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Treatment of double-default and double-recovery effects for hedged exposures under pillar I of the proposed New Basel Capital Accord

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  • Norah Barger & Erik Heitfield, 2003. "Treatment of double-default and double-recovery effects for hedged exposures under pillar I of the proposed New Basel Capital Accord," Basel II White Paper 2, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgwp:2
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    File URL: http://www.federalreserve.gov/generalinfo/basel2/docs2003/doubledefault.pdf
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    File URL: https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=6ab248cdc4cf221009e8d3437c5c57fd01d94111
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    Cited by:

    1. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Treatment of Double Default Effects within the Granularity Adjustment for Basel II," Bonn Econ Discussion Papers 10/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
    2. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers 24/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
    3. Lütkebohmert, Eva, 2009. "Failure of saddle-point method in the presence of double defaults," Bonn Econ Discussion Papers 19/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).

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