JEL Classification G18
"Government Policy and Regulation"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G18 classification. (sorted by date) An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 Kenyon, Chris, and Richard Kenyon, "DVA for Assets", RISK, 26(2), February 2013, pp. 72-75. On Multivariate Extensions of Value-at-Risk
by Areski Cousin of Université Lyon 1, and
Elena Di Bernardino of CNAM
(380K PDF) -- 25 pages -- April 4, 2013 CDS Pricing under Basel III: Capital relief and default protection
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(812K PDF) -- 16 pages -- November 22, 2012 On the Necessity of Five Risk Measures
by Dominique Guégan of the Université Paris1 Panthéon-Sorbonne, and
Wayne Tarrant of Wingate University
(203K PDF) -- 230 pages -- November 21, 2011 CoVaR
by Tobias Adrian of the Federal Reserve Bank of New York, and
Markus K. Brunnermeier of the Princeton University
(350K PDF) -- 44 pages -- September 15, 2011 2008 SEC Short Selling Ban: Impacts on the credit default swap market
by Samuel Courtney of Stanford University
(1263K PDF) -- 38 pages -- May 19, 2010 Pagano, Marco and Paolo Volpin, "Credit Ratings Failures and Policy Options", Economic Policy, Vol. 25, No. 62, (April 2010), pp. 401-431. Economic Capital for Nonperforming Loans
by Rafael Weißbach of the Universität Rostock, and
Carsten von Lieres und Wilkau of the WestLB AG
(251K PDF) -- 26 pages -- March 2010 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010 Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(170K PDF) -- 30 pages -- July 24, 2010 Understanding the Effect of Concentration Risk in the Banks' Credit Portfolio: Indian cases
by Arindam Bandyopadhyay of the National Institute of Bank Management, Pune, India
(612K PDF) -- 29 pages -- July 2010 Ebnöther, Silvan, Paolo Vanini, "Credit Portfolios: What defines risk horizons and risk measurement?", Journal of Banking & Finance, Vol. 31, No. 12, (December 2007), pp. 3663-3679. Düllmann, Klaus and Nancy Masschelein, " A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios", Journal of Financial Services Research, Vol. 32, No. 1, (October 2007), pp. 55-79. Nyström, Kaj, Jimmy Skoglund, "A Credit Risk Model for Large Dimensional Portfolios with Application to Economic Capital", Journal of Banking & Finance, Vol. 30, No. 8, (August 2006), PP. 2163-2197. Default Estimation for Low Default Portfolios
by Nicholas M. Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) -- 27 pages -- December 23, 2005 Sub-additivity Re-examined: The case for Value-at-Risk
by Jón Daníelsson of the London School of Economics,
Bjørn N. Jorgensen of the Columbia Business School,
Gennady Samorodnitsky of Cornell University
Mandira Sarma of Eindhoven University of Technology, and
Casper G. de Vries of Erasmus University
(139K PDF) -- 18 pages -- November 2005 Testing Homogeneity of Time-Continuous Rating Transitions
by Rafael Weißbach of Dortmund University of Technology,
Patrick Tschiersch of WestLB, and
Claudia Lawrenz of WestLB
(244K PDF) -- 20 pages -- August 23, 2005 Non-Linear Effects of Bond Rating Changes
by Philippe Jorion of the University of California, Irvine, and
Gaiyan Zhang of the University of California, Irvine
(166K PDF) -- 34 pages -- March 2005 Optimal Credit Limit Management Under Different Information Regimes
by Markus Leippold of the University of Zürich,
Paolo Vanini of the University of Zürich & Zürcher Kantonalbank, and
Silvan Ebnoether of Zürcher Kantonalbank
(466K PDF) -- 29 pages -- February 27, 2005 How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
by Evan Gatev of Boston College,
Til Schuermann of the Federal Reserve Bank of New York & Wharton, and
Philip E. Strahan of Boston College, Wharton , & NBER
(165K PDF) -- 36 pages -- February 2005 Renault, Olivier and Olivier Scaillet, " On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities" Journal of Banking & Finance, Vol. 28, No. 12, (December 2004), pp. 2915-2931. A Simple Model of Credit Contagion
by Daniel Egloff of Zürcher Kantonalbank,
Markus Leippold of the University of Zurich, and
Paolo Vanini of the University of Southern Switzerland & Zürcher Kantonalbank
(1,555K PDF) -- 51 pages -- February 18, 2004 Mingo, John J., " Policy Implications of the Federal Reserve Study of Credit Risk Models at Major U.S. Banking Institutions", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp.15-33. Credit Risk Modeling and Internal Capital Allocation Processes: Implications for a models-based regulatory bank capital standard
by David Jones of the Federal Reserve Board of Governors, and
John Mingo of the Federal Reserve Board of Governors
(175K PDF) -- 30 pages -- March 1999
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