JEL Classification G38
"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 G38 classification. (sorted by date) Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries
by Antonio Castagna of Iason ltd.,
Fabio Mercurio of Bloomberg & Iason ltd., and
Paola Mosconi of Iason ltd.
(293K PDF) -- 32 pages -- June 1, 2009 Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
by Michele Bonollo of Banco Popolare & Universitŕ di Padova
Paola Mosconi of Iason Ltd, and
Fabio Mercurio of Bloomberg & Iason Ltd
(174K PDF) -- 17 pages -- January 29, 2009 Simulation Based Approach for Measuring Concentration Risk
by Joocheol Kim of Yonsei University, and
Duyeol Lee of Yonsei University
(256K PDF) -- 15 pages -- April 2007 Corporate Credit Risk Modelling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(492K PDF) -- 32 pages -- December 3, 2004 Gordy, Michael B., "A Risk-factor Model Foundation for Ratings-based Bank Capital Rules", Journal of Financial Intermediation, Vol. 12, No. 3, (July 2003), pp. 199-232. [Abstract] The Firm's Reorganization Decision: Empirical Evidence from Canada
by Timothy C.G. Fisher of Wilfrid Laurier University, and
Jocelyn Martel of the Université de Cergy-Pontoise
(157K PDF) -- 19 pages -- May 2003 A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
by Michael B. Gordy of the Federal Reserve Board
(213K PDF) -- 25 pages -- October 22, 2002 Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
by Kenneth Carling of Sveriges Riksbank,
Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(1,629K PDF) -- 54 pages -- September 2002 Morck, Randall, Bernard Yeung, and Wayne Yu, "The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260.
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