A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
Preprint
- 1 January 2003
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
When economic capital is calculated using a portfolio model of credit value-at-risk, the marginal capital requirement for an instrument depends, in general, onKeywords
All Related Versions
This publication has 5 references indexed in Scilit:
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