Endogenous/exogenous segmentation in the A-IRB framework and the pro-cyclicality of capital : an application to mortgage portfolios

José J. Canals-Cerdá (Supervision, Regulation, and Credit, Federal Reserve Bank of Philadelphia)

Year of publication:	March 2017
Authors:	Canals-Cerdá, José J.
Publisher:	Philadelphia, PA : Research Department, Federal Reserve Bank of Philadelphia
Subject:	Basel Accord \| credit risk \| regulatory capital \| mortgages \| Hypothek \| Mortgage \| Kreditrisiko \| Credit risk \| Basler Akkord \| Portfolio-Management \| Portfolio selection \| Bankenaufsicht \| Banking supervision \| Kreditgeschäft \| Bank lending

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