Analysing revisions to the standardised approach in credit risk. Evidence from sovereigns
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References listed on IDEAS
- Ms. Sofiya Avramova & Mrs. Vanessa Le Lesle, 2012. "Revisiting Risk-Weighted Assets," IMF Working Papers 2012/090, International Monetary Fund.
- Lukasz Prorokowski & Hubert Prorokowski, 2014. "Comprehensive risk measure – current challenges," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 22(3), pages 271-284, July.
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"Credit ratings and the standardised approach to credit risk in Basel II,"
Finance
0509014, University Library of Munich, Germany.
- Van Roy, Patrick, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Working Paper Series 517, European Central Bank.
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Cited by:
- Jan Nokkala, 2022. "Are large credit exposures a source of concentration risk?," Bank i Kredyt, Narodowy Bank Polski, vol. 53(4), pages 375-398.
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More about this item
Keywords
standardised approach; credit risk; sovereign exposures; risk weights; capital charge;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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