference30 articles.

1. Altman, E. (2011). Default Recovery Rates and LGD in Credit Risk Modelling and Practice. In: A. Lipton & A. Rennie, eds. The Oxford Handbook of Credit Derivatives. s.l.:s.n.

2. A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies;Altman;The Journal of Credit Risk, Volume IRMC 10th Anniversary Special Issue,2018

3. Correlated multivariate Poisson processes and extreme measures;Chiu;Model Assisted Statistics and Applications,2017

4. The Impact of PD-LGD Correlation on Bank Capital Adequacy in Nongranular Loan Portfolio;Ermolova;Model Assisted Statistics and Applications,2019

5. Foulcher, S., Gouriéroux, C. & Tiomo, A. (2005). Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital, Paris: CREF 05-01.

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