A risk-factor model foundation for ratings-based bank capital rules

Journal of Financial Intermediation

Volumn 12, Issue 3, 2003, Pages 199-232

  Gordy, Michael B ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

Banking regulation; Capital allocation; Value at risk

Indexed keywords

EID: 0041856328     PISSN: 10429573     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-9573(03)00040-8     Document Type: Article

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