Downloadable Papers (sorted by date)See the top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (Feb-1) Most Cited Books within Supervisory Papers
Robust Capital Regulation
by Viral Acharya of New York University,
Hamid Mehran of Federal Reserve Bank of New York,
Til Schuermann of Oliver Wyman, and
Anjan Thakor of Washington University in St. Louis & European Corporate Governance Institute
(347K PDF) -- 11 pages -- January 2012 Application of Own Credit Risk Adjustments to Derivatives
by the Basel Committee on Banking Supervision
(128K PDF) -- 12 pages -- December 2011 中监为体、西监为用 or the specifics of Chinese bank regulation
by Violaine Cousin - Freelance, Munich, Germany
(237K PDF) -- 34 pages -- June 2011 Transition Probability Matrix Methodology for Incremental Risk Charge
by Tzahi Yavin of the Royal Bank of Canada,
Hu Zhang of the Royal Bank of Canada,
Eugene Wang of the Royal Bank of Canada, and
Michael A. Clayton of the Royal Bank of Canada
(514K PDF) -- 49 pages -- January 17, 2011 Systemic Risk Contributions
by Xin Huang of the Federal Reserve Board,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Federal Reserve Board
(514K PDF) -- 49 pages -- January 2011 Credit Allocation, Capital Requirements and Procyclicality
by Esa Jokivuolle of the Bank of Finland,
Ilkka Kiema of the University of Helsinki, and
Timo Vesala of the Tapiola Group
(514K PDF) -- 49 pages -- October 28, 2010 Measures Aimed at Enhancing the Loss Absorbency of Regulatory Capital at the Point of Non Viability
by Marianne Ojo of the University of Bremen & Oxford Brookes University
(250K PDF) -- 15 pages -- September 2010 Structured Finance Influence on Financial Market Stability: Evaluation of current regulatory developments
by Sebastian A. Schuetz of the University of Lüneburg
(1,187K PDF) -- 43 pages -- June 2010 Unintended Consequences of the Market Risk Requirement in Banking Regulation
by Jussi Keppo of the University of Michigan,
Leonard Kofman of the Bank of Montreal, and
Xu Meng of the University of Michigan
(276K PDF) -- 47 pages -- May 2010 Market Review of OTC Derivative Bilateral Collateralization Practices
by the ISDA Collateral Steering Committee
(451K PDF) -- 57 pages -- March 1, 2010 The Merton Structural Model and IRB Compliance
by Matej Jovan of the Bank of Slovenia
(233K PDF) -- 19 pages -- 2010 Strengthening the Resilience of the Banking Sector
by Basel Committee on Banking Supervision
(290K PDF) -- 80 pages -- December 2009 Measuring Concentration Risk for Regulatory Purposes
by Marc Gürtler of the Technical University at Braunschweig,
Martin Hibbeln of the Technical University at Braunschweig, and
Clemens Vöhringer of the Technical University at Braunschweig
(656K PDF) -- 49 pages -- September 5, 2009 French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009 The Dynamics of Sovereign Credit Risk
by Alexandre Jeanneret of the University of Lausanne & Swiss Finance Institute
(1,337K PDF) -- 48 pages -- August 4, 2009 A New Capital Regulation for Large Financial Institutions
by Oliver Hart of Harvard University, and
Luigi Zingales of the University of Chicago
(147K PDF) -- 30 pages -- June 2009 Measuring and Managing Risk in Innovative Financial Instruments
by Stuart M. Turnbull of the University of Houston
