Supervisory (Industry Practices / Pronouncements)
From FinMath
[edit] Papers
- What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
- Adjusting Multi-Factor Models for Basel II-consistent Economic Capital
- Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework
- Banking and Securitization
- Estimating Spillover Risk Among Large EU Banks
- Credit Concentration Risk: Extended multi-factor adjustment IRB model
- Innovations in Credit Risk Transfer: Implications for Financial Stability
- Regulatory Treatment of the Double Default Effect under the New Basel Accord: How conservative is it
- The Basel II IRB approach revisited: do we use the correct model?
- Economic and Regulatory Capital in Banking: What is the Difference?
- The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
- A Loss Default Simulation Model of the Federal Bank Deposit Insurance Funds
- Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
- Implementing Basel II in Retail Banking: A simple statistical approach
- On Sovereign Credit Migration: Small-sample properties and rating evolution
- Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
- Guidance on Paragraph 468 of the Framework Document
- Forward-Looking Estimation of Default Probabilities with Italian Data
- Background Note on LGD Quantification
- Market Indicators Bank Fragility and Indirect Market Discipline
- Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
- Loan Pricing under Basel Capital Requirements
- International Convergence of Capital Measurement and Capital Standards: A Revised Framework
- Equity and Bond Market Signals as Leading Indicators of Bank Fragility
- Using Securities Market Information for Bank Supervisory Monitoring
- Rating System Dynamics and Bank-Reported Default Probabilities under the New Basel Capital Accord
- Loan-Portfolio Quality and the Diffusion of Technological Innovation
- An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
- Credit Risk Transfer and Financial Sector Performance
- Risk Trading, Network Topology, and Banking Regulation
- Credit Risk Models: An Application to Deposit Insurance Pricing
- Credit Risk Factor Modeling and the Basel II IRB Approach
- Capital Allocation for Securitizations with Uncertainty in Loss Prioritization
- A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
- Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
- Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach
- The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size
- Incorporating Equity Market Information into Supervisory Monitoring Models
- A Guide to Choosing Absolute Bank Capital Requirements
- Proposal for a DIRECTIVE OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on financial collateral arrangements
- Using Credit Risk Models for Regulatory Capital: Issues and Options
- The New Basel Capital Accord: an explanatory note
- Best Practices for Credit Risk Disclosure
- Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature
- Credit Ratings and Complementary Sources of Credit Quality Information
- Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
- Sound Practices for Managing Liquidity in Banking Organisations
- Regulatory Implications of Credit Risk Modelling
- Range of Practice in Banks' Internal Ratings Systems
- Principles for the Management of Credit Risk
- Sound Practices for Loan Accounting and Disclosure
- A New Capital Adequacy Framework
- Do Capital Adequacy Requirements Reduce Risks in Banking?
- Credit Risk Rating at Large U.S. Banks
- Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a Models-Based Regulatory Capital Standard
- Sound Credit Risk Management and the Use of Internal Credit Risk Ratings at Large Banking Organizations
- Public Disclosure and Bank Failures
- Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risk
- Financial Innovation and the Management and Regulation of Financial Institutions
