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My bibliography Save this paperIRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights
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More about this item
Keywords
Basel II; IRB; correlated defaults; asset correlation; binomial distribution; Bernoulli trials; macroprudential add-ons (mark-ups);All these keywords.
JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2020-08-17 (Accounting and Auditing)
- NEP-BAN-2020-08-17 (Banking)
- NEP-RMG-2020-08-17 (Risk Management)
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