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Measuring default risk in the trading book

Author

Listed:
  • Nancy Masschelein

    (National Bank of Belgium)

  • Kostas Tsatsaronis

    (Bank for International Settlements)

Abstract

No abstract is available for this item.

Suggested Citation

  • Nancy Masschelein & Kostas Tsatsaronis, 2008. "Measuring default risk in the trading book," Financial Stability Review, National Bank of Belgium, vol. 6(1), pages 163-172, June.
    • Handle: RePEc:nbb:fsrart:v:6:y:2008:i:1:p:163-172
    as

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    File URL: http://www.nbb.be/doc/oc/repec/fsrart/fsr_2008_en_163_172.pdf
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    References listed on IDEAS

    as
    1. Klaus Düllmann & Nancy Masschelein, 2006. "The impact of sector concentration in loan portfolios on economic capital," Financial Stability Review, National Bank of Belgium, vol. 4(1), pages 175-187, June.
    2. Jan Ericsson & Olivier Renault, 2006. "Liquidity and Credit Risk," Journal of Finance, American Finance Association, vol. 61(5), pages 2219-2250, October.
    3. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
    Full references (including those not matched with items on IDEAS)

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