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A through-the-cycle model for retail lending economic capital

Author

Listed:
  • Breeden, Joseph L.
  • Parker, Robert
  • Steinebach, Carsten

Abstract

Problems in the US mortgage industry have shown weaknesses in the standard regulatory and economic capital approaches. Although a significant amount of discussion is occurring around how to segment portfolios or predict key variables in order to better fit the existing formulas, we believe that a re-examination of existing capital formulas with respect to credit risk is required.

Suggested Citation

  • Breeden, Joseph L. & Parker, Robert & Steinebach, Carsten, 2012. "A through-the-cycle model for retail lending economic capital," International Journal of Forecasting, Elsevier, vol. 28(1), pages 133-138.
    • Handle: RePEc:eee:intfor:v:28:y:2012:i:1:p:133-138
    DOI: 10.1016/j.ijforecast.2011.01.005
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    References listed on IDEAS

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    1. Breeden, Joseph L., 2007. "Modeling data with multiple time dimensions," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4761-4785, May.
    2. Frees,Edward W., 2004. "Longitudinal and Panel Data," Cambridge Books, Cambridge University Press, number 9780521828284, September.
    3. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
    4. Frees,Edward W., 2004. "Longitudinal and Panel Data," Cambridge Books, Cambridge University Press, number 9780521535380, September.
    5. J L Breeden & D Ingram, 2010. "Monte Carlo scenario generation for retail loan portfolios," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 399-410, March.
    Full references (including those not matched with items on IDEAS)

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