Sandra Foulcher

Banque de France

Paris

France

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital

HEC Montreal Working Paper No. CREF 05-01
Number of pages: 27 Posted: 18 Jul 2005
Sandra Foulcher, Christian Gourieroux and André Tiomo
Banque de France, University of Toronto - Department of Economics and University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion
Downloads 252 (234,399)
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Latent correlation, default correlaiton, rating, credit risk, factor models, new basel accord

2.

Net Worth at Risk

Number of pages: 110 Posted: 17 Sep 2006
Dominik Elgg, Michel Delbreil, Ana Esteban, Sandra Foulcher, Vincenzo Favale, Timm Koerting and Franco Varetto
Deutsche Bundesbank - Statistics Department, Banque de France, Banco de España - Servicio de Estudios, Banque de France, Centrale dei Bilanci, Deutsche Bundesbank - Statistics - Corporate Balance Sheet Statistics and Politecnico di Torino - Italy
Downloads 143 (389,721)

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Equity ratio, Corporate finance, Value at Risk, Equity cushion against losses, Recession