(190K PDF) -- 33 pages -- May 18, 2009 A Framework for Assessing the Systemic Risk of Major Financial Institutions
by Xin Huang of the University of Oklahoma,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(377K PDF) -- 44 pages -- April 2009 The Turner Review: A regulatory response to the global banking crisis
by Financial Services Authority (FSA)
(1,254K PDF) - 126 pages -- March 2009 Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
by Michele Bonollo of Banco Popolare & Università di Padova
Paola Mosconi of Iason Ltd, and
Fabio Mercurio of Bloomberg & Iason Ltd
(174K PDF) -- 17 pages -- January 29, 2009 Proposed Enhancements to the Basel II Framework
by Basel Committee on Banking Supervision
(207K PDF) -- 39 pages -- January 16, 2009 Monitoring Banking Sector Risks: An applied approach
by Christian Weistroffer of Deutsche Bank & Goethe University, and
Veronica Vallés of Deutsche Bank
(915K PDF) -- 43 pages -- October 28, 2008 Direct Calibration of Maturity Adjustment Formula from Average Cumulative Issuer-Weighted Corporate Default Rates
by Dmitry Petrov of Lomonosov Moscow State University, and
Michael Pomazanov of State University - Higher School of Economics (Russia) & Bank Zenit
(3,684K PDF) -- 20 pages -- October 2008 What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
by Andrew Kuritzkes of Mercer Oliver Wyman, and
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center
(195K PDF) -- 58 pages -- March 23, 2008 Regulatory Treatment of the Double Default Effect under the New Basel Accord: How conservative is it
by Peter Grundke of the University of Cologne
(453K PDF) -- 23 pages -- March 2008 Using Securities Market Information for Bank Supervisory Monitoring
by John Krainer of the Federal Reserve Bank of San Francisco, and
Jose A. Lopez of the Federal Reserve Bank of San Francisco
(296K PDF) -- 40 pages -- March 2008 Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework
by Scott D. Aguais of Barclays Capital,
Lawrence R. Forest Jr. of Barclays Capital,
Martin King of Barclays Capital,
Marie Claire Lennon of Barclays Capital, and
Brola Lordkipanidze of Barclays Capital
(289K PDF) -- 33 pages -- January 27, 2008 Banking and Securitization
by Wenying Jiangli of the Federal Deposit Insurance Corporation,
Matthew Pritsker of the Federal Reserve Board, and
Peter Raupach of the Bundesbank
(572K PDF) -- 82 pages -- November 23, 2007 Estimating Spillover Risk Among Large EU Banks
by Martin Čihák of the International Monetary Fund, and
Li Lian Ong of the International Monetary Fund
(604K PDF) -- 28 pages -- November 2007 Credit Concentration Risk: Extended multi-factor adjustment IRB model
by Yun-Hoan Oh of F1 Consulting, Korea
(565K PDF) -- 51 pages -- July 19, 2007 Innovations in Credit Risk Transfer: Implications for Financial Stability
by Darrell Duffie of Stanford University
(273K PDF) -- 47 pages -- July 2, 2007 Granularity Adjustment for Basel II
by Michael B. Gordy of Federal Reserve Board, and
Eva Lütkebohmert of University of Bonn
(375K PDF) -- 40 pages -- 2007 The Basel II IRB approach revisited: do we use the correct model?
by Zoltan Varsanyi of Magyar Nemzeti Bank
(132K PDF) -- 6 pages -- August 2006 Economic and Regulatory Capital in Banking: What is the Difference?
