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subprime mortgage credit, securitization, rating agencies, principal agent, moral hazard
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Subprime mortgage credit, securitization, rating agencies, principal agent, moral hazard
New Basel Accord, credit risk
Bank capital regulation, risk management, credit risk, operational risk
risk measurement, risk management, capital adequacy
risk management, capital requirements, CCAR, systemic risk, bank performance
Market risk, credit risk, operational risk, risk diversification, copula
banks, counterparty credit risk management, liquidity
Risk management, credit risk, bootstrap, confidence intervals
capital requirements, leverage, systemic risk
Credit risk, stress testing, ratings migration, credit portfolio management
capital regulation
Liquidity, banking, financial crisis
G18, G21
Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation
Risk management, economic interlinkages, loss forecasting, default correlation
credit migration matrix, matrix norm, mobility indices, singular values, risk management
Deposit insurance pricing, loss distribution, risk-based premiums.
bank stress test, macroprudential, SCAP, bank supervision
Risk management, credit risk, credit derivatives
Risk management, Value-at-Risk, Capital Regulation, Market Risk
Credit risk, risk management, matrix norms, bootstrapping, credit derivatives
revenue dynamics, capital requirements, leverage, systemic risk
Risk management, credit risk, bootstrap
model risk, bank capital, bank regulation
risk measurement, risk management, capital adequacy, macroprudential policy
commercial banks, risk management, portfolio choice, systemic risk
risk management, bank performance, risk-based pricing, diversification
commercial banks, risk management, systemic risk
Economic interlinkages, global macroeconometric modeling, risk management
Risk management, default dependence, economic interlinkages, portfolio choice
Risk management, correlated defaults, credit loss distributions, heterogeneity, diversification
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
capital requirements, leverage, market discipline, model risk, systemic risk
Insurance Risk, Capital Adequacy, Risk Correlations, Non-Financial Risk
Risk management, correlated defaults, factor models, portfolio choice
forecasting using GVAR, structural breaks and forecasting, average forecasts across models and windows, financial and macroeconomic forecasts
risk management, capital requirements, CCAR, systemic risk, financial stability
Treasury, Supplementary Financing Program , Treasury General Account, Treasury Tax and Loan Note account, cash management , Supplementary Financing Program
risk management, capital adequacy, bank regulation, financial crisis
capital adequacy, risk management, crisis
risk management, financial crisis, bank regulation
corporate bonds, liquidity, retail traders, institutions
