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Extending Basel Regulatory Capital Requirement under Economic Downturns

Amir Azamtarrahian; Saeed Asadi

Volume 23, Issue 76 , October 2018, , Pages 159-184

https://doi.org/10.22054/ijer.2018.9516

Abstract
  This paper studies credit risk management in banking industry and proposes a generic model for corporate loan portfolio loss distribution in economic downturns. Basel assumes a one-factor Gaussian copula for default correlations and introduces the regulatory capital on the ground of Vasicek process that ...  Read More