Extending Basel Regulatory Capital Requirement under Economic Downturns
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2018-09-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_9516_9e7ad1b8e9dcbb1926fdabe407e16873.pdf |