by Abel Elizalde of CEMFI & UPNA, and
Rafael Repullo of CEMFI & CEPR
(334K PDF) -- 30 pages -- July 2006 The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
by Andrea Resti of Bocconi University, and
Andrea Sironi of Bocconi University
(337K PDF) -- 35 pages -- May 2006 Securitizations in Basel II
by William Perraudin of Imperial College & Risk Control Limited
(246K PDF) -- 25 pages -- April 2006 On Sovereign Credit Migration: A study of alternative estimators and rating dynamics
by Ana-Maria Fuertes of the City University London, and
Elena Kalotychou of the City University London
(2,967K PDF) -- 39 pages -- February 2006 A Loss Default Simulation Model of the Federal Bank Deposit Insurance Funds
by Rosalind L. Bennett of the FDIC,
Daniel A. Nuxoll of the FDIC,
Robert A. Jarrow of Cornell University,
Michael C. Fu of the University of Maryland, and
Huiju Zhang of the University of Maryland
(144K PDF) -- 9 pages -- November 2005 Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
by Edward I. Altman of New York University, and
Gabriele Sabato of the University of Rome "La Sapienza"
(342K PDF) -- 28 pages -- October 2005 Implementing Basel II in Retail Banking: A simple statistical approach
by Alexandre Adam of BNP Paribas,
Antoine Chouillou of BNP Paribas, and
Olivier Scaillet of HEC Genève & FAME
(425K PDF) -- 17 pages -- September 16, 2005 Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(763K PDF) -- 29 pages -- August 1, 2005 Guidance on Paragraph 468 of the Framework Document
by Basel Committee on Banking Supervision
(51K PDF) -- 12 pages -- July 2005 Forward-Looking Estimation of Default Probabilities with Italian Data
by Giuseppe Marotta of the University of Modena & Reggio Emilia,
Chiara Pederzoli of the University of Milano Bicocca, and
Costanza Torricelli of the University of Modena & Reggio Emilia
(160K PDF) -- 18 pages -- November 2005 Background Note on LGD Quantification
by the Basel Committee on Banking Supervision
(142K PDF) -- 9 pages -- December 6, 2004 Market Indicators Bank Fragility and Indirect Market Discipline
by Reint Gropp of the European Central Bank,
Jukka Vesala of the Finnish Supervisory Authority, and
Giuseppe Vulpes of UniCredit Banca d'Impresa
(139K PDF) -- 10 pages -- September 2004 Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
by Leonid V. Philosophov of Moscow Committee of Bankruptcy Affairs
(405K PDF) -- 25 pages -- August 9, 2004 Model Foundations for the Supervisory Formula Approach
by Michael B. Gordy of the Federal Reserve Board
(405K PDF) -- 25 pages -- July 2004 Loan Pricing under Basel Capital Requirements
by Rafael Repullo of CEMFI & CEPR, and
Javier Suarez of CEMFI & CEPR
(328K PDF) -- 37 pages -- July 2004 International Convergence of Capital Measurement and Capital Standards: A Revised Framework
by Basel Committee on Banking Supervision
(1,939K PDF) -- 251 pages -- June 2004 Equity and Bond Market Signals as Leading Indicators of Bank Fragility
by Reint Gropp at the European Central Bank,
Jukka Vesala at UniCredit Banca d.Impresa, and
Giuseppe Vulpes at Kaiserstrasse
(233K PDF) -- 34 pages -- June 2004 Rating System Dynamics and Bank-Reported Default Probabilities under the New Basel Capital Accord
by Erik Heitfield of the Federal Reserve Board
(383K PDF) -- 32 pages -- April 1, 2004 Loan-Portfolio Quality and the Diffusion of Technological Innovation
by Robert Hauswald of American University, and
Robert Marquez of the University of Maryland
(305K PDF) -- 33 pages -- March 2004 An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund,
Arnaud Jobert of the International Monetary Fund, and
Janet Kong of the International Monetary Fund
(470K PDF) -- 22 pages -- February 2004 Credit Risk Transfer and Financial Sector Performance
by Wolf Wagner of Cambridge University, and
Ian Marsh of the City University of London
(199K PDF) -- 31 pages -- January 2004 Risk Trading, Network Topology, and Banking Regulation
by Stefan Thurner of Universität Wien,
Rudolf Hanel of Universität Wien, and
Stefan Pichler of Technische Universität Wien
(402K PDF) -- 31 pages -- September 25, 2003 Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi & Università LUISS-Guido Carli
(401K PDF) -- 28 pages -- January 2003 Credit Risk Factor Modeling and the Basel II IRB Approach
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Daniel Rösch of the University of Regensburg
