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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/44

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contributor.authorSantomero, Anthony M.-
contributor.authorLang, William-
date.accessioned2005-09-27T09:47:45Z-
date.available2005-09-27T09:47:45Z-
date.issued2003-03-
identifier.urihttp://ssrn.com/abstract=392100-
identifier.urihttp://hdl.handle.net/2108/44-
description.abstractThis paper analyzes current practices at U.S. banks for quantifying credit in retail portfolios and examines the challenges confronting banks and regulators in developing an internal ratings based (IRB) approach to setting capital requirements for retail exposures. The paper finds that approaches that directly estimate portfolio volatility are potentially a viable approach to estimating economic capital, but currently these methods do not provide a reliable approach for setting regulatory requirements. Alternative approaches based on direct estimating of structural risk parameters (e.g. probabilty of default) are currently a more viable option for setting capital standards.en
format.extent155572 bytes-
format.mimetypeapplication/pdf-
language.isoenen
publisherCEISen
relation.ispartofseriesCEIS Tor Vergata Research Paperen
relation.ispartofseries13en
titleRisk quantification of retail credit: current practices and future challengesen
typeArticleen
subject.jelG21; Banks, other depository institutions, mortgages-
subject.jelE51; Money supply, credit, money multipliers-
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