Economic and regulatory capital allocation for revolving retail exposures
Division of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Business & Economics - 22 pages
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advanced IRB Allocation for Revolving Ana Aizcorbe Antulio asset correlation assume assumptions Athanasios Orphanides autocorrelation average balance Banking Industry Basel Capital Accord Basel Committee Basel formula BCBS Berger Board of Governors Bomﬁm Brian Sack capital charge capital ratios conﬁdence constant LGD consumers credit card credit limit credit loss credit risk data set December denote driving variables Economics Discussion Series equation estimated expected loss February Federal Reserve Board Federal Reserve System ﬁnance Finance and Economics ﬁnd ﬁrst FMI provision framework future margin income higher income statement variables Inﬂation Interest Rate IRB approach July lending loans loss given default macroeconomic macroeconomic conditions Mark Carlson Market Monetary Policy Rules multi-factor model NBCA non-interest expense non-interest income one-factor model outstanding balances Price probability distribution probability of default Product Risk Group Regulatory Capital Allocation retail portfolios revenue Revolving Retail Exposures risk segments RiskMetrics Roberto Perli securitization September 2002 signiﬁcantly simulated paths speciﬁc