(478K PDF) -- 32 pages -- 2003 Capital Allocation for Securitizations with Uncertainty in Loss Prioritization
by Michael Gordy of the Federal Reserve Board, and
David Jones of the Federal Reserve Board
(319K PDF) - 23 pages -- December 6, 2002 The impact of the new Basel Accord on the supply of capital to emerging market economies
by Simon Hayes of Bank of England, and
Victoria Saporta of Bank of England
(68K PDF) - 5 pages -- December 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 Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach
by Rosalind L. Bennett of the Federal Deposit Insurance Corporation
(222K PDF) -- 63 pages -- July 2002 The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size
by Jose A. Lopez of the Federal Reserve Bank of San Francisco
(438K PDF) -- 65 pages -- June 17, 2002 Incorporating Equity Market Information into Supervisory Monitoring Models
by John Krainer of Federal Reserve Bank of San Francisco, and
Jose A. Lopez of Federal Reserve Bank of San Francisco
(430K PDF) -- 56 pages -- June 6, 2002 A Guide to Choosing Absolute Bank Capital Requirements
by Mark Carey of the Federal Reserve Board
(156K PDF) -- 23 pages -- May 2002 Using Credit Risk Models for Regulatory Capital: Issues and Options
by Beverly J. Hirtle of the Federal Reserve Bank of New York,
Mark Levonian of the Federal Reserve of San Francisco,
Marc Saidenberg of the Federal Reserve of New York,
Stefan Walter of the Federal Reserve of New York, and
David Wright Federal Reserve Board of Governors
(203K PDF) -- 18 pages -- March 2001 The New Basel Capital Accord: an explanatory note
by Secretariat of the Basel Committee on Banking Supervision
(72K PDF) -- 16 pages -- January 2001 Best Practices for Credit Risk Disclosure
A discussion paper by the Basel Committee on Banking Supervision
(91K PDF) -- 27 pages -- September 2000 Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature
by João A. C. Santos of the Bank for International Settlements
(181K PDF) -- 44 pages -- September 2000 Credit Ratings and Complementary Sources of Credit Quality Information
by Basel Committee on Banking Supervision of the Bank for International Settlements
(888K PDF) -- 186 pages -- August 2000 Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
by Mark Carey of the Federal Reserve Board
(174K PDF) -- 40 pages -- March 15, 2000 Sound Practices for Managing Liquidity in Banking Organisations
by Basel Committee for Banking Supervision of the Bank for International Settlements
(119K PDF) -- 27 pages -- February 2000 Credit Risk Rating Systems at Large U.S. Banks
by William F. Treacy of the Federal Reserve Board of Governors, and
Mark S. Carey of the Federal Reserve Board of Governors
(264K PDF) -- 35 pages -- January 2000 Regulatory Implications of Credit Risk Modelling
by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College
(105K PDF) -- 14 pages -- January 2000 Range of Practice in Banks' Internal Ratings Systems
A discussion paper by the Basel Committee on Banking Supervision
(177K PDF) -- 46 pages -- January 2000 Principles for the Management of Credit Risk
A discussion paper by the Basel Committee on Banking Supervision
(135K PDF) -- 30 pages -- July 1999 Sound Practices for Loan Accounting and Disclosure
by Basel Committee for Banking Supervision of the Bank for International Settlements
(172K PDF) -- 47 pages -- July 1999 A New Capital Adequacy Framework
by Basel Committee on Banking Supervision of the Bank for International Settlements
(255K PDF) -- 62 pages -- June 1999 Do Capital Adequacy Requirements Reduce Risks in Banking?
by Jürg Blum of the University of Freiburg
(148K PDF) -- 17 pages -- May 1999 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 Sound Credit Risk Management and the Use of Internal Credit Risk Ratings at Large Banking Organizations
by the Federal Reserve Board, Division of Banking Supervision and Regulation, SR 98-25
(36K HTML) -- 8 pages -- September 21, 1998 Public Disclosure and Bank Failures
by Tito Cordella of the International Monetary Fund, and
Eduardo Levy Yeyati of the International Monetary Fund
(1,219K PDF) -- 22 pages -- March 1998 Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and factor risk
by Steven R. Grenalier of Stanford University, and
Brian J. Hall of Harvard University
(1,946K PDF) -- 42 pages -- July 1995 Financial Innovation and the Management and Regulation of Financial Institutions
by Robert C. Merton of Harvard University
(1,310K PDF) -- 21 pages -- June 1995 | 
