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McMaster University - DeGroote School of Business
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Basel II, Basel III, Pillar I, Pillar II, Capital Buffers, Internal Capital Adequacy Assessment Process (ICAAP), Capital Adequacy, Risk Appetite, Procyclicality, Risk Capital, Available Capital, Conditional and Unconditional Value-at-Risk (VaR), Tier 1 Capital Adequacy Ratio
Basel II, Long-Run Probability of Default, Asset Correlation, Stress Condition, Validation, Confidence Interval, Hypothesis Test
Basel II, Stress Testing, Correlation, Probability of Default and Transition,
Basel II, Loss Given Default, Recovery Risk, Risk Premium, Discount Rate, Workout Recovery, Defaulted Bonds and Loans
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2991558.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Advanced Internal-Ratings-Based (A-IRB) Approach, IFRS 9, Probability of Default (PD), Loss given Default (LGD), Exposure at Default (EaD), Expected Loss (EL)
ladder bond portfolio, passive bond investments
Advanced internal rating-based (A-IRB) approach; IFRS 9; Basel; internal models; probability of default (PD); loss given default (LGD); exposure at default (EaD); expected loss (EL); provisions; impairment loss estimation; secured lending
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: FIRE.
exchange‐traded funds, leverage, tracking errors, regression analysis, bull funds, bear funds
Recovery rate, Information asymmetry, Bank regulation, Corporate governance, Credit rating, Glass-Steagall Act, Financial Modernization Act
Binary quantile regression, z-score, distance to default, bankruptcy
Basel II, correlation, probability of default, downturn loss given default, economic capital, Point-in-Time, Through-the-Cycle, credit risk models, calibrations, simulations
Canadian bank, Basel, back-testing, point-in-time, through-the-cycle, PD, TTC, PIT
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